Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26100/gensrc/metadata
Modified Files:
cmsmarket.xml swaptionvolstructure.xml
Log Message:
Index: swaptionvolstructure.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v
retrieving revision 1.65
retrieving revision 1.66
diff -C2 -d -r1.65 -r1.66
*** swaptionvolstructure.xml 24 Oct 2006 10:46:21 -0000 1.65
--- swaptionvolstructure.xml 24 Oct 2006 13:20:23 -0000 1.66
***************
*** 257,260 ****
--- 257,301 ----
</Constructor>
+ <Constructor name='qlSwaptionVTSMatrix2'>
+ <libraryFunction>SwaptionVolatilityMatrix</libraryFunction>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters>
+ <Parameter name='expiries' libraryType='QuantLib::Period'>
+ <type>string</type>
+ <tensorRank>vector</tensorRank>
+ <description>swaption expiries as periods</description>
+ </Parameter>
+ <Parameter name='calendar' enumeration='QuantLib::Calendar'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries</description>
+ </Parameter>
+ <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>Business day convention used for calculating the exercise dates from the expiries</description>
+ </Parameter>
+ <Parameter name='swapTenors' libraryType='QuantLib::Period'>
+ <type>string</type>
+ <tensorRank>vector</tensorRank>
+ <description>underlying swap lengths</description>
+ </Parameter>
+ <Parameter name='volatilities' libToHandle='Quote'>
+ <type>string</type>
+ <tensorRank>matrix</tensorRank>
+ <description>vol quotes</description>
+ </Parameter>
+ <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>day counter (e.g. Actual/360)</description>
+ </Parameter>
+ </Parameters>
+ </ParameterList>
+ </Constructor>
+
<!-- SwaptionVolatilityMatrix interface -->
<Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'>
***************
*** 435,439 ****
</ReturnValue>
</Member>
-
<!-- SwaptionVolatilityCubeBySabr constructors -->
<Constructor name='qlSwaptionVolatilityCubeBySabr'>
--- 476,479 ----
***************
*** 528,531 ****
--- 568,664 ----
</ParameterList>
</Constructor>
+
+ <!-- SwaptionVolatilityCubeBySabr constructors -->
+ <Constructor name='qlSwaptionVolatilityCubeBySabr2'>
+ <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction>
+ <functionCategory>QuantLib</functionCategory>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters>
+ <Parameter name='atmVolStructure' libToHandle='SwaptionVolatilityStructure'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>At-the-money volatility structure</description>
+ </Parameter>
+ <Parameter name='expiries' libraryType='QuantLib::Period'>
+ <type>string</type>
+ <tensorRank>vector</tensorRank>
+ <description>smile cube's expiries as periods</description>
+ </Parameter>
+ <Parameter name='swapLengths' libraryType='QuantLib::Period'>
+ <type>string</type>
+ <tensorRank>vector</tensorRank>
+ <description>smile cube's underlying swap lengths</description>
+ </Parameter>
+ <Parameter name='strikeSpreads' libraryType='QuantLib::Spread'>
+ <type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>smile cube's strike spreads over the ATM strike rate.</description>
+ </Parameter>
+ <Parameter name='spreadVols' libToHandle='Quote'>
+ <type>string</type>
+ <tensorRank>matrix</tensorRank>
+ <description>matrix of spread vol quotes</description>
+ </Parameter>
+ <Parameter name='calendar' enumeration='QuantLib::Calendar'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>holiday calendar (e.g. TARGET)</description>
+ </Parameter>
+ <Parameter name='swapSettlDays'>
+ <type>long</type>
+ <tensorRank>scalar</tensorRank>
+ <description>underlying swap settlement days (e.g. 2)</description>
+ </Parameter>
+ <Parameter name='fxdLegFreq' enumeration='QuantLib::Frequency'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>swap's fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description>
+ </Parameter>
+ <Parameter name='fxdLegBDC' enumeration='QuantLib::BusinessDayConvention'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>swap's fixed leg business day convention</description>
+ </Parameter>
+ <Parameter name='fxdLegDC' enumeration='QuantLib::DayCounter'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>swap's fixed leg day counter (e.g. Actual/360)</description>
+ </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'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>floating leg short tenor Index</description>
+ </Parameter>
+ <Parameter name='parametersGuess' libraryType='QuantLib::Matrix'>
+ <type>double</type>
+ <tensorRank>matrix</tensorRank>
+ <description>matrix of parameters guess.</description>
+ </Parameter>
+ <Parameter name='isParamFixed'>
+ <type>bool</type>
+ <tensorRank>vector</tensorRank>
+ <description>if TRUE parameter guess is not calibrated.</description>
+ </Parameter>
+ <Parameter name='isAtmCalibrated'>
+ <type>bool</type>
+ <tensorRank>scalar</tensorRank>
+ <description>if TRUE the cube is calibrated to atm matrix .</description>
+ </Parameter>
+ </Parameters>
+ </ParameterList>
+ </Constructor>
<!-- SwaptionVolatilityCubeBySabr interface -->
Index: cmsmarket.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** cmsmarket.xml 11 Oct 2006 11:33:43 -0000 1.6
--- cmsmarket.xml 24 Oct 2006 13:20:23 -0000 1.7
***************
*** 126,129 ****
--- 126,160 ----
</ReturnValue>
</Member>
+
+ <Member name='qlSimultaneousCalibrationError' libraryClass='SmileAndCmsCalibrationBySabr'>
+ <description>Returns the error of the simultaneous calibration</description>
+ <libraryFunction>error</libraryFunction>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters/>
+ </ParameterList>
+ <ReturnValue>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ </ReturnValue>
+ </Member>
+
+
+ <Member name='qlSimultaneousCalibrationEndCriteria' libraryClass='SmileAndCmsCalibrationBySabr'>
+ <description>Returns the optimization end criteria of the simultaneous calibration</description>
+ <libraryFunction>endCriteria</libraryFunction>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters/>
+ </ParameterList>
+ <ReturnValue enumeration='QuantLib::EndCriteria::Type'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ </ReturnValue>
+ </Member>
</Functions>
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