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From: Ferdinando A. <na...@us...> - 2006-11-07 10:16:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12845/gensrc/metadata Modified Files: shortratemodels.xml Log Message: proper fix Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** shortratemodels.xml 7 Nov 2006 10:12:16 -0000 1.15 --- shortratemodels.xml 7 Nov 2006 10:16:48 -0000 1.16 *************** *** 9,12 **** --- 9,13 ---- Copyright (C) 2006 Chiara Fornarola </copyright> + <Functions> *************** *** 68,115 **** </Constructor> ! <!--Procedure name='qlFuturesConvexityBias'> ! <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description> ! <alias>QuantLib::convexityBias</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='futuresPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Futures price (e.g. 94.56)</description> ! </Parameter> ! <Parameter name='t'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Maturity date of the futures contract in years(e.g. 5.0)</description> ! </Parameter> ! <Parameter name='T'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Maturity of the underlying Libor deposit in years (e.g. 5.25)</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Hull-White volatility (e.g. 0.015)</description> ! </Parameter> ! <Parameter name='a' default='0.03'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Hull-White mean reversion (e.g. 0.03)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure--> ! ! <Member name='qlFuturesConvexityBias' libraryClass='HullWhite'> <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description> ! <libraryFunction>convexityBias</libraryFunction> <SupportedPlatforms> <Excel/> --- 69,75 ---- </Constructor> ! <Procedure name='qlFuturesConvexityBias'> <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description> ! <alias>QuantLib::HullWhite::convexityBias</alias> <SupportedPlatforms> <Excel/> *************** *** 148,152 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> </Functions> --- 108,112 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> </Functions> |
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From: Giorgio F. <gi...@us...> - 2006-11-07 10:12:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11140/gensrc/metadata Modified Files: shortratemodels.xml Log Message: bug fixed Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** shortratemodels.xml 26 Oct 2006 08:49:28 -0000 1.14 --- shortratemodels.xml 7 Nov 2006 10:12:16 -0000 1.15 *************** *** 68,72 **** </Constructor> ! <Procedure name='qlFuturesConvexityBias'> <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description> <alias>QuantLib::convexityBias</alias> --- 68,72 ---- </Constructor> ! <!--Procedure name='qlFuturesConvexityBias'> <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description> <alias>QuantLib::convexityBias</alias> *************** *** 107,111 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> </Functions> --- 107,152 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure--> ! ! <Member name='qlFuturesConvexityBias' libraryClass='HullWhite'> ! <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description> ! <libraryFunction>convexityBias</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='futuresPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Futures price (e.g. 94.56)</description> ! </Parameter> ! <Parameter name='t'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Maturity date of the futures contract in years(e.g. 5.0)</description> ! </Parameter> ! <Parameter name='T'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Maturity of the underlying Libor deposit in years (e.g. 5.25)</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Hull-White volatility (e.g. 0.015)</description> ! </Parameter> ! <Parameter name='a' default='0.03'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Hull-White mean reversion (e.g. 0.03)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> </Functions> |
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From: Chiara F. <chi...@us...> - 2006-11-06 19:15:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7375/gensrc/metadata Modified Files: bonds.xml Log Message: qlBondThCleanPrice and qlBondThYield changed from reference type 'class QuantLibAddin::FixedCouponBond' to reference type 'class QuantLibAddin::Bond' Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** bonds.xml 31 Oct 2006 10:05:54 -0000 1.40 --- bonds.xml 6 Nov 2006 19:15:37 -0000 1.41 *************** *** 155,159 **** </Member> ! <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> <description>Theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> --- 155,159 ---- </Member> ! <Member name='qlBondThCleanPrice' libraryClass='Bond'> <description>Theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> *************** *** 185,189 **** </Member> ! <Member name='qlBondThYield' libraryClass='FixedCouponBond'> <description>Theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> --- 185,189 ---- </Member> ! <Member name='qlBondThYield' libraryClass='Bond'> <description>Theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> |
