[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata capfloor.xml, 1.26, 1.27 couponvectors.xml, 1.36, 1.37 swap.xml, 1.31, 1.32

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21901/gensrc/metadata

Modified Files:
	capfloor.xml couponvectors.xml swap.xml 
Log Message:
BPS, NPV, analysis functions/methods for Swap, VanillaSwap, and CashFlowStream

Index: couponvectors.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v
retrieving revision 1.36
retrieving revision 1.37
diff -C2 -d -r1.36 -r1.37
*** couponvectors.xml	11 Oct 2006 11:53:24 -0000	1.36
--- couponvectors.xml	18 Oct 2006 20:11:37 -0000	1.37
***************
*** 9,15 ****
    </includes>
    <copyright>
!  Copyright (C) 2006 Ferdinando Ametrano
!  Copyright (C) 2005 Aurelien Chanudet
    </copyright>
    <Functions>
  
--- 9,16 ----
    </includes>
    <copyright>
!     Copyright (C) 2006 Ferdinando Ametrano
!     Copyright (C) 2005 Aurelien Chanudet
    </copyright>
+   
    <Functions>
  
***************
*** 85,251 ****
        </ParameterList>
      </Constructor>
!     
! 	<Constructor name='qlCMSCouponVector'>
! 		<libraryFunction>CMSCouponVector</libraryFunction>
! 		<SupportedPlatforms>
! 			<Excel/>
! 		</SupportedPlatforms>
! 		<ParameterList>
! 			<Parameters>
! 				<Parameter name='scheduleID' libraryClass='Schedule'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>schedule</description>
! 				</Parameter>
! 				<Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>payment adjustment</description>
! 				</Parameter>
! 				<Parameter name='nominals'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>coupon nominals</description>
! 				</Parameter>
! 				<Parameter name='indexID' libraryClass='SwapIndex'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>underlying swap index</description>
! 				</Parameter>
! 				<Parameter name='fixingDays'>
! 					<type>long</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>fixingDays</description>
! 				</Parameter>
! 				<Parameter name='dayCountID' enumeration='QuantLib::DayCounter'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>day counter</description>
! 				</Parameter>
! 				<Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> 
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>spreads</description>
! 				</Parameter>
! 				<Parameter name='gearings'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>gearings</description>
! 				</Parameter>
! 				<Parameter name='caps' libraryType='QuantLib::Rate'>
!           <type>double</type>
!           <tensorRank>vector</tensorRank>
!           <description>caps</description>
!         </Parameter>
!         <Parameter name='floors' libraryType='QuantLib::Rate'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>floors</description>
! 				</Parameter>
! 				<Parameter name='meanReversions'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>mean reversions</description>
! 				</Parameter>
! 				<Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>Swaption Volatility Structure object ID</description>
! 				</Parameter>
! 				<Parameter name='VanillaCMSCouponPricerType'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description>
! 				</Parameter>
! 				<Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description>
! 				</Parameter>				
! 			</Parameters>
! 		</ParameterList>
! 	</Constructor>
! 	
! 	<Constructor name='qlCMSInArrearsCouponVector'>
! 		<libraryFunction>CMSInArrearsCouponVector</libraryFunction>
! 		<SupportedPlatforms>
! 			<Excel/>
! 		</SupportedPlatforms>
! 		<ParameterList>
! 			<Parameters>
! 				<Parameter name='scheduleID' libraryClass='Schedule'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>schedule</description>
! 				</Parameter>
! 				<Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>payment adjustment</description>
! 				</Parameter>
! 				<Parameter name='nominals'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>coupon nominals</description>
! 				</Parameter>
! 				<Parameter name='indexID' libraryClass='SwapIndex'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>underlying swap index</description>
! 				</Parameter>
! 				<Parameter name='fixingDays'>
! 					<type>long</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>fixingDays</description>
! 				</Parameter>
! 				<Parameter name='dayCountID' enumeration='QuantLib::DayCounter'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>day counter</description>
! 				</Parameter>
! 				<Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> 
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>spreads</description>
! 				</Parameter>
! 				<Parameter name='gearings'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>gearings</description>
! 				</Parameter>
! 				<Parameter name='caps' libraryType='QuantLib::Rate'> 
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>caps</description>
! 				</Parameter>
! 				<Parameter name='floors' libraryType='QuantLib::Rate'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>floors</description>
! 				</Parameter>
! 				<Parameter name='meanReversions'>
! 					<type>double</type>
! 					<tensorRank>vector</tensorRank>
! 					<description>mean reversions</description>
! 				</Parameter>
! 				<Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>Swaption Volatility Structure</description>
! 				</Parameter>
! 				<Parameter name='VanillaCMSCouponPricerType'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description>
! 				</Parameter>
! 				<Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'>
! 					<type>string</type>
! 					<tensorRank>scalar</tensorRank>
! 					<description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description>
! 				</Parameter>				
! 			</Parameters>
! 		</ParameterList>
! 	</Constructor>
! 	
      <Constructor name='qlCMSZeroCouponVector'>
        <libraryFunction>CMSZeroCouponVector</libraryFunction>
--- 86,252 ----
        </ParameterList>
      </Constructor>
! 
!     <Constructor name='qlCMSCouponVector'>
!       <libraryFunction>CMSCouponVector</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='scheduleID' libraryClass='Schedule'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>schedule</description>
!           </Parameter>
!           <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>payment adjustment</description>
!           </Parameter>
!           <Parameter name='nominals'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>coupon nominals</description>
!           </Parameter>
!           <Parameter name='indexID' libraryClass='SwapIndex'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>underlying swap index</description>
!           </Parameter>
!           <Parameter name='fixingDays'>
!             <type>long</type>
!             <tensorRank>scalar</tensorRank>
!             <description>fixingDays</description>
!           </Parameter>
!           <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>day counter</description>
!           </Parameter>
!           <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>spreads</description>
!           </Parameter>
!           <Parameter name='gearings'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>gearings</description>
!           </Parameter>
!           <Parameter name='caps' libraryType='QuantLib::Rate'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>caps</description>
!           </Parameter>
!           <Parameter name='floors' libraryType='QuantLib::Rate'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>floors</description>
!           </Parameter>
!           <Parameter name='meanReversions'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>mean reversions</description>
!           </Parameter>
!           <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>Swaption Volatility Structure object ID</description>
!           </Parameter>
!           <Parameter name='VanillaCMSCouponPricerType'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description>
!           </Parameter>
!           <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
! 
!     <Constructor name='qlCMSInArrearsCouponVector'>
!       <libraryFunction>CMSInArrearsCouponVector</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='scheduleID' libraryClass='Schedule'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>schedule</description>
!           </Parameter>
!           <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>payment adjustment</description>
!           </Parameter>
!           <Parameter name='nominals'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>coupon nominals</description>
!           </Parameter>
!           <Parameter name='indexID' libraryClass='SwapIndex'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>underlying swap index</description>
!           </Parameter>
!           <Parameter name='fixingDays'>
!             <type>long</type>
!             <tensorRank>scalar</tensorRank>
!             <description>fixingDays</description>
!           </Parameter>
!           <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>day counter</description>
!           </Parameter>
!           <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>spreads</description>
!           </Parameter>
!           <Parameter name='gearings'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>gearings</description>
!           </Parameter>
!           <Parameter name='caps' libraryType='QuantLib::Rate'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>caps</description>
!           </Parameter>
!           <Parameter name='floors' libraryType='QuantLib::Rate'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>floors</description>
!           </Parameter>
!           <Parameter name='meanReversions'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>mean reversions</description>
!           </Parameter>
!           <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>Swaption Volatility Structure</description>
!           </Parameter>
!           <Parameter name='VanillaCMSCouponPricerType'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description>
!           </Parameter>
!           <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
! 
      <Constructor name='qlCMSZeroCouponVector'>
        <libraryFunction>CMSZeroCouponVector</libraryFunction>
***************
*** 329,350 ****
      </Constructor>
  
