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From: Giorgio F. <gi...@us...> - 2006-10-24 13:20:28
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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> |