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From: Marco B. <mar...@us...> - 2006-11-06 16:46:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19889/gensrc/metadata Modified Files: marketmodels.xml Log Message: coherently changed function calls from CalculatorCompute to DriftCalculatorComputePlain Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.52 retrieving revision 1.53 diff -C2 -d -r1.52 -r1.53 *** marketmodels.xml 31 Oct 2006 11:08:29 -0000 1.52 --- marketmodels.xml 6 Nov 2006 16:46:34 -0000 1.53 *************** *** 1154,1169 **** <!-- SwapForwardConversionMatrix class interface and constructor --> - <!--Member name='qlswapCovarianceMatrix' objectClass='SwapCovarianceApproximator'> - <description>Compute the swap covariance matrix from the forward covariance matrix using the SwapCovarianceApproximator object</description> - <libraryFunction>swapCovarianceMatrix</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ReturnValue libraryType='QuantLib::Matrix'> - <type>double</type> - <tensorRank>matrix</tensorRank> - </ReturnValue> - </Member--> - <!--Constructor name='qlSwapCovarianceApproximator'> <libraryFunction>SwapCovarianceApproximator</libraryFunction> --- 1154,1157 ---- *************** *** 1173,1198 **** <ParameterList> <Parameters> ! <Parameter name='initial_curve_state' libraryType='QuantLib::CurveState'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>Curve state</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Size'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>Expiry date index</description> </Parameter> <Parameter name='maturity' libraryType='QuantLib::Size'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>Maturity date index</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Spread'> <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>displacements</description> </Parameter> ! <Parameter name='forward_covariance_matrix' libraryType='QuantLib::Matrix'> ! <type>long</type> <tensorRank>matrix</tensorRank> <description>Forward covariance matrix</description> --- 1161,1186 ---- <ParameterList> <Parameters> ! <Parameter name='initial_Curve_State' underlyingClass='CurveState'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of CurveState object</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>Index of expiry date</description> </Parameter> <Parameter name='maturity' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>Index of maturity date</description> </Parameter> ! <Parameter name='displacement' libraryType='QuantLib::Spread'> <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>displacement (one single value)</description> </Parameter> ! <Parameter name='forwardCovarianceMatrix' libraryType='QuantLib::Matrix'> ! <type>double</type> <tensorRank>matrix</tensorRank> <description>Forward covariance matrix</description> *************** *** 1438,1442 **** <Member name='qlDriftCalculatorComputePlain' objectClass='DriftCalculator'> <description>Full factor drift computation using the DriftCalculator object</description> ! <libraryFunction>compute</libraryFunction> <SupportedPlatforms> <Excel/> --- 1426,1430 ---- <Member name='qlDriftCalculatorComputePlain' objectClass='DriftCalculator'> <description>Full factor drift computation using the DriftCalculator object</description> ! <libraryFunction>computePlain</libraryFunction> <SupportedPlatforms> <Excel/> |
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From: Marco B. <mar...@us...> - 2006-11-06 16:46:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19889/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: coherently changed function calls from CalculatorCompute to DriftCalculatorComputePlain Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** marketmodels.hpp 3 Oct 2006 08:25:31 -0000 1.22 --- marketmodels.hpp 6 Nov 2006 16:46:39 -0000 1.23 *************** *** 25,28 **** --- 25,29 ---- #include <ql/MarketModels/curvestate.hpp> #include <ql/MarketModels/driftcalculator.hpp> + #include <ql/MarketModels/swapforwardconversionmatrix.hpp> #include <ql/MarketModels/browniangenerator.hpp> #include <ql/MarketModels/marketmodelevolver.hpp> *************** *** 85,89 **** }; - class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> { public: --- 86,89 ---- *************** *** 91,95 **** }; - class DriftCalculator : public ObjHandler::LibraryObject<QuantLib::DriftCalculator> { public: --- 91,94 ---- *************** *** 99,103 **** QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> compute( const std::vector<QuantLib::Rate>& forwards) const; std::vector<QuantLib::Real> computeReduced( --- 98,102 ---- QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> computePlain( const std::vector<QuantLib::Rate>& forwards) const; std::vector<QuantLib::Real> computeReduced( *************** *** 107,110 **** --- 106,120 ---- }; + // class SwapCovarianceApproximator : public ObjHandler::LibraryObject< + // QuantLib::SwapCovarianceApproximator> { + // public: + // SwapCovarianceApproximator(const QuantLib::CurveState& initialCurveState, + // QuantLib::Size expiry, + // QuantLib::Size maturity, + // QuantLib::Spread displacement, + // const QuantLib::Matrix& forwardCovarianceMatrix); + //QuantLib::Disposable<Matrix> swapCovarianceMatrix(); + // }; + class MarketModelMultiProduct : public ObjHandler::LibraryObject< QuantLib::MarketModelMultiProduct> { *************** *** 130,134 **** ! class BrownianGeneratorFactory : public ObjHandler::LibraryObject<QuantLib::BrownianGeneratorFactory> { }; --- 140,145 ---- ! class BrownianGeneratorFactory : public ObjHandler::LibraryObject< ! QuantLib::BrownianGeneratorFactory> { }; *************** *** 138,143 **** }; ! ! class MarketModelEvolver : public ObjHandler::LibraryObject<QuantLib::MarketModelEvolver> { }; --- 149,154 ---- }; ! class MarketModelEvolver : public ObjHandler::LibraryObject< ! QuantLib::MarketModelEvolver> { }; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** marketmodels.cpp 17 Oct 2006 13:43:56 -0000 1.25 --- marketmodels.cpp 6 Nov 2006 16:46:39 -0000 1.26 *************** *** 