[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.27, 1.28
Brought to you by:
ericehlers,
nando
Menu
▾
▴
[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.27, 1.28
|
From: Ferdinando A. <na...@us...> - 2006-11-13 09:43:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24995/gensrc/metadata Modified Files: pricingengines.xml Log Message: exported BlackCalculator and BlackScholesCalculator Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** pricingengines.xml 10 Nov 2006 17:59:14 -0000 1.27 --- pricingengines.xml 13 Nov 2006 09:43:42 -0000 1.28 *************** *** 9,13 **** --- 9,15 ---- <include>qlo/capletvolstructure.hpp</include> <include>qlo/shortratemodels.hpp</include> + <include>qlo/payoffs.hpp</include> <include>ql/PricingEngines/blackformula.hpp</include> + <include>ql/PricingEngines/blackscholescalculator.hpp</include> </includes> <copyright> *************** *** 17,21 **** <Procedure name='qlBlackFormula'> ! <description>Undiscounted Black formula for option pricing</description> <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> --- 19,23 ---- <Procedure name='qlBlackFormula'> ! <description>Black formula for option pricing</description> <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> *************** *** 44,47 **** --- 46,54 ---- <description>standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry</description> </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> </Parameters> </ParameterList> *************** *** 52,57 **** </Procedure> <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> --- 59,100 ---- </Procedure> + <!--<Procedure name='qlBlackFormula2'> + <description>Black formula for option pricing</description> + <alias>QuantLib::blackFormula</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>PlainVanilla payoff ID</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 percentage volatility times the square root of time to option expiry</description> + </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure>--> + <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</alias> <SupportedPlatforms> *************** *** 75,82 **** <description>underlying forward value</description> </Parameter> ! <Parameter name='undiscountedPrice'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>undiscounted option price</description> </Parameter> </Parameters> --- 118,130 ---- <description>underlying forward value</description> </Parameter> ! <Parameter name='price'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>option price</description> ! </Parameter> ! <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>discount factor</description> </Parameter> </Parameters> *************** *** 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> --- 137,141 ---- <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> *************** *** 111,120 **** <description>underlying forward value</description> </Parameter> ! <Parameter name='undiscountedPrice'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>undiscounted option price</description> </Parameter> ! <Parameter name='guess' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> --- 159,173 ---- <description>underlying forward value</description> </Parameter> ! <Parameter name='price'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>option price</description> </Parameter> ! <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>discount factor</description> ! </Parameter> ! <Parameter name='guess' default='QuantLib::Null<QuantLib::Real>()'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 157,160 **** --- 210,218 ---- <description>standard deviation, i.e. annualized volatility times the square root of time to option expiry</description> </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> </Parameters> </ParameterList> *************** *** 166,170 **** <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> --- 224,228 ---- <Procedure name='qlBachelierBlackFormula'> ! <description>Black style formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> <alias>QuantLib::bachelierBlackFormula</alias> <SupportedPlatforms> *************** *** 193,196 **** --- 251,259 ---- <description>standard deviation, i.e. annualized ABSOLUTE volatility times the square root of time to option expiry</description> </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> </Parameters> </ParameterList> *************** *** 201,204 **** --- 264,743 ---- </Procedure> + <!-- BlackCalculator interface and constructor --> + <Member name='qlBlackCalculatorValue' libraryClass='BlackCalculator'> + <description>returns the option value.</description> + <libraryFunction>value</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorDeltaForward' libraryClass='BlackCalculator'> + <description>returns the sensitivity to change in the underlying forward price.</description> + <libraryFunction>deltaForward</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorDelta' libraryClass='BlackCalculator'> + <description>returns the sensitivity to change in the underlying spot price.</description> + <libraryFunction>delta</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='spot' libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spot value</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorElasticityForward' libraryClass='BlackCalculator'> + <description>returns the sensitivity in percent to a percent change in the underlying forward price.</description> + <libraryFunction>elasticityForward</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorElasticity' libraryClass='BlackCalculator'> + <description>returns the sensitivity in percent to a percent change in the underlying spot price.</description> + <libraryFunction>elasticity</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='spot' libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spot value</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorGammaForward' libraryClass='BlackCalculator'> + <description>returns the second order derivative with respect to change in the underlying forward price.