Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13865/metadata
Modified Files:
swaptionvolstructure.xml
Added Files:
smilesection.xml
Log Message:
generic interpolatedSmileSection exposed to excel
new file dedicated to smile section added
Index: swaptionvolstructure.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v
retrieving revision 1.85
retrieving revision 1.86
diff -C2 -d -r1.85 -r1.86
*** swaptionvolstructure.xml 27 Nov 2006 18:10:02 -0000 1.85
--- swaptionvolstructure.xml 1 Dec 2006 18:48:50 -0000 1.86
***************
*** 703,760 ****
</ParameterList>
</Constructor>
-
- <Constructor name='qlSmileSection'>
- <libraryFunction>InterpolatedSmileSection</libraryFunction>
- <functionCategory>QuantLib</functionCategory>
- <SupportedPlatforms>
- <Excel/>
- </SupportedPlatforms>
- <ParameterList>
- <Parameters>
- <Parameter name='optionDate' 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'>
- <type>double</type>
- <tensorRank>vector</tensorRank>
- <description>strikes</description>
- </Parameter>
- <Parameter name='volatilities' libraryType='QuantLib::Volatility'>
- <type>double</type>
- <tensorRank>vector</tensorRank>
- <description>volatilities</description>
- </Parameter>
- </Parameters>
- </ParameterList>
- </Constructor>
-
- <Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'>
- <description>Return the volatility from SmileSection</description>
- <libraryFunction>volatility</libraryFunction>
- <SupportedPlatforms>
- <Excel/>
- </SupportedPlatforms>
- <ParameterList>
- <Parameters>
- <Parameter name='strike' libraryType='QuantLib::Rate'>
- <type>double</type>
- <tensorRank>scalar</tensorRank>
- <description>strike</description>
- </Parameter>
- </Parameters>
- </ParameterList>
- <ReturnValue libraryType='QuantLib::Volatility'>
- <type>double</type>
- <tensorRank>scalar</tensorRank>
- </ReturnValue>
- </Member>
-
</Functions>
</Category>
--- 703,706 ----
--- NEW FILE: smilesection.xml ---
<Category name='smilesection'>
<description>functions to construct and use SmileSection objects</description>
<displayName>Smile Section Structures</displayName>
<xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
<includes>
<include>ql/Volatilities/interpolatedsmilesection.hpp</include>
<include>qlo/smilesection.hpp</include>
<include>qlo/optimization.hpp</include>
<include>ql/quote.hpp</include>
</includes>
<copyright>
Copyright (C) 2006 Francois du Vignaud
</copyright>
<Functions>
<Constructor name='qlSmileSection'>
<libraryFunction>InterpolatedSmileSection</libraryFunction>
<functionCategory>QuantLib</functionCategory>
<SupportedPlatforms>
<Excel/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='optionDate' 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'>
<type>double</type>
<tensorRank>vector</tensorRank>
<description>strikes</description>
</Parameter>
<Parameter name='volatilities' libraryType='QuantLib::Volatility'>
<type>double</type>
<tensorRank>vector</tensorRank>
<description>volatilities</description>
</Parameter>
</Parameters>
</ParameterList>
</Constructor>
<!--<Constructor name='qlSabrSmileSection'>
<libraryFunction>SabrSmileSection</libraryFunction>
<functionCategory>QuantLib</functionCategory>
<SupportedPlatforms>
<Excel/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='optionTime' libraryType='QuantLib::Time'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>smile's expiry as time</description>
</Parameter>
<Parameter name='strikes' libraryType='QuantLib::Rate'>
<type>double</type>
<tensorRank>vector</tensorRank>
<description>strikes</description>
</Parameter>
<Parameter name='volatilities' libToHandle='Quote'>
<type>string</type>
<tensorRank>vector</tensorRank>
<description>cap volatilities.</description>
</Parameter>
<Parameter name='forward' libraryType='QuantLib::Rate'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>atm rate</description>
</Parameter>
<Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>alpha (fixed value or guess)</description>
</Parameter>
<Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>beta (fixed value or guess)</description>
</Parameter>
<Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>nu (fixed value or guess)</description>
</Parameter>
<Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>rho (fixed value or guess)</description>
</Parameter>
<Parameter name='alphaIsFixed' default='false'>
<type>bool</type>
<tensorRank>scalar</tensorRank>
<description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description>
</Parameter>
<Parameter name='betaIsFixed' default='false'>
<type>bool</type>
<tensorRank>scalar</tensorRank>
<description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description>
</Parameter>
<Parameter name='nuIsFixed' default='false'>
<type>bool</type>
<tensorRank>scalar</tensorRank>
<description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description>
</Parameter>
<Parameter name='rhoIsFixed' default='false'>
<type>bool</type>
<tensorRank>scalar</tensorRank>
<description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description>
</Parameter>
<Parameter name='vegaWeighted' default='false'>
<type>bool</type>
<tensorRank>scalar</tensorRank>
<description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description>
</Parameter>
<Parameter name='method' libraryClass='OptimizationMethod'>
<type>string</type>
<tensorRank>scalar</tensorRank>
<description>Optimization Method</description>
</Parameter>
</Parameters>
</ParameterList>
</Constructor>-->
<Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'>
<description>Return the volatility from SmileSection</description>
<libraryFunction>volatility</libraryFunction>
<SupportedPlatforms>
<Excel/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='strike' libraryType='QuantLib::Rate'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>strike</description>
</Parameter>
</Parameters>
</ParameterList>
<ReturnValue libraryType='QuantLib::Volatility'>
<type>double</type>
<tensorRank>scalar</tensorRank>
</ReturnValue>
</Member>
</Functions>
</Category>
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