37,41 **** } - EvolutionDescription::EvolutionDescription( const QuantLib::EvolutionDescription& ev) --- 37,40 ---- *************** *** 45,49 **** } - ExpCorrFlatVol::ExpCorrFlatVol( double longTermCorr, --- 44,47 ---- *************** *** 88,92 **** } - Abcd::Abcd(QuantLib::Real a, QuantLib::Real b, QuantLib::Real c, QuantLib::Real d, --- 86,89 ---- *************** *** 98,102 **** } - CurveState::CurveState(const std::vector<QuantLib::Time>& rateTimes) { --- 95,98 ---- *************** *** 117,124 **** } ! std::vector<QuantLib::Real> DriftCalculator::compute( const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); ! libraryObject_->compute(forwards, results); return results; } --- 113,120 ---- } ! std::vector<QuantLib::Real> DriftCalculator::computePlain( const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); ! libraryObject_->computePlain(forwards, results); return results; } *************** *** 131,135 **** --- 127,149 ---- } + //SwapCovarianceApproximator::SwapCovarianceApproximator( + // const QuantLib::CurveState& initialCurveState, + // QuantLib::Size expiry, + // QuantLib::Size maturity, + // QuantLib::Spread displacement, + // const QuantLib::Matrix& forwardCovarianceMatrix) + //: size_(taus.size()) + //{ + // libraryObject_ = boost::shared_ptr<QuantLib::SwapCovarianceApproximator>( + // new QuantLib::SwapCovarianceApproximator( + // initialCurveState, expiry,maturity, displacement, + // forwardCovarianceMatrix)); + //} + //QuantLib::Disposable<Matrix> SwapCovarianceApproximator::swapCovarianceMatrix() + // { + // libraryObject_->compute(forwards, results); + // return results; + //} OneStepForwards::OneStepForwards( *************** *** 147,157 **** { const QuantLib::EvolutionDescription& ev = libraryObject_->evolution(); - boost::shared_ptr<ObjHandler::Object> objectPointer( new QuantLibAddin::EvolutionDescription(ev)); - std::string anonymousID = ObjHandler::ObjectHandler::instance().storeObject("", objectPointer); - objectPointer->setProperties( boost::shared_ptr<ObjHandler::ValueObject>( --- 161,168 ---- *************** *** 160,164 **** ev.rateTimes(), ev.evolutionTimes()))); - return anonymousID; } --- 171,174 ---- *************** *** 174,178 **** } - MTBrownianGeneratorFactory::MTBrownianGeneratorFactory(unsigned long seed) { --- 184,187 ---- |
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From: Giorgio F. <gi...@us...> - 2006-11-06 14:57:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13343/qlo Modified Files: cmsmarket.cpp Log Message: Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** cmsmarket.cpp 3 Nov 2006 17:40:17 -0000 1.11 --- cmsmarket.cpp 6 Nov 2006 14:57:44 -0000 1.12 *************** *** 54,62 **** std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket){ std::vector<std::vector<boost::any> > result; ! QuantLib::Size numberOfColumn = 15; std::vector<boost::any> headings(numberOfColumn); headings[0]=std::string("CM Swap Index"); ! headings[1]=std::string("Expiriy"); headings[2]=std::string("Bid (bps)"); --- 54,62 ---- std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket){ std::vector<std::vector<boost::any> > result; ! QuantLib::Size numberOfColumn = 18; std::vector<boost::any> headings(numberOfColumn); headings[0]=std::string("CM Swap Index"); ! headings[1]=std::string("Expiry"); headings[2]=std::string("Bid (bps)"); *************** *** 66,76 **** headings[6]=std::string("Error (bps)"); headings[7]=std::string("Overreach bid/ask"); ! headings[8]=std::string("Price Cms Leg"); ! headings[9]=std::string("Price Floating Leg"); ! headings[10]=std::string("Price (spread = 0)"); ! headings[11]=std::string("Bid Price"); ! headings[12]=std::string("Ask Price"); ! headings[13]=std::string("Mid Price"); ! headings[14]=std::string("ForwardCms Mid Price"); result.push_back(headings); --- 66,79 ---- headings[6]=std::string("Error (bps)"); headings[7]=std::string("Overreach bid/ask"); ! headings[8]=std::string("Market bid Price Cms Leg"); ! headings[9]=std::string("Market ask Price Cms Leg"); ! headings[10]=std::string("Market mid Price Cms Leg"); ! headings[11]=std::string("Model Price Cms Leg"); ! headings[12]=std::string("Price Error"); ! headings[13]=std::string("Market bid Price Forward Cms Leg"); ! headings[14]=std::string("Market ask Price Forward Cms Leg"); ! headings[15]=std::string("Market mid Price Forward Cms Leg"); ! headings[16]=std::string("Model Price Forward Cms Leg"); ! headings[17]=std::string("Forward Price Error"); result.push_back(headings); |
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From: Ferdinando A. <na...@us...> - 2006-11-06 10:29:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10483/qlo Modified Files: swap.cpp swap.hpp Log Message: exported makeCMS Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** swap.cpp 18 Oct 2006 20:11:37 -0000 1.16 --- swap.cpp 6 Nov 2006 10:29:41 -0000 1.17 *************** *** 26,29 **** --- 26,30 ---- #include <qlo/swap.hpp> #include <ql/Instruments/swap.hpp> + #include <ql/Instruments/makecms.hpp> namespace QuantLibAddin { *************** *** 50,53 **** --- 51,75 ---- } + // QuantLib::MakeCMS + Swap::Swap( + const QuantLib::Period& swapTenor, + const boost::shared_ptr<QuantLib::SwapIndex>& swapIndex, + const QuantLib::Spread iborSpread, + const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, + const std::string& typeOfVanillaCMSCouponPricer, + const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, + const QuantLib::Real meanReversion, + //const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer, + const QuantLib::Period& forwardStart) + { + VanillaCMSCouponPricer