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From: Giorgio F. <gi...@us...> - 2006-11-22 10:58:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2906/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.78 retrieving revision 1.79 diff -C2 -d -r1.78 -r1.79 *** swaptionvolstructure.xml 16 Nov 2006 09:22:03 -0000 1.78 --- swaptionvolstructure.xml 22 Nov 2006 10:58:43 -0000 1.79 *************** *** 52,56 **** </ReturnValue> </Member> ! <!--Member name='qlSwaptionVTSBlackVariance' libraryClass='SwaptionVolatilityStructure' loopParameter='strike'--> <Member name='qlSwaptionVTSBlackVariance' handleToLib='SwaptionVolatilityStructure'> --- 52,91 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSVolatility2' handleToLib='SwaptionVolatilityStructure' loopParameter='optionTenor'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given option tenor and underlying swap length.</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionTenor' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>swaption option tenor</description> ! </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Underlying swap length as period (e.g. 5Y)</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>swaption 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 libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> <!--Member name='qlSwaptionVTSBlackVariance' libraryClass='SwaptionVolatilityStructure' loopParameter='strike'--> <Member name='qlSwaptionVTSBlackVariance' handleToLib='SwaptionVolatilityStructure'> *************** *** 90,93 **** --- 125,164 ---- </Member> + <Member name='qlSwaptionVTSBlackVariance2' handleToLib='SwaptionVolatilityStructure'> + <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given option tenor.</description> + <libraryFunction>blackVariance</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionTenor' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swaption option tenor</description> + </Parameter> + <Parameter name='length' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>underlying swap tenor</description> + </Parameter> + <Parameter name='strike' libraryType='QuantLib::Rate' const='False'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>swaption strike vector</description> + </Parameter> + <Parameter name='allowExtrapolation'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>Extrapolation Flag (TRUE allows extrapolation)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Member name='qlSwaptionVTSMaxExpiry' handleToLib='SwaptionVolatilityStructure'> <description>Returns the latest start date for which the term structure can return vols.</description> *************** *** 389,392 **** --- 460,489 ---- </ReturnValue> </Member> + + <Member name='qlSwaptionVTSatmStrike2' libraryClass='SwaptionVolatilityCube'> + <description>Returns the atm swaption strike for a given option tenor and underlying swap length.</description> + <libraryFunction>atmStrike</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionTenor' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swaption option tenor</description> + </Parameter> + <Parameter name='swapLength' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Underlying swap length as period (e.g. 5Y)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> <!-- SwaptionVolatilityCubeBySabr constructors --> *************** *** 515,519 **** <!-- SmileSectionInteface constructors --> ! <Constructor name='qlSmileSectionBySabr'> <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 612,616 ---- <!-- SmileSectionInteface constructors --> ! <Constructor name='qlSmileSectionByCube'> <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 528,538 **** <description>Swaption volatility cube by Sabr</description> </Parameter> ! <Parameter name='expiry' libraryType='QuantLib::Time'> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>expiry</description> </Parameter> ! <Parameter name='swapLength'> ! <type>double</type> <tensorRank>scalar</tensorRank> <description>smile's underlying swap length</description> --- 625,662 ---- <description>Swaption volatility cube by Sabr</description> </Parameter> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's underlying swap length</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlSmileSectionByCube2'> ! <libraryFunction>SabrSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCube'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube by Sabr</description> ! </Parameter> ! <Parameter name='expiry' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as period</description> ! </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> ! <type>string</type> <tensorRank>scalar</tensorRank> <description>smile's underlying swap length</description> |
