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>
|