vanillaCMSCouponPricer( + typeOfVanillaCMSCouponPricer, modelOfYieldCurve); + boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = + vanillaCMSCouponPricer.underlyingObject(); + libraryObject_ = QuantLib::MakeCMS(swapTenor, swapIndex, iborSpread, + vol, meanReversion, pricer, forwardStart).operator + boost::shared_ptr<QuantLib::Swap>(); + } + std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i) { Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** swap.hpp 18 Oct 2006 20:11:37 -0000 1.13 --- swap.hpp 6 Nov 2006 10:29:41 -0000 1.14 *************** *** 36,39 **** --- 36,49 ---- const std::vector<bool>& payer, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); + // QuantLib::MakeCMS + Swap(const QuantLib::Period& swapTenor, + const boost::shared_ptr<QuantLib::SwapIndex>& swapIndex, + const QuantLib::Spread iborSpread, + const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, + const std::string& typeOfVanillaCMSCouponPricer, + const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, + const QuantLib::Real meanReversion, + //const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer, + const QuantLib::Period& forwardStart); std::vector<std::vector<boost::any> > legAnalysis(QuantLib::Size i); |
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From: Ferdinando A. <na...@us...> - 2006-11-06 10:29:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10483/gensrc/metadata Modified Files: swap.xml Log Message: exported makeCMS Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** swap.xml 26 Oct 2006 08:49:29 -0000 1.33 --- swap.xml 6 Nov 2006 10:29:41 -0000 1.34 *************** *** 6,9 **** --- 6,10 ---- <include>qlo/swap.hpp</include> <include>qlo/termstructures.hpp</include> + <include>qlo/swaptionvolstructure.hpp</include> </includes> <copyright> *************** *** 68,71 **** --- 69,128 ---- </Constructor> + <Constructor name='qlMakeCMS'> + <libraryFunction>Swap</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='swapTenor' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap tenor period</description> + </Parameter> + <Parameter name='swapIndex' libraryClass='SwapIndex'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap index</description> + </Parameter> + <Parameter name='iborSpread' libraryType='QuantLib::Spread'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>spread over the ibor leg</description> + </Parameter> + <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Swaption Volatility Structure object ID</description> + </Parameter> + <Parameter name='VanillaCMSCouponPricerType'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> + </Parameter> + <Parameter name='yieldCurveModel' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>yield curve model for convexity adjustment (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> + </Parameter> + <Parameter name='meanReversion'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>mean reversion</description> + </Parameter> + <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='"0D"'>--> + <Parameter name='forwardStart' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>forward start period</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Constructor> + <Member name='qlSwapLegBPS' libraryClass='Swap'> <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> |
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From: Ferdinando A. <na...@us...> - 2006-11-06 10:28:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9760/qlo Modified Files: couponvectors.cpp Log Message: Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** couponvectors.cpp 18 Oct 2006 20:11:37 -0000 1.38 --- couponvectors.cpp 6 Nov 2006 10:28:06 -0000 1.39 *************** *** 30,33 **** --- 30,34 ---- #include <ql/CashFlows/simplecashflow.hpp> #include <ql/CashFlows/cmscoupon.hpp> + #include <ql/CashFlows/analysis.hpp> namespace QuantLibAddin { |
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From: Ferdinando A. <na...@us...> - 2006-11-06 09:24:42
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14971/gensrc/metadata Modified Files: vanillaswap.xml Log Message: exported Swaption type() inspector (returning Payer/Receiver) and settlementType() inspector (returning Cash or Delivery) Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** vanillaswap.xml 26 Oct 2006 10:32:33 -0000 1.33 --- vanillaswap.xml 6 Nov 2006 09:24:39 -0000 1.34 *************** *** 17,25 **** <libraryFunction>VanillaSwap</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> <Parameters> ! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'> <type>string</type> <tensorRank>scalar</tensorRank> --- 17,25 ---- <libraryFunction>VanillaSwap</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> <Parameters> ! <Parameter name='PayerReceiver' enumeration='QuantLib::VanillaSwap::Type'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 78,82 **** <libraryFunction>VanillaSwap</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> --- 78,82 ---- <libraryFunction>VanillaSwap</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> *************** *** 111,122 **** </Constructor> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairRate</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 111,122 ---- </Constructor> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>returns the BPS of the fixed rate leg</description> ! <libraryFunction>fixedLegBPS</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue> *************** *** 126,137 **** </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairSpread</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 126,137 ---- </Member> ! