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From: Ferdinando A. <na...@us...> - 2006-11-02 08:35:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26080/gensrc/metadata Modified Files: date.xml swaptionvolstructure.xml Log Message: 1) swaptionvolcube refactoring 2) PLEASE AVOID USELESS INCLUSIONS!!!!!!! Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** date.xml 26 Oct 2006 08:49:27 -0000 1.18 --- date.xml 2 Nov 2006 08:35:31 -0000 1.19 *************** *** 68,72 **** </Procedure> ! <Procedure name='qlMaxDate2'> <description>returns the latest date allowed in QuantLib.</description> <alias>QuantLib::Date::maxDate</alias> --- 68,72 ---- </Procedure> ! <Procedure name='qlMaxDate'> <description>returns the latest date allowed in QuantLib.</description> <alias>QuantLib::Date::maxDate</alias> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.72 retrieving revision 1.73 diff -C2 -d -r1.72 -r1.73 *** swaptionvolstructure.xml 31 Oct 2006 14:16:19 -0000 1.72 --- swaptionvolstructure.xml 2 Nov 2006 08:35:31 -0000 1.73 *************** *** 299,317 **** <!-- SwaptionVolatilityMatrix interface --> - <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> - <description>Returns the underlying swap day counter.</description> - <libraryFunction>dayCounter</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of swaption exercise dates.</description> --- 299,302 ---- *************** *** 401,413 **** <description>smile cube's strike spreads over the ATM strike rate.</description> </Parameter> ! <Parameter name='volatilities' 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='swapIndexBaseID' libraryClass='SwapIndex'> --- 386,393 ---- <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='swapIndexBaseID' libraryClass='SwapIndex'> *************** *** 416,425 **** <description>swap Index Base</description> </Parameter> </Parameters> </ParameterList> </Constructor> ! <!-- SwaptionVolatilityCubeByLinear interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCubeByLinear'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> --- 396,410 ---- <description>swap Index Base</description> </Parameter> + <Parameter name='vegaWeightedSmileFit'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>if TRUE the smile fit is weighted using options' vega.</description> + </Parameter> </Parameters> </ParameterList> </Constructor> ! <!-- SwaptionVolatilityCube interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> *************** *** 481,489 **** <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='swapIndexBaseID' libraryClass='SwapIndex'> <type>string</type> --- 466,469 ---- *************** *** 491,494 **** --- 471,479 ---- <description>swap Index Base</description> </Parameter> + <Parameter name='vegaWeightedSmileFit'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>if TRUE the smile fit is weighted using options' vega.</description> + </Parameter> <Parameter name='guess' libraryType='QuantLib::Matrix'> <type>double</type> *************** *** 501,509 **** <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> --- 486,489 ---- |
