[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata swap.xml, 1.33, 1.34
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From: Ferdinando A. <na...@us...> - 2006-11-06 10:29:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10483/gensrc/metadata Modified Files: swap.xml Log Message: exported makeCMS Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** swap.xml 26 Oct 2006 08:49:29 -0000 1.33 --- swap.xml 6 Nov 2006 10:29:41 -0000 1.34 *************** *** 6,9 **** --- 6,10 ---- <include>qlo/swap.hpp</include> <include>qlo/termstructures.hpp</include> + <include>qlo/swaptionvolstructure.hpp</include> </includes> <copyright> *************** *** 68,71 **** --- 69,128 ---- </Constructor> + <Constructor name='qlMakeCMS'> + <libraryFunction>Swap</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='swapTenor' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap tenor period</description> + </Parameter> + <Parameter name='swapIndex' libraryClass='SwapIndex'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap index</description> + </Parameter> + <Parameter name='iborSpread' libraryType='QuantLib::Spread'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spread over the ibor leg</description> + </Parameter> + <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Swaption Volatility Structure object ID</description> + </Parameter> + <Parameter name='VanillaCMSCouponPricerType'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> + </Parameter> + <Parameter name='yieldCurveModel' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>yield curve model for convexity adjustment (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> + </Parameter> + <Parameter name='meanReversion'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>mean reversion</description> + </Parameter> + <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='"0D"'>--> + <Parameter name='forwardStart' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>forward start period</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Constructor> + <Member name='qlSwapLegBPS' libraryClass='Swap'> <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> |