</description> + <libraryFunction>gammaForward</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorGamma' libraryClass='BlackCalculator'> + <description>returns the second order derivative with respect to change in the underlying spot price.</description> + <libraryFunction>gamma</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='spot' libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spot value</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorTheta' libraryClass='BlackCalculator'> + <description>returns the sensitivity to time to maturity.</description> + <libraryFunction>theta</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='spot' libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spot value</description> + </Parameter> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorThetaPerDay' libraryClass='BlackCalculator'> + <description>returns the sensitivity to time to maturity per day, assuming 365 days per year.</description> + <libraryFunction>thetaPerDay</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='spot' libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spot value</description> + </Parameter> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorVega' libraryClass='BlackCalculator'> + <description>returns the sensitivity to volatility.</description> + <libraryFunction>vega</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorRho' libraryClass='BlackCalculator'> + <description>returns the sensitivity to discounting rate.</description> + <libraryFunction>rho</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorDividendRho' libraryClass='BlackCalculator'> + <description>returns the sensitivity to dividend/growth rate.</description> + <libraryFunction>dividendRho</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorItmCashProbability' libraryClass='BlackCalculator'> + <description>returns the probability of being in the money in the bond martingale measure. It is a risk-neutral probability, not the real world probability.</description> + <libraryFunction>itmCashProbability</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorItmAssetProbability' libraryClass='BlackCalculator'> + <description>returns the probability of being in the money in the asset martingale measure. It is a risk-neutral probability, not the real world probability.</description> + <libraryFunction>itmAssetProbability</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorStrikeSensitivity' libraryClass='BlackCalculator'> + <description>returns the sensitivity to strike.</description> + <libraryFunction>strikeSensitivity</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorAlpha' libraryClass='BlackCalculator'> + <description>returns the alpha of the internal formulation.</description> + <libraryFunction>alpha</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackCalculatorBeta' libraryClass='BlackCalculator'> + <description>returns the beta of the internal formulation.</description> + <libraryFunction>beta</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Constructor name='qlBlackCalculator'> + <libraryFunction>BlackCalculator</libraryFunction> + <SupportedPlatforms> + <Excel/> + <C/> + <Calc/> + <Guile/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='StrikedTypePayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>payoff ID</description> + </Parameter> + <Parameter name='forward' libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>forward value</description> + </Parameter> + <Parameter name='stdDev' libraryType='QuantLib::Real'> + <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> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <!-- BlackScholesCalculator interface and constructor --> + <Member name='qlBlackScholesCalculatorDelta' libraryClass='BlackScholesCalculator'> + <description>returns the sensitivity to change in the underlying spot price.</description> + <libraryFunction>delta</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackScholesCalculatorElasticity' libraryClass='BlackScholesCalculator'> + <description>returns the sensitivity in percent to a percent change in the underlying spot price.</description> + <libraryFunction>elasticity</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackScholesCalculatorGamma' libraryClass='BlackScholesCalculator'> + <description>returns the second order derivative with respect to change in the underlying spot price.</description> + <libraryFunction>gamma</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackScholesCalculatorTheta' libraryClass='BlackScholesCalculator'> + <description>returns the sensitivity to time to maturity.</description> + <libraryFunction>theta</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBlackScholesCalculatorThetaPerDay' libraryClass='BlackScholesCalculator'> + <description>returns the sensitivity to time to maturity per day, assuming 365 days per year.</description> + <libraryFunction>thetaPerDay</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Constructor name='qlBlackScholesCalculator'> + <libraryFunction>BlackScholesCalculator</libraryFunction> + <SupportedPlatforms> + <Excel/> + <C/> + <Calc/> + <Guile/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='StrikedTypePayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>payoff ID</description> + </Parameter> + <Parameter name='spot' libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spot value</description> + </Parameter> + <Parameter name='growth' libraryType='QuantLib::DiscountFactor' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>growth discount factor</description> + </Parameter> + <Parameter name='stdDev' libraryType='QuantLib::Real'> + <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> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <!-- Pricing Engines --> <Constructor name='qlPricingEngine'> <libraryFunction>PricingEngine</libraryFunction> |
