[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.54, 1.55
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.54, 1.55
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From: Ferdinando A. <na...@us...> - 2006-11-09 17:33:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv700/gensrc/metadata Modified Files: marketmodels.xml Log Message: Mark Joshi's 5th week, day 2 Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.54 retrieving revision 1.55 diff -C2 -d -r1.54 -r1.55 *** marketmodels.xml 7 Nov 2006 20:21:27 -0000 1.54 --- marketmodels.xml 9 Nov 2006 17:32:53 -0000 1.55 *************** *** 5,8 **** --- 5,9 ---- <includes> <include>ql/MarketModels/swapforwardconversionmatrix.hpp</include> + <include>ql/MarketModels/swapforwardmappings.hpp</include> <include>ql/MarketModels/curvestate.hpp</include> <include>qlo/optimization.hpp</include> *************** *** 602,605 **** --- 603,672 ---- </Constructor> + <Constructor name='qlExpCorrAbcdVol'> + <libraryFunction>ExpCorrAbcdVol</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='a'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the a coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='b'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the b coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='c'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the c coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='d'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the d coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='ks'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>K_i adjustment factors in the abcd vol parametrization</description> + </Parameter> + <Parameter name='LongTermCorr'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> + </Parameter> + <Parameter name='beta'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> + </Parameter> + <Parameter name='evolutionDescription' underlyingClass='EvolutionDescription'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>EvolutionDescription object</description> + </Parameter> + <Parameter name='Factors'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>number of factors to be retained in the simulation</description> + </Parameter> + <Parameter name='initialRates' libraryType='QuantLib::Rate'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>initial rates</description> + </Parameter> + <Parameter name='displacements' libraryType='QuantLib::Spread'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>displacements</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <!-- Abcd Volatility --> *************** *** 1086,1155 **** </Constructor> - <Constructor name='qlExpCorrAbcdVol'> - <libraryFunction>ExpCorrAbcdVol</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='a'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the a coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='b'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the b coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='c'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the c coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='d'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the d coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='ks'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>K_i adjustment factors in the abcd vol parametrization</description> - </Parameter> - <Parameter name='LongTermCorr'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> - </Parameter> - <Parameter name='beta'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> - </Parameter> - <Parameter name='evolutionDescription' underlyingClass='EvolutionDescription'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>EvolutionDescription object</description> - </Parameter> - <Parameter name='Factors'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>number of factors to be retained in the simulation</description> - </Parameter> - <Parameter name='initialRates' libraryType='QuantLib::Rate'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>initial rates</description> - </Parameter> - <Parameter name='displacements' libraryType='QuantLib::Spread'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>displacements</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <!-- SwapForwardConversionMatrix class constructor and interfaces --> --- 1153,1156 ---- *************** *** 1205,1211 **** </Member> ! <!--Procedure name='qlSwapForwardJacobian'> ! <description>return the Jacobian between swap and forward rates</description> ! <alias>swapForwardJacobian</alias> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 1206,1234 ---- </Member> ! <Procedure name='qlCoterminalSwapForwardJacobian'> ! <description>Returns the jacobian between coterminal swap rates and forward rates</description> ! <alias>QuantLib::SwapForwardMappings::coterminalSwapForwardJacobian</alias> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='curveState' underlyingClass='CurveState'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>CurveState object ID</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> ! </Procedure> ! ! <Procedure name='qlCoterminalSwapZedMatrix'> ! <description>Returns the Z matrix to switch base from forward to coterminal swap rates</description> ! <alias>QuantLib::SwapForwardMappings::coterminalSwapZedMatrix</alias> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 1217,1221 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>ID of CurveState object</description> </Parameter> </Parameters> --- 1240,1249 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>CurveState object ID</description> ! </Parameter> ! <Parameter name='dispacement' libraryType='QuantLib::Spread'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>displacement spread</description> </Parameter> </Parameters> *************** *** 1225,1229 **** <tensorRank>matrix</tensorRank> </ReturnValue> ! </Procedure--> <!-- CurveState class interfaces and costructor --> --- 1253,1257 ---- <tensorRank>matrix</tensorRank> </ReturnValue> ! </Procedure> <!-- CurveState class interfaces and costructor --> |
