[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.23, 1.24

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11910/gensrc/metadata

Modified Files:
	pricingengines.xml 
Log Message:
1) blackmodel.hpp content merged into blackformula.hpp
2) pruned useless inclusions

Index: pricingengines.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v
retrieving revision 1.23
retrieving revision 1.24
diff -C2 -d -r1.23 -r1.24
*** pricingengines.xml	7 Oct 2006 14:30:17 -0000	1.23
--- pricingengines.xml	23 Oct 2006 08:37:21 -0000	1.24
***************
*** 1,241 ****
  <Category name='pricingengines'>
!     <description>functions to construct and use PricingEngine objects</description>
!     <displayName>Pricing Engines</displayName>
!     <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
!     <includes>
!         <include>qlo/pricingengines.hpp</include>
!         <include>qlo/termstructures.hpp</include>
!         <include>qlo/swaptionvolstructure.hpp</include>
!         <include>qlo/capletvolstructure.hpp</include>
!         <include>qlo/shortratemodels.hpp</include>
!     </includes>
!     <copyright>
!         Copyright (C) 2006 Ferdinando Ametrano
!     </copyright>
!     <Functions>
  
!         <Procedure name='qlBlackFormula'>
!             <description>Undiscounted Black formula for option pricing</description>
! 			<alias>QuantLib::blackFormula</alias>
!             <SupportedPlatforms>
!                 <Excel/>
!             </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='stdDev'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>standard deviation, i.e. annualized volatility times the square root of time to option expiry</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!             <ReturnValue>
!                 <type>double</type>
!                 <tensorRank>scalar</tensorRank>
!             </ReturnValue>
!         </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>
!                 <Excel/>
!             </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>
!                 <Excel/>
!             </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>
!                     <Parameter name='guess' default='QuantLib::Null&lt;double&gt;()'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <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>
!             <ReturnValue>
!                 <type>double</type>
!                 <tensorRank>scalar</tensorRank>
!             </ReturnValue>
!         </Procedure>
  
!         <Constructor name='qlPricingEngine'>
!             <libraryFunction>PricingEngine</libraryFunction>
!             <SupportedPlatforms>
!                 <Excel/>
!                 <C/>
!                 <Calc/>
!                 <Guile/>
!             </SupportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='engineID'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>engine type</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Constructor name='qlBinomialPricingEngine'>
!             <libraryFunction>PricingEngine</libraryFunction>
!             <SupportedPlatforms>
!                 <Excel/>
!                 <Calc/>
!             </SupportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='engineID'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>engine type</description>
!                     </Parameter>
!                     <Parameter name='timeSteps'>
!                         <type>long</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>#/time steps</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Constructor name='qlBlackSwaptionEngine'>
!             <libraryFunction>BlackSwaptionEngine</libraryFunction>
!             <SupportedPlatforms>
!                 <Excel/>
!             </SupportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='vol' libToHandle='SwaptionVolatilityStructure'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>SwaptionVolatilityStructure</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Constructor name='qlBlackCapFloorEngine'>
!             <libraryFunction>BlackCapFloorEngine</libraryFunction>
!             <SupportedPlatforms>
!                 <Excel/>
!             </SupportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='vol' libToHandle='CapletVolatilityStructure'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>CapletVolatilityStructure</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Constructor name='qlBlackCapFloorEngine2'>
!             <libraryFunction>BlackCapFloorEngine</libraryFunction>
!             <SupportedPlatforms>
!                 <Excel/>
!             </SupportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='vol'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>cap/floor term volatility</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Constructor name='qlAnalyticCapFloorEngine'>
!             <libraryFunction>AnalyticCapFloorEngine</libraryFunction>
!             <SupportedPlatforms>
!                 <Excel/>
!             </SupportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='handleModel' libraryClass='AffineModel'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>affine model (providing a discount bond option pricing formula)</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!     </Functions>
  </Category>
--- 1,242 ----
  <Category name='pricingengines'>
!   <description>functions to construct and use PricingEngine objects</description>
!   <displayName>Pricing Engines</displayName>
!   <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
!   <includes>
!     <include>qlo/pricingengines.hpp</include>
!     <include>qlo/termstructures.hpp</include>
!     <include>qlo/swaptionvolstructure.hpp</include>
!     <include>qlo/capletvolstructure.hpp</include>
!     <include>qlo/shortratemodels.hpp</include>
!     <include>ql/PricingEngines/blackformula.hpp</include>
!   </includes>
!   <copyright>
!     Copyright (C) 2006 Ferdinando Ametrano
!   </copyright>
!   <Functions>
  
!     <Procedure name='qlBlackFormula'>
!       <description>Undiscounted Black formula for option pricing</description>
!       <alias>QuantLib::blackFormula</alias>
!       <SupportedPlatforms>
!         <Excel/>
!       </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='stdDev'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>standard deviation, i.e. annualized volatility times the square root of time to option expiry</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!       <ReturnValue>
!         <type>double</type>
!         <tensorRank>scalar</tensorRank>
!       </ReturnValue>
!     </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>
!         <Excel/>
!       </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>
!         <Excel/>
!       </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>
!           <Parameter name='guess' default='QuantLib::Null&lt;double&gt;()'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <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>
!       <ReturnValue>
!         <type>double</type>
!         <tensorRank>scalar</tensorRank>
!       </ReturnValue>
!     </Procedure>
  
!     <Constructor name='qlPricingEngine'>
!       <libraryFunction>PricingEngine</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!         <C/>
!         <Calc/>
!         <Guile/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='engineID'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>engine type</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!     <Constructor name='qlBinomialPricingEngine'>
!       <libraryFunction>PricingEngine</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!         <Calc/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='engineID'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>engine type</description>
!           </Parameter>
!           <Parameter name='timeSteps'>
!             <type>long</type>
!             <tensorRank>scalar</tensorRank>
!             <description>#/time steps</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!     <Constructor name='qlBlackSwaptionEngine'>
!       <libraryFunction>BlackSwaptionEngine</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='vol' libToHandle='SwaptionVolatilityStructure'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>SwaptionVolatilityStructure</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!     <Constructor name='qlBlackCapFloorEngine'>
!       <libraryFunction>BlackCapFloorEngine</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='vol' libToHandle='CapletVolatilityStructure'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>CapletVolatilityStructure</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!     <Constructor name='qlBlackCapFloorEngine2'>
!       <libraryFunction>BlackCapFloorEngine</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='vol'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>cap/floor term volatility</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!     <Constructor name='qlAnalyticCapFloorEngine'>
!       <libraryFunction>AnalyticCapFloorEngine</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='handleModel' libraryClass='AffineModel'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>affine model (providing a discount bond option pricing formula)</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!   </Functions>
  </Category>