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From: Ferdinando A. <na...@us...> - 2006-10-31 11:04:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6056/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: changed swaptioVoleCub signature Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.70 retrieving revision 1.71 diff -C2 -d -r1.70 -r1.71 *** swaptionvolstructure.xml 31 Oct 2006 09:36:12 -0000 1.70 --- swaptionvolstructure.xml 31 Oct 2006 11:04:42 -0000 1.71 *************** *** 411,448 **** <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='swapSettlementDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap settlement days (e.g. 2)</description> ! </Parameter> ! <Parameter name='fixedLegFrequency' 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='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>swap's fixed leg business day convention</description> ! </Parameter> ! <Parameter name='fixedLegDayCounter' 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'> ! <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'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg short tenor Index</description> </Parameter> </Parameters> --- 411,418 ---- <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='swapIndexBaseID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap Index Base</description> </Parameter> </Parameters> *************** *** 476,576 **** </ReturnValue> </Member> - <!-- SwaptionVolatilityCubeBySabr constructors --> - <!--<Constructor name='qlSwaptionVolatilityCubeBySabr'> - <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='vols' libToHandle='QuantLib::Quote'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>smile cube's volatility spreads over the ATM vols.</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'> - <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'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>floating leg short tenor Index</description> - </Parameter> - <Parameter name='parGuess' libraryType='QuantLib::Matrix'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>matrix of parameters guess.</description> - </Parameter> - <Parameter name='isParFixed'> - <type>bool</type> - <tensorRank>vector</tensorRank> - <description>if TRUE parameter guess is not calibrated.</description> - </Parameter> - <Parameter name='isVegaWeighted'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>if TRUE the calibration is weighted using options Vega.</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 constructors --> --- 446,449 ---- *************** *** 613,650 **** <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'> ! <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'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg short tenor Index</description> </Parameter> <Parameter name='guess' libraryType='QuantLib::Matrix'> --- 486,493 ---- <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='swapIndexBaseID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap Index Base</description> </Parameter> <Parameter name='guess' libraryType='QuantLib::Matrix'> |
