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From: Giorgio F. <gi...@us...> - 2006-10-04 10:05:34
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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> |
