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From: Ferdinando A. <na...@us...> - 2006-10-23 18:31:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6155/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: SmileSection first refactoring Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.63 retrieving revision 1.64 diff -C2 -d -r1.63 -r1.64 *** swaptionvolstructure.xml 19 Oct 2006 11:16:33 -0000 1.63 --- swaptionvolstructure.xml 23 Oct 2006 18:31:11 -0000 1.64 *************** *** 153,157 **** <!-- Handle<SwaptionVolatilityStructure> --> - <Constructor name='qlHandleSwaptionVolatilityStructure'> <libraryFunction>Handle<QuantLib::SwaptionVolatilityStructure></libraryFunction> --- 153,156 ---- *************** *** 192,196 **** <!-- SwaptionVolatilityStructure constructors --> - <Constructor name='qlSwaptionVTSConstant'> <libraryFunction>SwaptionConstantVolatility</libraryFunction> --- 191,194 ---- *************** *** 261,265 **** <!-- SwaptionVolatilityMatrix interface --> - <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the underlying swap day counter.</description> --- 259,262 ---- *************** *** 336,340 **** <!-- SwaptionVolatilityCubeByLinear constructors --> - <Constructor name='qlSwaptionVolatilityCubeByLinear'> <libraryFunction>SwaptionVolatilityCubeByLinear</libraryFunction> --- 333,336 ---- *************** *** 396,407 **** </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> --- 392,403 ---- </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> *************** *** 413,419 **** </ParameterList> </Constructor> - - <!-- SwaptionVolatilityCubeByLinear interface --> <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCubeByLinear'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> --- 409,414 ---- </ParameterList> </Constructor> + <!-- SwaptionVolatilityCubeByLinear interface --> <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCubeByLinear'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> *************** *** 441,447 **** </ReturnValue> </Member> - - <!-- SwaptionVolatilityCubeBySabr constructors --> <Constructor name='qlSwaptionVolatilityCubeBySabr'> <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction> --- 436,441 ---- </ReturnValue> </Member> + <!-- SwaptionVolatilityCubeBySabr constructors --> <Constructor name='qlSwaptionVolatilityCubeBySabr'> <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction> *************** *** 503,514 **** </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> --- 497,508 ---- </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> *************** *** 535,539 **** </ParameterList> </Constructor> ! <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> --- 529,534 ---- </ParameterList> </Constructor> ! ! <!-- SwaptionVolatilityCubeBySabr interface --> <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> *************** *** 596,603 **** </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlSmileSectionBySabr'> ! <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 591,597 ---- </Member> ! <!-- SmileSectionInteface constructors --> <Constructor name='qlSmileSectionBySabr'> ! <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 626,630 **** <Constructor name='qlSmileSection'> ! <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 620,624 ---- <Constructor name='qlSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 649,657 **** </Parameter> </Parameters> ! </ParameterList> </Constructor> <Constructor name='qlFictitiousSmileSection'> ! <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 643,651 ---- </Parameter> </Parameters> ! </ParameterList> </Constructor> <Constructor name='qlFictitiousSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 674,678 **** </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='SmileSection'> <description>Return the volatility from SmileSection</description> <libraryFunction>volatility</libraryFunction> --- 668,672 ---- </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'> <description>Return the volatility from SmileSection</description> <libraryFunction>volatility</libraryFunction> |
