[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.25, 1.26
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.25, 1.26
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From: Ferdinando A. <na...@us...> - 2006-11-02 20:18:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27103/gensrc/metadata Modified Files: pricingengines.xml Log Message: added bachelierBlackFormula Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** pricingengines.xml 26 Oct 2006 10:46:42 -0000 1.25 --- pricingengines.xml 2 Nov 2006 20:18:42 -0000 1.26 *************** *** 42,46 **** <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> --- 42,46 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry</description> </Parameter> </Parameters> *************** *** 53,57 **** <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</alias> <SupportedPlatforms> --- 53,57 ---- <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</alias> <SupportedPlatforms> *************** *** 89,93 **** <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> --- 89,93 ---- <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> *************** *** 135,139 **** <Procedure name='qlBlackStdDevDerivative'> ! <description>Black formula for the derivative with respect to the standard deviation.</description> <alias>QuantLib::blackStdDevDerivative</alias> <SupportedPlatforms> --- 135,139 ---- <Procedure name='qlBlackStdDevDerivative'> ! <description>Black formula for the derivative with respect to the standard deviation (annualized percentage volatility times the square root of time to option expiry).</description> <alias>QuantLib::blackStdDevDerivative</alias> <SupportedPlatforms> *************** *** 165,168 **** --- 165,286 ---- </Procedure> + <Procedure name='qlBachelierBlackFormula'> + <description>Undiscounted Black style formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> + <alias>QuantLib::bachelierBlackFormula</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionType' enumeration='QuantLib::Option::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>option type (i.e. Call or Put)</description> + </Parameter> + <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 ABSOLUTE volatility times the square root of time to option expiry</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBachelierBlackPutFormula'> + <description>Undiscounted Black style put formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> + <alias>QuantLib::bachelierBlackPut</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='absoluteVolatility' libraryType='QuantLib::Volatility'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annualized ABSOLUTE volatility</description> + </Parameter> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + <Parameter name='annuity' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annuity</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBachelierBlackCallFormula'> + <description>Undiscounted Black style call formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> + <alias>QuantLib::bachelierBlackCall</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='absoluteVolatility' libraryType='QuantLib::Volatility'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annualized ABSOLUTE volatility</description> + </Parameter> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + <Parameter name='annuity' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annuity</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + <Constructor name='qlPricingEngine'> <libraryFunction>PricingEngine</libraryFunction> |