!     <Member name='qlGetLeg' objectClass='LegWrapper'>
!       <description>return coupon details</description>
!       <libraryFunction>getLeg</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
        </SupportedPlatforms>
        <ParameterList>
!         <Parameters/>
        </ParameterList>
        <ReturnValue>
!         <type>any</type>
!         <tensorRank>matrix</tensorRank>
        </ReturnValue>
      </Member>
  
!     <Member name='qlGetBPS' objectClass='LegWrapper'>
!       <description>basis point sensitivity</description>
!       <libraryFunction>getBPS</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
--- 330,357 ----
      </Constructor>
  
!     <Member name='qlCashFlowStreamNPV' objectClass='CashFlowStream'>
!       <description>NPV of a CashFlowStream Object</description>
!       <libraryFunction>bps</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
        </SupportedPlatforms>
        <ParameterList>
!         <Parameters>
!           <Parameter name='termStructureID' libToHandle='YieldTermStructure'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>discounting term structure</description>
!           </Parameter>
!         </Parameters>
        </ParameterList>
        <ReturnValue>
!         <type>double</type>
!         <tensorRank>scalar</tensorRank>
        </ReturnValue>
      </Member>
  
!     <Member name='qlCashFlowStreamBPS' objectClass='CashFlowStream'>
!       <description>basis point sensitivity of a CashFlowStream Object</description>
!       <libraryFunction>bps</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
***************
*** 365,368 ****
--- 372,390 ----
      </Member>
  
