[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.53, 1.54
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.53, 1.54
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From: Marco B. <mar...@us...> - 2006-11-07 20:21:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12162/gensrc/metadata Modified Files: marketmodels.xml Log Message: Work in progress on SwapCovarianceApproximator. test to be finished swapCovarianceMatrix exported to QlAddin Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.53 retrieving revision 1.54 diff -C2 -d -r1.53 -r1.54 *** marketmodels.xml 6 Nov 2006 16:46:34 -0000 1.53 --- marketmodels.xml 7 Nov 2006 20:21:27 -0000 1.54 *************** *** 414,418 **** </Constructor> ! <!-- MarketModel base class interface --> <Member name='qlMarketModelInitialRates' libraryClass='MarketModel'> --- 414,418 ---- </Constructor> ! <!-- MarketModel base class interfaces --> <Member name='qlMarketModelInitialRates' libraryClass='MarketModel'> *************** *** 1152,1158 **** </Constructor> ! <!-- SwapForwardConversionMatrix class interface and constructor --> ! <!--Constructor name='qlSwapCovarianceApproximator'> <libraryFunction>SwapCovarianceApproximator</libraryFunction> <SupportedPlatforms> --- 1152,1158 ---- </Constructor> ! <!-- SwapForwardConversionMatrix class constructor and interfaces --> ! <Constructor name='qlSwapCovarianceApproximator'> <libraryFunction>SwapCovarianceApproximator</libraryFunction> <SupportedPlatforms> *************** *** 1169,1183 **** <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Index of expiry date</description> </Parameter> <Parameter name='maturity' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Index of maturity date</description> </Parameter> <Parameter name='displacement' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>displacement (one single value)</description> </Parameter> <Parameter name='forwardCovarianceMatrix' libraryType='QuantLib::Matrix'> --- 1169,1183 ---- <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Index of first expiry date</description> </Parameter> <Parameter name='maturity' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Index of last maturity date</description> </Parameter> <Parameter name='displacement' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Swap rate displacement (one single value)</description> </Parameter> <Parameter name='forwardCovarianceMatrix' libraryType='QuantLib::Matrix'> *************** *** 1188,1194 **** </Parameters> </ParameterList> ! </Constructor--> ! <!-- CurveState class interface and costructor --> <!--Procedure name='qlSwapForwardJacobian'> --- 1188,1207 ---- </Parameters> </ParameterList> ! </Constructor> ! <Member name='qlSwapCovarianceApproximatorSwapCovarianceMatrix' objectClass='SwapCovarianceApproximator'> ! <description>Given the forward covariance matrix, it returns the approximated swap covariance matrix corresponding to the (sub)set of coterminal swaps between expiry and maturity.</description> ! <libraryFunction>swapCovarianceMatrix</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> ! </Member> <!--Procedure name='qlSwapForwardJacobian'> *************** *** 1214,1217 **** --- 1227,1232 ---- </Procedure--> + <!-- CurveState class interfaces and costructor --> + <Member name='qlCurveStateRateTimes' libraryClass='CurveState'> <description>return the rate times of the CurveState object</description> *************** *** 1422,1426 **** </Constructor> ! <!-- DriftCalculator class interface and constructor --> <Member name='qlDriftCalculatorComputePlain' objectClass='DriftCalculator'> --- 1437,1477 ---- </Constructor> ! <!-- DriftCalculator class constructor and interfaces --> ! ! <Constructor name='qlDriftCalculator'> ! <libraryFunction>DriftCalculator</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='pseudo_square_root' libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>Pseudo square root of the covariance matrix</description> ! </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Spread'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>displacements</description> ! </Parameter> ! <Parameter name='taus' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>taus</description> ! </Parameter> ! <Parameter name='numeraire' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>numeraire</description> ! </Parameter> ! <Parameter name='alive' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>index of the first rates still alive</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> <Member name='qlDriftCalculatorComputePlain' objectClass='DriftCalculator'> *************** *** 1466,1505 **** </Member> - <Constructor name='qlDriftCalculator'> - <libraryFunction>DriftCalculator</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='pseudo_square_root' libraryType='QuantLib::Matrix'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>Pseudo square root of the covariance matrix</description> - </Parameter> - <Parameter name='displacements' libraryType='QuantLib::Spread'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>displacements</description> - </Parameter> - <Parameter name='taus' libraryType='QuantLib::Time'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>taus</description> - </Parameter> - <Parameter name='numeraire' libraryType='QuantLib::Size'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>numeraire</description> - </Parameter> - <Parameter name='alive' libraryType='QuantLib::Size'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>index of the first rates still alive</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <!-- BrownianGeneratorFactory derived classes constructors --> --- 1517,1520 ---- |
