[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.29, 1.30
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata pricingengines.xml, 1.29, 1.30
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From: Ferdinando A. <na...@us...> - 2006-11-16 14:02:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30485/gensrc/metadata Modified Files: pricingengines.xml Log Message: exported cash probability functions Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** pricingengines.xml 16 Nov 2006 09:05:23 -0000 1.29 --- pricingengines.xml 16 Nov 2006 14:01:59 -0000 1.30 *************** *** 19,23 **** <Procedure name='qlBlackFormula'> ! <description>Black formula for option pricing</description> <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> --- 19,23 ---- <Procedure name='qlBlackFormula'> ! <description>Black 1976 formula for option pricing</description> <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> *************** *** 59,65 **** </Procedure> ! <Procedure name='qlBlackFormula2'> ! <description>Black formula for option pricing</description> ! <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> <Excel/> --- 59,65 ---- </Procedure> ! <Procedure name='qlBlackCashItmProbability'> ! <description>Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.</description> ! <alias>QuantLib::blackCashItmProbability</alias> <SupportedPlatforms> <Excel/> *************** *** 67,74 **** <ParameterList> <Parameters> ! <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 67,79 ---- <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'> *************** *** 82,90 **** <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> --- 87,90 ---- *************** *** 96,100 **** <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> --- 96,100 ---- <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 1976 formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</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> --- 137,141 ---- <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> *************** *** 188,192 **** <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> --- 188,192 ---- <Procedure name='qlBlackStdDevDerivative'> ! <description>Black 1976 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> *************** *** 264,267 **** --- 264,489 ---- </Procedure> + <Procedure name='qlBlackFormula2'> + <description>Black 1976 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='qlBlackCashItmProbability2'> + <description>Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.</description> + <alias>QuantLib::blackCashItmProbability</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> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBlackImpliedStdDevApproximation2'> + <description>Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula</description> + <alias>QuantLib::blackImpliedStdDevApproximation</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='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> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBlackImpliedStdDev2'> + <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula</description> + <alias>QuantLib::blackImpliedStdDev</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='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> + <description>standard deviation guess</description> + </Parameter> + <Parameter name='accuracy' default='1.0e-6'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation accuracy</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBlackStdDevDerivative2'> + <description>Black 1976 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> + <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 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='qlBachelierBlackFormula2'> + <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> + <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 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> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <!-- BlackCalculator interface and constructor --> <Member name='qlBlackCalculatorValue' libraryClass='BlackCalculator'> |