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>returns the NPV of the fixed rate leg</description> ! <libraryFunction>fixedLegNPV</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue> *************** *** 141,154 **** </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the fixed leg</description> ! <libraryFunction>fixedLegBPS</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 141,154 ---- </Member> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>returns the fair fixed rate which would zero the swap NPV</description> ! <libraryFunction>fairRate</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 156,167 **** </Member> ! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the fixed leg</description> ! <libraryFunction>fixedLegNPV</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 156,167 ---- </Member> ! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> ! <description>returns the BPS of the floating rate leg</description> ! <libraryFunction>floatingLegBPS</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue> *************** *** 171,200 **** </Member> ! <Member name='qlVanillaSwapFixedLegAnalysis' objectClass='VanillaSwap'> ! <description>The fixed leg cash flow analysis</description> ! <libraryFunction>fixedLegAnalysis</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> </ReturnValue> </Member> ! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the floating leg</description> ! <libraryFunction>floatingLegBPS</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 171,199 ---- </Member> ! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>returns the NPV of the floating rate leg</description> ! <libraryFunction>floatingLegNPV</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>returns the fair spread over the floating rate which would zero the swap NPV</description> ! <libraryFunction>fairSpread</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> ! <ReturnValue libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 202,213 **** </Member> ! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the floating leg</description> ! <libraryFunction>floatingLegNPV</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 201,242 ---- </Member> ! <Member name='qlVanillaSwapFixedRate' libraryClass='VanillaSwap'> ! <description>returns the fixed rate</description> ! <libraryFunction>fixedRate</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlVanillaSwapSpread' libraryClass='VanillaSwap'> ! <description>returns the spread over floating rate</description> ! <libraryFunction>spread</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Spread'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlVanillaSwapNominal' libraryClass='VanillaSwap'> ! <description>returns the swap nominal</description> ! <libraryFunction>nominal</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue> *************** *** 217,228 **** </Member> <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> <libraryFunction>floatingLegAnalysis</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 246,287 ---- </Member> + <Member name='qlVanillaSwapType' libraryClass='VanillaSwap'> + <description>returns the swap type (Payer or Receiver)</description> + <libraryFunction>type</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue enumeration='QuantLib::VanillaSwap::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlVanillaSwapFixedLegAnalysis' objectClass='VanillaSwap'> + <description>returns the fixed rate leg cash flow analysis</description> + <libraryFunction>fixedLegAnalysis</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters></Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'> ! <description>returns the floating rate leg cash flow analysis</description> <libraryFunction>floatingLegAnalysis</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue> |
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From: Eric E. <eri...@us...> - 2006-11-06 09:23:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14527 Modified Files: todo.eric.csv Log Message: Index: todo.eric.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.eric.csv,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** todo.eric.csv 3 Nov 2006 08:06:08 -0000 1.4 --- todo.eric.csv 6 Nov 2006 09:23:34 -0000 1.5 *************** *** 1,3 **** --- 1,4 ---- "project","subproject","task","status","priority","days","comp date","comment" + "QLXL","Framework","separate QuantLibXL.xla into multiple modules with loader facility",,2,,, "QLA","Launcher","cleaner IPC between launcher & framework","in progress",2,,, "QLA","General Support","NSIS scripts for network installations",,2,,, |
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From: Ferdinando A. <na...@us...> - 2006-11-06 09:16:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11968/gensrc/metadata Modified Files: swaption.xml Log Message: exported Swaption type() inspector (returning Payer/Receiver) and settlementType() inspector (returning Cash or Delivery) Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** swaption.xml 26 Oct 2006 08:49:29 -0000 1.24 --- swaption.xml 6 Nov 2006 09:16:48 -0000 1.25 *************** *** 20,24 **** <libraryFunction>Swaption</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> --- 20,24 ---- <libraryFunction>Swaption</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> *************** *** 57,64 **** <libraryFunction>underlyingSwap</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 57,64 ---- <libraryFunction>underlyingSwap</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue> *************** *** 