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From: Ferdinando A. <na...@us...> - 2006-11-02 13:45:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25185/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: SwaptionVolMatrix refactored Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.73 retrieving revision 1.74 diff -C2 -d -r1.73 -r1.74 *** swaptionvolstructure.xml 2 Nov 2006 08:35:31 -0000 1.73 --- swaptionvolstructure.xml 2 Nov 2006 13:45:20 -0000 1.74 *************** *** 223,231 **** <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> --- 223,226 ---- *************** *** 233,282 **** <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='QuantLib::Quote'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>swaption volatilities</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> ! ! <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> --- 228,236 ---- <description>holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries</description> </Parameter> ! <Parameter name='optionTenors' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>swaption expiries as periods</description> </Parameter> <Parameter name='swapTenors' libraryType='QuantLib::Period'> <type>string</type> *************** *** 294,297 **** --- 248,256 ---- <description>day counter (e.g. Actual/360)</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> </Parameters> </ParameterList> |
