Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31111/gensrc/metadata
Modified Files:
swaptionvolstructure.xml
Log Message:
Index: swaptionvolstructure.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v
retrieving revision 1.80
retrieving revision 1.81
diff -C2 -d -r1.80 -r1.81
*** swaptionvolstructure.xml 22 Nov 2006 13:34:14 -0000 1.80
--- swaptionvolstructure.xml 24 Nov 2006 09:17:24 -0000 1.81
***************
*** 272,279 ****
<description>reference date</description>
</Parameter>
! <Parameter name='volatility' libraryType='QuantLib::Volatility'>
! <type>double</type>
<tensorRank>scalar</tensorRank>
! <description>swaption constant volatilities </description>
</Parameter>
<Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
--- 272,279 ----
<description>reference date</description>
</Parameter>
! <Parameter name='volatility' libToHandle='Quote'>
! <type>string</type>
<tensorRank>scalar</tensorRank>
! <description>vol quotes</description>
</Parameter>
<Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
***************
*** 318,322 ****
<description>day counter (e.g. Actual/360)</description>
</Parameter>
! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'>
<type>string</type>
<tensorRank>scalar</tensorRank>
--- 318,322 ----
<description>day counter (e.g. Actual/360)</description>
</Parameter>
! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention' default='"Following"'>
<type>string</type>
<tensorRank>scalar</tensorRank>
***************
*** 674,681 ****
<ParameterList>
<Parameters>
! <Parameter name='expiry' libraryType='QuantLib::Time'>
! <type>double</type>
<tensorRank>scalar</tensorRank>
! <description>expiry</description>
</Parameter>
<Parameter name='strikes' libraryType='QuantLib::Rate'>
--- 674,686 ----
<ParameterList>
<Parameters>
! <Parameter name='expiry' libraryType='QuantLib::Date'>
! <type>long</type>
<tensorRank>scalar</tensorRank>
! <description>smile's expiry as 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='strikes' libraryType='QuantLib::Rate'>
***************
*** 693,718 ****
</Constructor>
- <Constructor name='qlFictitiousSmileSection'>
- <libraryFunction>InterpolatedSmileSection</libraryFunction>
- <functionCategory>QuantLib</functionCategory>
- <SupportedPlatforms>
- <Excel/>
- </SupportedPlatforms>
- <ParameterList>
- <Parameters>
- <Parameter name='expiry' libraryType='QuantLib::Time'>
- <type>double</type>
- <tensorRank>scalar</tensorRank>
- <description>expiry</description>
- </Parameter>
- <Parameter name='flatVolatility' libraryType='QuantLib::Volatility'>
- <type>double</type>
- <tensorRank>scalar</tensorRank>
- <description>flat Volatility</description>
- </Parameter>
- </Parameters>
- </ParameterList>
- </Constructor>
-
<Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'>
<description>Return the volatility from SmileSection</description>
--- 698,701 ----
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