68,76 **** </Member> <Member name='qlSwaptionImpliedVolatility' libraryClass='Swaption'> <description>implied volatility</description> <libraryFunction>impliedVolatility</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> --- 68,106 ---- </Member> + <Member name='qlSwaptionType' libraryClass='Swaption'> + <description>returns the swaption type (Payer or Receiver)</description> + <libraryFunction>type</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue enumeration='QuantLib::VanillaSwap::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwaptionSettlementType' libraryClass='Swaption'> + <description>returns the swaption settlement type (Cash or Delivery)</description> + <libraryFunction>settlementType</libraryFunction> + <SupportedPlatforms> + <Excel /> + </SupportedPlatforms> + <ParameterList> + <Parameters /> + </ParameterList> + <ReturnValue enumeration='QuantLib::Settlement::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Member name='qlSwaptionImpliedVolatility' libraryClass='Swaption'> <description>implied volatility</description> <libraryFunction>impliedVolatility</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> *************** *** 93,102 **** <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> <type>double</type> <tensorRank>scalar</tensorRank> --- 123,132 ---- <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 108,115 **** <libraryFunction>vega</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> --- 138,145 ---- <libraryFunction>vega</libraryFunction> <SupportedPlatforms> ! <Excel /> </SupportedPlatforms> <ParameterList> ! <Parameters /> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> |
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From: Ferdinando A. <na...@us...> - 2006-11-06 09:13:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10467/gensrc/metadata Modified Files: couponvectors.xml schedule.xml Log Message: Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** schedule.xml 31 Oct 2006 18:13:47 -0000 1.18 --- schedule.xml 6 Nov 2006 09:13:10 -0000 1.19 *************** *** 4,7 **** --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> <copyright> + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet </copyright> *************** *** 45,54 **** <description>termination date business day convention</description> </Parameter> ! <Parameter name='backward' default='1'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>backward generation of the schedule. By default, TRUE.</description> </Parameter> ! <Parameter name='endOfMonth' default='0'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 46,55 ---- <description>termination date business day convention</description> </Parameter> ! <Parameter name='backward' default='true'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>backward generation of the schedule. By default, TRUE.</description> </Parameter> ! <Parameter name='endOfMonth' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** couponvectors.xml 30 Oct 2006 10:30:57 -0000 1.40 --- couponvectors.xml 6 Nov 2006 09:13:10 -0000 1.41 *************** *** 159,166 **** <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> </Parameter> </Parameters> --- 159,166 ---- <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> </Parameter> ! <Parameter name='yieldCurveModel' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>yield curve model for convexity adjustment (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> </Parameter> </Parameters> |
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From: Ferdinando A. <na...@us...> - 2006-11-03 17:40:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14153/qlo Modified Files: cmsmarket.cpp Log Message: better heading Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** cmsmarket.cpp 2 Nov 2006 09:28:10 -0000 1.10 --- cmsmarket.cpp 3 Nov 2006 17:40:17 -0000 1.11 *************** *** 57,61 **** std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Swap Length"); headings[1]=std::string("Expiriy"); --- 57,61 ---- std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("CM Swap Index"); headings[1]=std::string("Expiriy"); |
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From: Eric E. <eri...@us...> - 2006-11-03 08:06:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29340 Modified Files: todo.eric.csv Log Message: Index: todo.eric.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.eric.csv,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** todo.eric.csv 29 Oct 2006 16:13:54 -0000 1.3 --- todo.eric.csv 3 Nov 2006 08:06:08 -0000 1.4 *************** *** 1,12 **** "project","subproject","task","status","priority","days","comp date","comment" ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files","done?",1,3,, ! "all","General Support","NSIS installers - uninstall old app before installing new","cancelled?",1,"- -",,"not required after network launcher?" "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository","done?",4,,, "gensrc","Design","remove platform-specific configuration/code from core gensrc app",,2,2,, "QLA","Design","right-click enumerations: implement proper design using hidden sheet",,2,1,, ! "QLA","Design","enumeration aliases - map multiple strings to single enum value",,2,1,, "QLA","Design","#include fewer headers to speed compilation",,2,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,2,2,, - "OH","Design","refactor OH / OHXL implementation",,2,,, "gensrc","Design","return std::pair (see locate in swaptionvolmatrix)",,3,1,, "all","General Support","migrate QLA/QLXL SourceForge projects back into QL",,3,"- -",,"request