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From: Francois du V. <fd...@us...> - 2006-11-17 09:21:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18173 Modified Files: capletvolstructure.xml Log Message: new CapsStripper constructor provided Smile Sections based CapletVolatilityStructure added Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** capletvolstructure.xml 31 Oct 2006 14:16:19 -0000 1.27 --- capletvolstructure.xml 17 Nov 2006 09:21:24 -0000 1.28 *************** *** 1,257 **** <Category name='capletvolstructure'> ! <description>functions to construct and use CapletVolatilityStructure objects</description> ! <displayName>Caplet Volatility Term Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/index.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>ql/Volatilities/capletconstantvol.hpp</include> ! <include>ql/Volatilities/capstripper.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>blackVariance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the minimum strike for which the term structure can return vols.</description> ! <libraryFunction>minStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMaxStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the maximum strike for which the term structure can return vols.</description> ! <libraryFunction>maxStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant'> ! <libraryFunction>CapletConstantVolatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='volatility' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatility Quote</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!-- CapsStripper interface--> ! <Member name='qlCapsStripperStrikes' libraryClass='CapsStripper'> ! <description>Returns the vector of cap strikes underlying the given ObjectID.</description> ! <libraryFunction>strikes</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapsStripperTenors' libraryClass='CapsStripper'> ! <description>Returns the vector of cap tenors underlying the given ObjectID.</description> ! <libraryFunction>tenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlCapsStripper'> ! <libraryFunction>CapsStripper</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>cap lengths.</description> ! </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap strikes.</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>matrix</tensorRank> ! <description>cap volatilities.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap index</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> - <!-- Handle<CapletVolatilityStructure> --> - <Constructor name='qlHandleCapletVolatilityStructuree'> - <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>ID of the CapletVolatilityStructure object</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> ! <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> ! <libraryFunction>linkTo</libraryFunction> ! <description>relink handle</description> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! </Functions> </Category> --- 1,296 ---- <Category name='capletvolstructure'> ! <description>functions to construct and use CapletVolatilityStructure objects</description> ! <displayName>Caplet Volatility Term Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/index.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>ql/Volatilities/capletconstantvol.hpp</include> ! <include>ql/Volatilities/capstripper.hpp</include> ! <include>qlo/swaptionvolstructure.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>blackVariance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the minimum strike for which the term structure can return vols.</description> ! <libraryFunction>minStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMaxStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the maximum strike for which the term structure can return vols.</description> ! <libraryFunction>maxStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant'> ! <libraryFunction>CapletConstantVolatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='volatility' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatility Quote</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!-- CapsStripper interface--> ! <Member name='qlCapsStripperStrikes' libraryClass='CapsStripper'> ! <description>Returns the vector of cap strikes underlying the given ObjectID.</description> ! <libraryFunction>strikes</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapsStripperTenors' libraryClass='CapsStripper'> ! <description>Returns the vector of cap tenors underlying the given ObjectID.</description> ! <libraryFunction>tenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlCapsStripper'> ! <libraryFunction>CapsStripper</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>cap lengths.</description> ! </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap strikes.</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>matrix</tensorRank> ! <description>cap volatilities.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap index</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! <Parameter name='impliedVolatilityAccuracy' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility Accuracy.</description> ! </Parameter> ! <Parameter name='maxEvaluations' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility max Evaluations.</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlSmileSectionsVolStructure'> ! <libraryFunction>SmileSectionsVolStructure</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='referenceDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>reference date</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='smileSections' libraryClass='SmileSectionInterface'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>smile sections IDs</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <!-- Handle<CapletVolatilityStructure> --> ! <Constructor name='qlHandleCapletVolatilityStructuree'> ! <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> ! <libraryFunction>linkTo</libraryFunction> ! <description>relink handle</description> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! </Functions> </Category> |
