[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata capletvolstructure.xml, 1.31, 1.32 smilesection.xml, 1.1, 1.2 swaptionvolstructure.xml, 1.87, 1.88

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9020/gensrc/metadata

Modified Files:
	capletvolstructure.xml smilesection.xml 
	swaptionvolstructure.xml 
Log Message:
1) SmileSectionInterface renamed SmileSection
2) full SmileSection interface exposed to Excel
3) SabrSmileSection signature changed

Index: smilesection.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** smilesection.xml	1 Dec 2006 18:48:50 -0000	1.1
--- smilesection.xml	1 Dec 2006 21:13:33 -0000	1.2
***************
*** 1,155 ****
  <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&lt;QuantLib::Real&gt;()'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>alpha (fixed value or guess)</description>
!                     </Parameter>
!                     <Parameter name='beta' default='QuantLib::Null&lt;QuantLib::Real&gt;()'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>beta (fixed value or guess)</description>
!                     </Parameter>
!                     <Parameter name='nu' default='QuantLib::Null&lt;QuantLib::Real&gt;()'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>nu (fixed value or guess)</description>
!                     </Parameter>
!                     <Parameter name='rho' default='QuantLib::Null&lt;QuantLib::Real&gt;()'>
!                         <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>
--- 1,260 ----
  <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 Ferdinando Ametrano
!     Copyright (C) 2006 Francois du Vignaud
!   </copyright>
  
+   <Functions>
  
+     <Member name='qlSmileSectionVolatility' libraryClass='SmileSection'>
+       <description>Returns the volatility at a given strike from the SmileSection object</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>
  
+     <Member name='qlSmileSectionVariance' libraryClass='SmileSection'>
+       <description>Returns the variance at a given strike from the SmileSection object</description>
+       <libraryFunction>variance</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>
+         <type>double</type>
+         <tensorRank>scalar</tensorRank>
+       </ReturnValue>
+     </Member>
  
+     <Member name='qlSmileSectionExerciseDate' libraryClass='SmileSection'>
+       <description>Returns the exercise date of the SmileSection object</description>
+       <libraryFunction>variance</libraryFunction>
+       <SupportedPlatforms>
+         <Excel/>
+       </SupportedPlatforms>
+       <ParameterList>
+         <Parameters/>
+       </ParameterList>
+       <ReturnValue libraryType='QuantLib::Date'>
+         <type>long</type>
+         <tensorRank>scalar</tensorRank>
+       </ReturnValue>
+     </Member>
  
!     <Member name='qlSmileSectionDayCounter' libraryClass='SmileSection'>
!       <description>Returns the DayCounter of the SmileSection object</description>
!       <libraryFunction>dayCounter</libraryFunction>
!       <SupportedPlatforms>
!         <Excel/>
!       </SupportedPlatforms>
!       <ParameterList>
!         <Parameters/>
!       </ParameterList>
!       <ReturnValue enumeration='QuantLib::DayCounter'>
!         <type>string</type>
!         <tensorRank>scalar</tensorRank>
!       </ReturnValue>
!     </Member>
! 
!     <Constructor name='qlFlatSmileSection'>
!       <libraryFunction>FlatSmileSection</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='volatilities' libraryType='QuantLib::Volatility'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>volatilities</description>
!           </Parameter>
!           <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>day counter (e.g. Actual/360)</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
! 
!     <Constructor name='qlSabrSmileSection'>
!       <libraryFunction>SabrSmileSection</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='volatilities' libraryType='QuantLib::Volatility'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>volatilities</description>
!           </Parameter>
!           <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>day counter (e.g. Actual/360)</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&lt;QuantLib::Real&gt;()'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>alpha (fixed value or guess)</description>
!           </Parameter>
!           <Parameter name='beta' default='QuantLib::Null&lt;QuantLib::Real&gt;()'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>beta (fixed value or guess)</description>
!           </Parameter>
!           <Parameter name='nu' default='QuantLib::Null&lt;QuantLib::Real&gt;()'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>nu (fixed value or guess)</description>
!           </Parameter>
!           <Parameter name='rho' default='QuantLib::Null&lt;QuantLib::Real&gt;()'>
!             <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>-->
! 
!   </Functions>
!   <Constructor name='qlInterpolatedSmileSection'>
!       <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='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>
!           <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>day counter (e.g. Actual/360)</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
  
