[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata smilesection.xml, 1.10, 1.11
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata smilesection.xml, 1.10, 1.11
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From: Francois du V. <fd...@us...> - 2006-12-20 14:40:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11273 Modified Files: smilesection.xml Log Message: SabrInterpolatedSmileSection exposed to Excel Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** smilesection.xml 11 Dec 2006 21:52:24 -0000 1.10 --- smilesection.xml 20 Dec 2006 14:39:59 -0000 1.11 *************** *** 122,152 **** </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> --- 122,213 ---- </Constructor> + <Constructor name='qlSabrInterpolatedSmileSection'> + <libraryFunction>SabrInterpolatedSmileSection</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='stdDevs' libToHandle='Quote'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> + </Parameter> + <Parameter name='forward' libToHandle='Quote'> + <type>string</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> + <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> |
