Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23521/gensrc/metadata
Modified Files:
capfloor.xml vanillaswap.xml
Log Message:
default values added
Index: vanillaswap.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v
retrieving revision 1.32
retrieving revision 1.33
diff -C2 -d -r1.32 -r1.33
*** vanillaswap.xml 26 Oct 2006 08:41:14 -0000 1.32
--- vanillaswap.xml 26 Oct 2006 10:32:33 -0000 1.33
***************
*** 1,234 ****
<Category name='vanillaswap'>
! <description>functions to construct and use VanillaSwap objects</description>
! <displayName>Vanilla Swap</displayName>
! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
! <includes>
! <include>qlo/vanillaswap.hpp</include>
! <include>qlo/termstructures.hpp</include>
! </includes>
! <copyright>
! Copyright (C) 2005, 2006 Eric Ehlers
! Copyright (C) 2005 Plamen Neykov
! Copyright (C) 2005 Aurelien Chanudet
! </copyright>
! <Functions>
! <Constructor name='qlVanillaSwap'>
! <libraryFunction>VanillaSwap</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters>
! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>PAYER to pay the fixed rate, RECEIVER to receive it</description>
! </Parameter>
! <Parameter name='Nominal'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>Notional Amount</description>
! </Parameter>
! <Parameter name='fixedLegScheduleID' libraryClass='Schedule'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>fixed leg schedule</description>
! </Parameter>
! <Parameter name='fixedRate' libraryType='QuantLib::Rate'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>the fixed rate</description>
! </Parameter>
! <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>fixed leg day counter (e.g. Actual/360)</description>
! </Parameter>
! <Parameter name='floatingLegScheduleID' libraryClass='Schedule'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating leg schedule</description>
! </Parameter>
! <Parameter name='indexID' libraryClass='Xibor'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating leg Index</description>
! </Parameter>
! <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>Index Spread</description>
! </Parameter>
! <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating day counter (e.g. Actual/360)</description>
! </Parameter>
! <Parameter name='termStructureID' libToHandle='YieldTermStructure'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>discounting term structure</description>
! </Parameter>
! </Parameters>
! </ParameterList>
! </Constructor>
! <Constructor name='qlMakeVanillaSwap'>
! <libraryFunction>VanillaSwap</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters>
! <Parameter name='swapTenor' libraryType='QuantLib::Period'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>swap tenor period</description>
! </Parameter>
! <Parameter name='index' libraryClass='Xibor'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating index</description>
! </Parameter>
! <Parameter name='fixedRate' libraryType='QuantLib::Rate'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>the fixed rate</description>
! </Parameter>
! <Parameter name='forwardStart' libraryType='QuantLib::Period'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>forward start period</description>
! </Parameter>
! </Parameters>
! </ParameterList>
! <ReturnValue>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Constructor>
! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'>
! <description>the fair rate of a swap</description>
! <libraryFunction>fairRate</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'>
! <description>the fair rate of a swap</description>
! <libraryFunction>fairSpread</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'>
! <description>the BPS of the fixed leg</description>
! <libraryFunction>fixedLegBPS</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'>
! <description>the NPV of the fixed leg</description>
! <libraryFunction>fixedLegNPV</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFixedLegAnalysis' objectClass='VanillaSwap'>
! <description>The fixed leg cash flow analysis</description>
! <libraryFunction>fixedLegAnalysis</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters>
! </Parameters>
! </ParameterList>
! <ReturnValue>
! <type>any</type>
! <tensorRank>matrix</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'>
! <description>the BPS of the floating leg</description>
! <libraryFunction>floatingLegBPS</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'>
! <description>the NPV of the floating leg</description>
! <libraryFunction>floatingLegNPV</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'>
! <description>The floating leg cash flow analysis</description>
! <libraryFunction>floatingLegAnalysis</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>any</type>
! <tensorRank>matrix</tensorRank>
! </ReturnValue>
! </Member>
! </Functions>
</Category>
--- 1,235 ----
<Category name='vanillaswap'>
! <description>functions to construct and use VanillaSwap objects</description>
! <displayName>Vanilla Swap</displayName>
! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
! <includes>
! <include>qlo/vanillaswap.hpp</include>
! <include>qlo/termstructures.hpp</include>
! </includes>
! <copyright>
! Copyright (C) 2005, 2006 Eric Ehlers
! Copyright (C) 2005 Plamen Neykov
! Copyright (C) 2005 Aurelien Chanudet
! </copyright>
! <Functions>
! <Constructor name='qlVanillaSwap'>
