[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.24, 1.25

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31138/gensrc/metadata

Modified Files:
	pricingengines.xml 
Log Message:
exported qlBlackStdDevDerivative

Index: pricingengines.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** pricingengines.xml	23 Oct 2006 08:37:21 -0000	1.24
--- pricingengines.xml	26 Oct 2006 10:46:42 -0000	1.25
***************
*** 134,137 ****
--- 134,168 ----
      </Procedure>
  
+     <Procedure name='qlBlackStdDevDerivative'>
+       <description>Black formula for the derivative with respect to the standard deviation.</description>
+       <alias>QuantLib::blackStdDevDerivative</alias>
+       <SupportedPlatforms>
+         <Excel/>
+       </SupportedPlatforms>
+       <ParameterList>
+         <Parameters>
+           <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>
+ 
      <Constructor name='qlPricingEngine'>
        <libraryFunction>PricingEngine</libraryFunction>