deletion of old QLA/QLXL repositories" --- 1,14 ---- "project","subproject","task","status","priority","days","comp date","comment" ! "QLA","Launcher","cleaner IPC between launcher & framework","in progress",2,,, ! "QLA","General Support","NSIS scripts for network installations",,2,,, ! "QLA","Design","additional dynamic cast in handleToLib for qlTermStructureReferenceDate() etc.",,2,,, ! "OH","Design","volatile functions - allow user to specify in function metadata",,2,,, "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository","done?",4,,, "gensrc","Design","remove platform-specific configuration/code from core gensrc app",,2,2,, + "OH","Design","refactor OH / OHXL implementation",,1,,, "QLA","Design","right-click enumerations: implement proper design using hidden sheet",,2,1,, ! "QLA","Design","enumeration aliases - map multiple strings to single enum value","in progress",2,1,, "QLA","Design","#include fewer headers to speed compilation",,2,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,2,2,, "gensrc","Design","return std::pair (see locate in swaptionvolmatrix)",,3,1,, "all","General Support","migrate QLA/QLXL SourceForge projects back into QL",,3,"- -",,"request deletion of old QLA/QLXL repositories" *************** *** 56,57 **** --- 58,61 ---- "OH","Design","convert objectIDs to uppercase","done",,,, "OH","Design","implement case-preserving behavior for objectIDs","done",4,,, + "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files","done",1,3,, + "all","General Support","NSIS installers - uninstall old app before installing new","cancelled",1,"- -",,"not required after network launcher?" |
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From: Ferdinando A. <na...@us...> - 2006-11-02 20:18:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27103/gensrc/metadata Modified Files: pricingengines.xml Log Message: added bachelierBlackFormula Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** pricingengines.xml 26 Oct 2006 10:46:42 -0000 1.25 --- pricingengines.xml 2 Nov 2006 20:18:42 -0000 1.26 *************** *** 42,46 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>standard deviation, i.e. annualized volatility times the square root of time to option expiry</description> </Parameter> </Parameters> --- 42,46 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry</description> </Parameter> </Parameters> *************** *** 53,57 **** <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</alias> <SupportedPlatforms> --- 53,57 ---- <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</alias> <SupportedPlatforms> *************** *** 89,93 **** <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> --- 89,93 ---- <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied in the undiscounted option price by the Black formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> *************** *** 135,139 **** <Procedure name='qlBlackStdDevDerivative'> ! <description>Black formula for the derivative with respect to the standard deviation.</description> <alias>QuantLib::blackStdDevDerivative</alias> <SupportedPlatforms> --- 135,139 ---- <Procedure name='qlBlackStdDevDerivative'> ! <description>Black formula for the derivative with respect to the standard deviation (annualized percentage volatility times the square root of time to option expiry).</description> <alias>QuantLib::blackStdDevDerivative</alias> <SupportedPlatforms> *************** *** 165,168 **** --- 165,286 ---- </Procedure> + <Procedure name='qlBachelierBlackFormula'> + <description>Undiscounted Black style formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> + <alias>QuantLib::bachelierBlackFormula</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionType' enumeration='QuantLib::Option::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>option type (i.e. Call or Put)</description> + </Parameter> + <Parameter name='strike'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>option strike</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='stdDev'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation, i.e. annualized ABSOLUTE volatility times the square root of time to option expiry</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBachelierBlackPutFormula'> + <description>Undiscounted Black style put formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> + <alias>QuantLib::bachelierBlackPut</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='strike'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>option strike</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='absoluteVolatility' libraryType='QuantLib::Volatility'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annualized ABSOLUTE volatility</description> + </Parameter> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + <Parameter name='annuity' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annuity</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBachelierBlackCallFormula'> + <description>Undiscounted Black style call formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> + <alias>QuantLib::bachelierBlackCall</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='strike'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>option strike</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='absoluteVolatility' libraryType='QuantLib::Volatility'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annualized ABSOLUTE volatility</description> + </Parameter> + <Parameter name='timeToMaturity' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time to maturity in years</description> + </Parameter> + <Parameter name='annuity' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>annuity</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + <Constructor name='qlPricingEngine'> <libraryFunction>PricingEngine</libraryFunction> |