! <libraryFunction>VanillaSwap</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters>
! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>PAYER to pay the fixed rate, RECEIVER to receive it</description>
! </Parameter>
! <Parameter name='Nominal'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>Notional Amount</description>
! </Parameter>
! <Parameter name='fixedLegScheduleID' libraryClass='Schedule'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>fixed leg schedule</description>
! </Parameter>
! <Parameter name='fixedRate' libraryType='QuantLib::Rate'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>the fixed rate</description>
! </Parameter>
! <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>fixed leg day counter (e.g. Actual/360)</description>
! </Parameter>
! <Parameter name='floatingLegScheduleID' libraryClass='Schedule'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating leg schedule</description>
! </Parameter>
! <Parameter name='indexID' libraryClass='Xibor'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating leg Index</description>
! </Parameter>
! <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>Index Spread</description>
! </Parameter>
! <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating day counter (e.g. Actual/360)</description>
! </Parameter>
! <Parameter name='termStructureID' libToHandle='YieldTermStructure'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>discounting term structure</description>
! </Parameter>
! </Parameters>
! </ParameterList>
! </Constructor>
! <Constructor name='qlMakeVanillaSwap'>
! <libraryFunction>VanillaSwap</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters>
! <Parameter name='swapTenor' libraryType='QuantLib::Period'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>swap tenor period</description>
! </Parameter>
! <Parameter name='index' libraryClass='Xibor'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>floating index</description>
! </Parameter>
! <Parameter name='fixedRate' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! <description>the fixed rate</description>
! </Parameter>
! <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='"0D"'>-->
! <Parameter name='forwardStart' libraryType='QuantLib::Period'>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! <description>forward start period</description>
! </Parameter>
! </Parameters>
! </ParameterList>
! <ReturnValue>
! <type>string</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Constructor>
! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'>
! <description>the fair rate of a swap</description>
! <libraryFunction>fairRate</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'>
! <description>the fair rate of a swap</description>
! <libraryFunction>fairSpread</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'>
! <description>the BPS of the fixed leg</description>
! <libraryFunction>fixedLegBPS</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'>
! <description>the NPV of the fixed leg</description>
! <libraryFunction>fixedLegNPV</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFixedLegAnalysis' objectClass='VanillaSwap'>
! <description>The fixed leg cash flow analysis</description>
! <libraryFunction>fixedLegAnalysis</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters>
! </Parameters>
! </ParameterList>
! <ReturnValue>
! <type>any</type>
! <tensorRank>matrix</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'>
! <description>the BPS of the floating leg</description>
! <libraryFunction>floatingLegBPS</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'>
! <description>the NPV of the floating leg</description>
! <libraryFunction>floatingLegNPV</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>double</type>
! <tensorRank>scalar</tensorRank>
! </ReturnValue>
! </Member>
! <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'>
! <description>The floating leg cash flow analysis</description>
! <libraryFunction>floatingLegAnalysis</libraryFunction>
! <SupportedPlatforms>
! <Excel/>
! </SupportedPlatforms>
! <ParameterList>
! <Parameters/>
! </ParameterList>
! <ReturnValue>
! <type>any</type>
! <tensorRank>matrix</tensorRank>
! </ReturnValue>
! </Member>
! </Functions>
</Category>
Index: capfloor.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v
retrieving revision 1.30
retrieving revision 1.31
diff -C2 -d -r1.30 -r1.31
*** capfloor.xml 26 Oct 2006 08:43:57 -0000 1.30
--- capfloor.xml 26 Oct 2006 10:32:32 -0000 1.31
***************
*** 183,191 ****
<description>floating index</description>
</Parameter>
! <Parameter name='strike' libraryType='QuantLib::Rate'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>strike</description>
</Parameter>
<Parameter name='forwardStart' libraryType='QuantLib::Period'>
<type>string</type>
--- 183,192 ----
<description>floating index</description>
</Parameter>
! <Parameter name='strike' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>strike</description>
</Parameter>
+ <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='"0D"'>-->
<Parameter name='forwardStart' libraryType='QuantLib::Period'>
<type>string</type>
***************
*** 193,196 ****
--- 194,198 ----
<description>forwardStart as period (e.g. 2Y)</description>
</Parameter>
+ <!--<Parameter name='capFloorEngineID' libraryClass='PricingEngine' default='boost::shared_ptr<QuantLib::PricingEngine>()'>-->
<Parameter name='capFloorEngineID' libraryClass='PricingEngine'>
<type>string</type>
|