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From: Francois du V. <fd...@us...> - 2006-12-01 18:48:54
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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> |
