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From: Giorgio F. <gi...@us...> - 2006-11-24 09:17:27
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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 ---- |
