Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21649/gensrc/metadata
Modified Files:
swaptionvolstructure.xml
Log Message:
repalced const Matrix& volSpreads by const std::vector<std::vector<Handle<Quote> > >& volSpreads
in SwaptionVolatilityCubeBySabr constructor
Index: swaptionvolstructure.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v
retrieving revision 1.55
retrieving revision 1.56
diff -C2 -d -r1.55 -r1.56
*** swaptionvolstructure.xml 23 Sep 2006 11:00:44 -0000 1.55
--- swaptionvolstructure.xml 4 Oct 2006 10:04:35 -0000 1.56
***************
*** 451,455 ****
<description>smile cube's strike spreads over the ATM strike rate.</description>
</Parameter>
! <Parameter name='vols' libraryType='QuantLib::Matrix'>
<type>double</type>
<tensorRank>matrix</tensorRank>
--- 451,455 ----
<description>smile cube's strike spreads over the ATM strike rate.</description>
</Parameter>
! <Parameter name='vols' libToHandle='QuantLib::Quote'>
<type>double</type>
<tensorRank>matrix</tensorRank>
***************
*** 606,610 ****
<!-- SmileSection constructors -->
! <Constructor name='qlSmileSection'>
<libraryFunction>SmileSection</libraryFunction>
<functionCategory>QuantLib</functionCategory>
--- 606,610 ----
<!-- SmileSection constructors -->
! <Constructor name='qlSmileSectionBySabr'>
<libraryFunction>SmileSection</libraryFunction>
<functionCategory>QuantLib</functionCategory>
***************
*** 612,616 ****
<supportedPlatform>excel</supportedPlatform>
</supportedPlatforms>
! <ParameterList>
<Parameters>
<Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCubeBySabr'>
--- 612,616 ----
<supportedPlatform>excel</supportedPlatform>
</supportedPlatforms>
! <ParameterList>
<Parameters>
<Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCubeBySabr'>
***************
*** 633,636 ****
--- 633,685 ----
</Constructor>
+ <Constructor name='qlSmileSection'>
+ <libraryFunction>SmileSection</libraryFunction>
+ <functionCategory>QuantLib</functionCategory>
+ <supportedPlatforms>
+ <supportedPlatform>excel</supportedPlatform>
+ </supportedPlatforms>
+ <ParameterList>
+ <Parameters>
+ <Parameter name='expiry'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>expiry</description>
+ </Parameter>
+ <Parameter name='strikes'>
+ <type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>strikes</description>
+ </Parameter>
+ <Parameter name='volatilities'>
+ <type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>volatilities</description>
+ </Parameter>
+ </Parameters>
+ </ParameterList>
+ </Constructor>
+
+ <Constructor name='qlFictitiousSmileSection'>
+ <libraryFunction>SmileSection</libraryFunction>
+ <functionCategory>QuantLib</functionCategory>
+ <supportedPlatforms>
+ <supportedPlatform>excel</supportedPlatform>
+ </supportedPlatforms>
+ <ParameterList>
+ <Parameters>
+ <Parameter name='expiry'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>expiry</description>
+ </Parameter>
+ <Parameter name='flatVolatility'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>flat Volatility</description>
+ </Parameter>
+ </Parameters>
+ </ParameterList>
+ </Constructor>
+
<Member name='qlVolatilityFromSmile' libraryClass='SmileSection'>
<description>Return the volatility from SmileSection</description>
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