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From: Giorgio F. <gi...@us...> - 2007-01-04 10:42:11
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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> |