  </Category>

Index: capletvolstructure.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** capletvolstructure.xml	22 Nov 2006 13:34:14 -0000	1.31
--- capletvolstructure.xml	1 Dec 2006 21:13:33 -0000	1.32
***************
*** 260,264 ****
              <description>implied Volatility max Evaluations.</description>
            </Parameter>
!           <Parameter name='smileSections' libraryClass='SmileSectionInterface'>
              <type>string</type>
              <tensorRank>vector</tensorRank>
--- 260,264 ----
              <description>implied Volatility max Evaluations.</description>
            </Parameter>
!           <Parameter name='smileSections' libraryClass='SmileSection'>
              <type>string</type>
              <tensorRank>vector</tensorRank>
***************
*** 288,292 ****
              <description>day counter (e.g. Actual/360)</description>
            </Parameter>
!           <Parameter name='smileSections' libraryClass='SmileSectionInterface'>
              <type>string</type>
              <tensorRank>vector</tensorRank>
--- 288,292 ----
              <description>day counter (e.g. Actual/360)</description>
            </Parameter>
!           <Parameter name='smileSections' libraryClass='SmileSection'>
              <type>string</type>
              <tensorRank>vector</tensorRank>

Index: swaptionvolstructure.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v
retrieving revision 1.87
retrieving revision 1.88
diff -C2 -d -r1.87 -r1.88
*** swaptionvolstructure.xml	1 Dec 2006 19:34:23 -0000	1.87
--- swaptionvolstructure.xml	1 Dec 2006 21:13:33 -0000	1.88
***************
*** 4,8 ****
    <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
    <includes>
!     <include>ql/Volatilities/swaptionvolcubebylinear.hpp</include>
      <include>qlo/swaptionvolstructure.hpp</include>
      <include>qlo/index.hpp</include>
--- 4,8 ----
    <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
    <includes>
!     <include>ql/Volatilities/swaptionvolcube2.hpp</include>
      <include>qlo/swaptionvolstructure.hpp</include>
      <include>qlo/index.hpp</include>
***************
*** 526,532 ****
      </Member>
  
!     <!-- SwaptionVolatilityCubeBySabr constructors -->
!     <Constructor name='qlSwaptionVolatilityCubeBySabr'>
!       <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction>
        <functionCategory>QuantLib</functionCategory>
        <SupportedPlatforms>
--- 526,532 ----
      </Member>
  
!     <!-- SwaptionVolCube1 constructors -->
!     <Constructor name='qlSwaptionVolCube1'>
!       <libraryFunction>SwaptionVolCube1</libraryFunction>
        <functionCategory>QuantLib</functionCategory>
        <SupportedPlatforms>
***************
*** 589,594 ****
      </Constructor>
  
!     <!-- SwaptionVolatilityCubeBySabr interface -->
!     <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'>
        <description>return results of Sabr calibration</description>
        <libraryFunction>getSparseSabrParameters</libraryFunction>
--- 589,594 ----
      </Constructor>
  
!     <!-- SwaptionVolCube1 interface -->
!     <Member name='qlSparseSabrParameters' objectClass='SwaptionVolCube1'>
        <description>return results of Sabr calibration</description>
        <libraryFunction>getSparseSabrParameters</libraryFunction>
***************
*** 605,609 ****
      </Member>
  
!     <Member name='qlDenseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'>
        <description>return results of Sabr calibration</description>
        <libraryFunction>getDenseSabrParameters</libraryFunction>
--- 605,609 ----
      </Member>
  
!     <Member name='qlDenseSabrParameters' objectClass='SwaptionVolCube1'>
        <description>return results of Sabr calibration</description>
        <libraryFunction>getDenseSabrParameters</libraryFunction>
***************
*** 620,624 ****
      </Member>
  
!     <Member name='qlMarketVolCube' objectClass='SwaptionVolatilityCubeBySabr'>
        <description>return the market volatility cube</description>
        <libraryFunction>getMarketVolCube</libraryFunction>
--- 620,624 ----
      </Member>
  
!     <Member name='qlMarketVolCube' objectClass='SwaptionVolCube1'>
        <description>return the market volatility cube</description>
        <libraryFunction>getMarketVolCube</libraryFunction>
***************
*** 635,639 ****
      </Member>
  
!     <Member name='qlVolCubeAtmCalibrated' objectClass='SwaptionVolatilityCubeBySabr'>
        <description>return the volatility cube calibrated to ATM matrix</description>
        <libraryFunction>getVolCubeAtmCalibrated</libraryFunction>
--- 635,639 ----
      </Member>
  
!     <Member name='qlVolCubeAtmCalibrated' objectClass='SwaptionVolCube1'>
        <description>return the volatility cube calibrated to ATM matrix</description>
        <libraryFunction>getVolCubeAtmCalibrated</libraryFunction>