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<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>
--- 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<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>-->
!
! </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>
|