|
From: Ferdinando A. <na...@us...> - 2006-11-27 18:10:08
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15302/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: added discretized Swaption Vol structure (intermediate) class Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.84 retrieving revision 1.85 diff -C2 -d -r1.84 -r1.85 *** swaptionvolstructure.xml 24 Nov 2006 16:01:18 -0000 1.84 --- swaptionvolstructure.xml 27 Nov 2006 18:10:02 -0000 1.85 *************** *** 40,44 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 40,44 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 76,80 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 76,80 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 88,93 **** </ReturnValue> </Member> ! <!--Member name='qlSwaptionVTSBlackVariance' libraryClass='SwaptionVolatilityStructure' loopParameter='strike'--> ! <Member name='qlSwaptionVTSBlackVariance' handleToLib='SwaptionVolatilityStructure'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>blackVariance</libraryFunction> --- 88,93 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSBlackVariance' handleToLib='SwaptionVolatilityStructure' loopParameter='optionDate'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>blackVariance</libraryFunction> *************** *** 99,103 **** <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> --- 99,103 ---- <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> *************** *** 112,116 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 112,116 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 121,129 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </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> --- 121,129 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlSwaptionVTSBlackVariance2' handleToLib='SwaptionVolatilityStructure' loopParameter='optionTenor'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given option tenor.</description> <libraryFunction>blackVariance</libraryFunction> *************** *** 135,139 **** <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>scalar</tensorRank> <description>swaption option tenor</description> </Parameter> --- 135,139 ---- <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>vector</tensorRank> <description>swaption option tenor</description> </Parameter> *************** *** 148,152 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 148,152 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 157,176 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMaxOptionDate' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the latest option date for which the term structure can return vols.</description> ! <libraryFunction>maxOptionDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 157,161 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> *************** *** 220,226 **** </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSBDConv' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the Business Day Convention.</description> <libraryFunction>businessDayConvention</libraryFunction> <SupportedPlatforms> --- 205,211 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSBusinessDayConvention' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the business day convention used for option date calculation.</description> <libraryFunction>businessDayConvention</libraryFunction> <SupportedPlatforms> *************** *** 236,239 **** --- 221,246 ---- </ReturnValue> </Member> + + <Member name='qlSwaptionVTSOptionDateFromTenor' handleToLib='SwaptionVolatilityStructure' loopParameter='optionTenor'> + <description>Returns the option date corresponding to a given option tenor, taking calendar and business day convention into account.</description> + <libraryFunction>optionDateFromTenor</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionTenor' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>swaption option tenor</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <!-- Handle<SwaptionVolatilityStructure> --> <Constructor name='qlHandleSwaptionVolatilityStructure'> *************** *** 342,347 **** </Constructor> ! <!-- SwaptionVolatilityMatrix interface --> ! <Member name='qlSwaptionVTSMatrixOptionDates' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of swaption exercise dates.</description> <libraryFunction>optionDates</libraryFunction> --- 349,354 ---- </Constructor> ! <!-- SwaptionVolatilityDiscrete interface --> ! <Member name='qlSwaptionVTSMatrixOptionDates' libraryClass='SwaptionVolatilityDiscrete'> <description>Returns the vector of swaption exercise dates.</description> <libraryFunction>optionDates</libraryFunction> *************** *** 358,362 **** </Member> ! <Member name='qlSwaptionVTSMatrixSwapTenors' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of underlying swap tenors.</description> <libraryFunction>swapTenors</libraryFunction> --- 365,384 ---- </Member> ! <Member name='qlSwaptionVTSMatrixOptionTenors' libraryClass='SwaptionVolatilityDiscrete'> ! <description>Returns the vector of swaption exercise tenors.</description> ! <libraryFunction>optionTenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixSwapTenors' libraryClass='SwaptionVolatilityDiscrete'> <description>Returns the vector of underlying swap tenors.</description> <libraryFunction>swapTenors</libraryFunction> *************** *** 373,376 **** --- 395,399 ---- </Member> + <!-- SwaptionVolatilityMatrix interface --> <Member name='qlSwaptionVTSMatrixLocate' objectClass='SwaptionVolatilityMatrix'> <description>Returns the lower indexes of sourrounding volatility matrix corners.</description> *************** *** 450,484 **** <!-- SwaptionVolatilityCube interface --> ! <Member name='qlSwaptionVTSCubeOptionDates' libraryClass='SwaptionVolatilityCube'> ! <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>optionDates</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSCubeSwapTenors' libraryClass='SwaptionVolatilityCube'> ! <description>Returns the vector of underlying swap tenors.</description> ! <libraryFunction>swapTenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> --- 473,477 ---- <!-- SwaptionVolatilityCube interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube' loopParameter='optionDate'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> *************** *** 490,494 **** <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> --- 483,487 ---- <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> *************** *** 500,510 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </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> --- 493,503 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlSwaptionVTSatmStrike2' libraryClass='SwaptionVolatilityCube' loopParameter='optionTenor'> <description>Returns the atm swaption strike for a given option tenor and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> *************** *** 516,521 **** <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>swaption option tenor</description> </Parameter> <Parameter name='swapTenor' libraryType='QuantLib::Period'> --- 509,514 ---- <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>swaption's option tenor</description> </Parameter> <Parameter name='swapTenor' libraryType='QuantLib::Period'> *************** *** 526,532 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 519,525 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
