Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15449/gensrc/metadata
Modified Files:
marketmodels.xml quotes.xml
Log Message:
Added multistepratchet class
Index: quotes.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/quotes.xml,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** quotes.xml 14 Dec 2006 16:12:43 -0000 1.7
--- quotes.xml 4 Jan 2007 10:42:08 -0000 1.8
***************
*** 241,245 ****
--- 241,306 ----
</ParameterList>
</Constructor>
+
+ <Member name='qlFuturesConvAdjustmentQuoteImmDate' handleToLib='FuturesConvAdjustmentQuote'>
+ <description>Return the IMM date of futures</description>
+ <libraryFunction>immDate</libraryFunction>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters/>
+ </ParameterList>
+ <ReturnValue libraryType='QuantLib::Date'>
+ <type>long</type>
+ <tensorRank>scalar</tensorRank>
+ </ReturnValue>
+ </Member>
+ <Member name='qlFuturesConvAdjustmentQuoteUnderlying' handleToLib='FuturesConvAdjustmentQuote'>
+ <description>Return the value of futures underlying</description>
+ <libraryFunction>futuresValue</libraryFunction>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters/>
+ </ParameterList>
+ <ReturnValue>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ </ReturnValue>
+ </Member>
+
+ <Member name='qlFuturesConvAdjustmentQuoteVolatility' handleToLib='FuturesConvAdjustmentQuote'>
+ <description>Return the value of HW volatility</description>
+ <libraryFunction>volatility</libraryFunction>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters/>
+ </ParameterList>
+ <ReturnValue>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ </ReturnValue>
+ </Member>
+
+ <Member name='qlFuturesConvAdjustmentQuoteMeanReversion' handleToLib='FuturesConvAdjustmentQuote'>
+ <description>Return the value of HW mean reversion</description>
+ <libraryFunction>meanReversion</libraryFunction>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters/>
+ </ParameterList>
+ <ReturnValue>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ </ReturnValue>
+ </Member>
+
+
</Functions>
</Category>
Index: marketmodels.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v
retrieving revision 1.62
retrieving revision 1.63
diff -C2 -d -r1.62 -r1.63
*** marketmodels.xml 2 Jan 2007 02:19:29 -0000 1.62
--- marketmodels.xml 4 Jan 2007 10:42:08 -0000 1.63
***************
*** 16,19 ****
--- 16,20 ----
Copyright (C) 2006 Marco Bianchetti
Copyright (C) 2006 Cristina Duminuco
+ Copyright (C) 2006 Giorgio Facchinetti
</copyright>
<Functions>
***************
*** 104,107 ****
--- 105,164 ----
</Constructor>
+ <Constructor name='qlMarketModelMultiStepRatchet'>
+ <libraryFunction>MultiStepRatchet</libraryFunction>
+ <functionCategory>QuantLib</functionCategory>
+ <SupportedPlatforms>
+ <Excel/>
+ </SupportedPlatforms>
+ <ParameterList>
+ <Parameters>
+ <Parameter name='rateTimes' libraryType='QuantLib::Time'>
+ <type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>rate fixing times</description>
+ </Parameter>
+ <Parameter name='accruals'>
+ <type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>accrual factors</description>
+ </Parameter>
+ <Parameter name='paymentTimes' libraryType='QuantLib::Time'>
+ <type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>payment times of the product</description>
+ </Parameter>
+ <Parameter name='gearingOfFloor' libraryType='QuantLib::Real'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>gearing of floor</description>
+ </Parameter>
+ <Parameter name='gearingOfFixing' libraryType='QuantLib::Real'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>gearing of fixing</description>
+ </Parameter>
+ <Parameter name='spreadOfFloor' libraryType='QuantLib::Real'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>spread of floor</description>
+ </Parameter>
+ <Parameter name='spreadOfFixing' libraryType='QuantLib::Real'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>spread of fixing</description>
+ </Parameter>
+ <Parameter name='initialFloor' libraryType='QuantLib::Real'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>initial floor</description>
+ </Parameter>
+ <Parameter name='payer'>
+ <type>bool</type>
+ <tensorRank>scalar</tensorRank>
+ <description>payer if true</description>
+ </Parameter>
+ </Parameters>
+ </ParameterList>
+ </Constructor>
<!--<Constructor name='qlMarketModelOneStepOptionlets'>
<libraryFunction>OneStepOptionlets</libraryFunction>
***************
*** 1692,1696 ****
</ReturnValue>
</Member>
!
</Functions>
</Category>
--- 1749,1753 ----
</ReturnValue>
</Member>
!
</Functions>
</Category>
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