[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.19, 1.20

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25306/gensrc/metadata

Modified Files:
	pricingengines.xml 
Log Message:
1) added approximations for implied Black vol
2) improved implementation of Black formula and related functions

Index: pricingengines.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** pricingengines.xml	23 Sep 2006 11:00:44 -0000	1.19
--- pricingengines.xml	25 Sep 2006 10:13:19 -0000	1.20
***************
*** 52,57 ****
          </Procedure>
  
          <Procedure name='qlBlackImpliedStdDev'>
!             <description>Black formula standard deviation implied in the undiscounted option price</description>
  			<alias>QuantLib::blackImpliedStdDev</alias>
              <supportedPlatforms>
--- 52,94 ----
          </Procedure>
  
+         <Procedure name='qlBlackImpliedStdDevApproximation'>
+             <description>Approximation for the standard deviation implied in the undiscounted option price by the Black formula</description>
+ 			<alias>QuantLib::blackImpliedStdDevApproximation</alias>
+             <supportedPlatforms>
+                 <supportedPlatform>excel</supportedPlatform>
+                 <supportedPlatform>calc</supportedPlatform>
+             </supportedPlatforms>
+             <ParameterList>
+                 <Parameters>
+                     <Parameter name='optionType' enumeration='QuantLib::Option::Type'>
+                         <type>string</type>
+                         <tensorRank>scalar</tensorRank>
+                         <description>option type (i.e. Call or Put)</description>
+                     </Parameter>
+                     <Parameter name='strike'>
+                         <type>double</type>
+                         <tensorRank>scalar</tensorRank>
+                         <description>option strike</description>
+                     </Parameter>
+                     <Parameter name='forward'>
+                         <type>double</type>
+                         <tensorRank>scalar</tensorRank>
+                         <description>underlying forward value</description>
+                     </Parameter>
+                     <Parameter name='undiscountedPrice'>
+                         <type>double</type>
+                         <tensorRank>scalar</tensorRank>
+                         <description>undiscounted option price</description>
+                     </Parameter>
+                 </Parameters>
+             </ParameterList>
+             <ReturnValue>
+                 <type>double</type>
+                 <tensorRank>scalar</tensorRank>
+             </ReturnValue>
+         </Procedure>
+ 
          <Procedure name='qlBlackImpliedStdDev'>
!             <description>Standard deviation implied in the undiscounted option price by the Black formula</description>
  			<alias>QuantLib::blackImpliedStdDev</alias>
              <supportedPlatforms>
***************
*** 86,89 ****
--- 123,131 ----
                          <description>standard deviation guess</description>
                      </Parameter>
+                     <Parameter name='accuracy' default='1.0e-6'>
+                         <type>double</type>
+                         <tensorRank>scalar</tensorRank>
+                         <description>standard deviation accuracy</description>
+                     </Parameter>
                  </Parameters>
              </ParameterList>