[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata capfloor.xml, 1.36, 1.37
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From: Ferdinando A. <na...@us...> - 2007-01-12 09:57:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25128/gensrc/metadata Modified Files: capfloor.xml Log Message: added qlCapFloorStartDate, qlCapFloorMaturityDate, qlCapFloorLastFixingDate Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** capfloor.xml 11 Jan 2007 11:25:47 -0000 1.36 --- capfloor.xml 12 Jan 2007 09:57:11 -0000 1.37 *************** *** 59,78 **** </Member> ! <Member name='qlCapFloorImpliedVolatility' libraryClass='CapFloor'> ! <description>Returns the volatility implied in a given price for the given CapFloor object</description> ! <libraryFunction>impliedVolatility</libraryFunction> <SupportedPlatforms> ! <Excel calcInWizard='false' /> </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='price'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Price used to infer the implied volatility</description> ! </Parameter> ! </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> --- 59,72 ---- </Member> ! <Member name='qlCapFloorAtmRate' libraryClass='CapFloor'> ! <description>Returns the at-the-money rate for the given CapFloor object</description> ! <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> ! <Excel calcInWizard='true' /> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 80,86 **** </Member> ! <Member name='qlCapFloorAtmRate' libraryClass='CapFloor'> ! <description>Returns the at-the-money rate for the given CapFloor object</description> ! <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> <Excel calcInWizard='true' /> --- 74,80 ---- </Member> ! <Member name='qlCapFloorVega' libraryClass='CapFloor'> ! <description>Returns the vega for the given CapFloor object</description> ! <libraryFunction>vega</libraryFunction> <SupportedPlatforms> <Excel calcInWizard='true' /> *************** *** 95,101 **** </Member> ! <Member name='qlCapFloorVega' libraryClass='CapFloor'> ! <description>Returns the vega for the given CapFloor object</description> ! <libraryFunction>vega</libraryFunction> <SupportedPlatforms> <Excel calcInWizard='true' /> --- 89,95 ---- </Member> ! <Member name='qlCapFloorStartDate' libraryClass='CapFloor'> ! <description>Returns the start (i.e. first accrual) date for the given CapFloor object</description> ! <libraryFunction>startDate</libraryFunction> <SupportedPlatforms> <Excel calcInWizard='true' /> *************** *** 104,108 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> <type>double</type> <tensorRank>scalar</tensorRank> --- 98,153 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorMaturityDate' libraryClass='CapFloor'> ! <description>Returns the maturity (i.e. last payment) date for the given CapFloor object</description> ! <libraryFunction>maturityDate</libraryFunction> ! <SupportedPlatforms> ! <Excel calcInWizard='true' /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorLastFixingDate' libraryClass='CapFloor'> ! <description>Returns the last fixing date for the given CapFloor object</description> ! <libraryFunction>lastFixingDate</libraryFunction> ! <SupportedPlatforms> ! <Excel calcInWizard='true' /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorImpliedVolatility' libraryClass='CapFloor'> ! <description>Returns the volatility implied in a given price for the given CapFloor object</description> ! <libraryFunction>impliedVolatility</libraryFunction> ! <SupportedPlatforms> ! <Excel calcInWizard='false' /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='price'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Price used to infer the implied volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 173,180 **** <description>option type (cap or floor)</description> </Parameter> ! <Parameter name='maturity' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>maturity as period (e.g. 2Y)</description> </Parameter> <Parameter name='index' libraryClass='IborIndex'> --- 218,225 ---- <description>option type (cap or floor)</description> </Parameter> ! <Parameter name='length' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>as period (e.g. 2Y)</description> </Parameter> <Parameter name='index' libraryClass='IborIndex'> *************** *** 192,196 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>forwardStart as period (e.g. 2Y)</description> </Parameter> <!--<Parameter name='capFloorEngineID' libraryClass='PricingEngine' default='boost::shared_ptr<QuantLib::PricingEngine>()'>--> --- 237,241 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>as period (e.g. '2Y'). The default is '0D'. If '0D' the first caplet is removed.</description> </Parameter> <!--<Parameter name='capFloorEngineID' libraryClass='PricingEngine' default='boost::shared_ptr<QuantLib::PricingEngine>()'>--> |