+     <Member name='qlCashFlowStreamAnalysis' objectClass='CashFlowStream'>
+       <description>return coupon details</description>
+       <libraryFunction>analysis</libraryFunction>
+       <SupportedPlatforms>
+         <Excel/>
+       </SupportedPlatforms>
+       <ParameterList>
+         <Parameters/>
+       </ParameterList>
+       <ReturnValue>
+         <type>any</type>
+         <tensorRank>matrix</tensorRank>
+       </ReturnValue>
+     </Member>
+ 
    </Functions>
  

Index: swap.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** swap.xml	6 Oct 2006 12:08:14 -0000	1.31
--- swap.xml	18 Oct 2006 20:11:37 -0000	1.32
***************
*** 23,32 ****
        <ParameterList>
          <Parameters>
!           <Parameter name='paidLegID' objectClass='LegWrapper'>
              <type>string</type>
              <tensorRank>scalar</tensorRank>
              <description>paid leg</description>
            </Parameter>
!           <Parameter name='recvLegID' objectClass='LegWrapper'>
              <type>string</type>
              <tensorRank>scalar</tensorRank>
--- 23,32 ----
        <ParameterList>
          <Parameters>
!           <Parameter name='paidLegID' objectClass='CashFlowStream'>
              <type>string</type>
              <tensorRank>scalar</tensorRank>
              <description>paid leg</description>
            </Parameter>
!           <Parameter name='recvLegID' objectClass='CashFlowStream'>
              <type>string</type>
              <tensorRank>scalar</tensorRank>
***************
*** 49,53 ****
        <ParameterList>
          <Parameters>
!           <Parameter name='legIDs' objectClass='LegWrapper'>
              <type>string</type>
              <tensorRank>vector</tensorRank>
--- 49,53 ----
        <ParameterList>
          <Parameters>
!           <Parameter name='legIDs' objectClass='CashFlowStream'>
              <type>string</type>
              <tensorRank>vector</tensorRank>
***************
*** 68,74 ****
      </Constructor>
      
!     <Member name='qlSwapLegAnalysis' objectClass='Swap'>
!       <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description>
!       <libraryFunction>legAnalysis</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
--- 68,74 ----
      </Constructor>
      
!     <Member name='qlSwapLegBPS' libraryClass='Swap'>
!       <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description>
!       <libraryFunction>legBPS</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
***************
*** 84,95 ****
        </ParameterList>
        <ReturnValue>
!         <type>any</type>
!         <tensorRank>matrix</tensorRank>
        </ReturnValue>
      </Member>
! 
!     <Member name='qlSwapLegBPS' libraryClass='Swap'>
!       <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description>
!       <libraryFunction>legBPS</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
--- 84,95 ----
        </ParameterList>
        <ReturnValue>
!         <type>double</type>
!         <tensorRank>scalar</tensorRank>
        </ReturnValue>
      </Member>
!     
!     <Member name='qlSwapLegNPV' libraryClass='Swap'>
!       <description>the NPV of the i-th leg. The indexing is zero based: use 0 for the first leg.</description>
!       <libraryFunction>legNPV</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
***************
*** 109,116 ****
        </ReturnValue>
      </Member>
!     
!     <Member name='qlSwapLegNPV' libraryClass='Swap'>
!       <description>the NPV of the i-th leg. The indexing is zero based: use 0 for the first leg.</description>
!       <libraryFunction>legNPV</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
--- 109,116 ----
        </ReturnValue>
      </Member>
! 
!     <Member name='qlSwapLegAnalysis' objectClass='Swap'>
!       <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description>
!       <libraryFunction>legAnalysis</libraryFunction>
        <SupportedPlatforms>
          <Excel/>
***************
*** 126,131 ****
        </ParameterList>
        <ReturnValue>
!         <type>double</type>
!         <tensorRank>scalar</tensorRank>
        </ReturnValue>
      </Member>
--- 126,131 ----
        </ParameterList>
        <ReturnValue>
!         <type>any</type>
!         <tensorRank>matrix</tensorRank>
        </ReturnValue>
      </Member>

Index: capfloor.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** capfloor.xml	13 Oct 2006 18:41:48 -0000	1.26
--- capfloor.xml	18 Oct 2006 20:11:37 -0000	1.27
***************
*** 122,126 ****
              <description>option type (cap, floor or collar)</description>
            </Parameter>
!           <Parameter name='legID' objectClass='LegWrapper'>
              <type>string</type>
              <tensorRank>scalar</tensorRank>
--- 122,126 ----
              <description>option type (cap, floor or collar)</description>
            </Parameter>
!           <Parameter name='legID' objectClass='CashFlowStream'>
              <type>string</type>
              <tensorRank>scalar</tensorRank>