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From: Katiuscia M. <kma...@us...> - 2006-11-02 14:45:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17814/gensrc/metadata Modified Files: cmsmarket.xml Log Message: use new cmsMarket constructor Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** cmsmarket.xml 2 Nov 2006 09:28:10 -0000 1.11 --- cmsmarket.xml 2 Nov 2006 14:45:25 -0000 1.12 *************** *** 12,73 **** </copyright> <Functions> - - <!-- CmsMarket constructors --> - - <Constructor name='qlCmsMarket'> - <libraryFunction>CmsMarket</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='expiries' libraryType='QuantLib::Period'> - <type>string</type> - <tensorRank>vector</tensorRank> - <description>cms matrix's expiries as periods</description> - </Parameter> - <Parameter name='swapLengths' libraryType='QuantLib::Period'> - <type>string</type> - <tensorRank>vector</tensorRank> - <description>cms matrix's underlying swap lengths</description> - </Parameter> - <Parameter name='bidsAsks' libToHandle='QuantLib::Quote'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>matrix of bid and ask cms spreads.</description> - </Parameter> - <Parameter name='meanReversions' libraryType='QuantLib::Matrix'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>mean reversions.</description> - </Parameter> - <Parameter name='YTStructure' libToHandle='YieldTermStructure'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Yield term structure</description> - </Parameter> - <Parameter name='volStructure' libToHandle='SwaptionVolatilityStructure'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Volatility structure</description> - </Parameter> - <Parameter name='VanillaCMSCouponPricerType'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> - </Parameter> - <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> <!-- CmsMarket constructors --> ! <Constructor name='qlCmsMarket2'> <libraryFunction>CmsMarket</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 12,19 ---- </copyright> <Functions> <!-- CmsMarket constructors --> ! <Constructor name='qlCmsMarket'> <libraryFunction>CmsMarket</libraryFunction> <functionCategory>QuantLib</functionCategory> |
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From: Ferdinando A. <na...@us...> - 2006-11-02 13:45:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25185/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: SwaptionVolMatrix refactored Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.73 retrieving revision 1.74 diff -C2 -d -r1.73 -r1.74 *** swaptionvolstructure.xml 2 Nov 2006 08:35:31 -0000 1.73 --- swaptionvolstructure.xml 2 Nov 2006 13:45:20 -0000 1.74 *************** *** 223,231 **** <ParameterList> <Parameters> - <Parameter name='expiries' libraryType='QuantLib::Period'> - <type>string</type> - <tensorRank>vector</tensorRank> - <description>swaption expiries as periods</description> - </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> --- 223,226 ---- *************** *** 233,282 **** <description>holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries</description> </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Business day convention used for calculating the exercise dates from the expiries</description> ! </Parameter> ! <Parameter name='swapTenors' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>underlying swap lengths</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='QuantLib::Quote'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>swaption 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='qlSwaptionVTSMatrix2'> ! <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiries' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>swaption expiries as periods</description> </Parameter> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries</description> - </Parameter> - <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Business day convention used for calculating the exercise dates from the expiries</description> - </Parameter> <Parameter name='swapTenors' libraryType='QuantLib::Period'> <type>string</type> --- 228,236 ---- <description>holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries</description> </Parameter> ! <Parameter name='optionTenors' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>swaption expiries as periods</description> </Parameter> <Parameter name='swapTenors' libraryType='QuantLib::Period'> <type>string</type> *************** *** 294,297 **** --- 248,256 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> + <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Business day convention used for calculating the exercise dates from the expiries</description> + </Parameter> </Parameters> </ParameterList> |
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From: Ferdinando A. <na...@us...> - 2006-11-02 13:45:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25185/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: SwaptionVolMatrix refactored Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** swaptionvolstructure.cpp 2 Nov 2006 08:35:31 -0000 1.40 --- swaptionvolstructure.cpp 2 Nov 2006 13:45:20 -0000 1.41 *************** *** 44,60 **** } ! SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(const std::vector<QuantLib::Period>& expiries, ! const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention bdc, ! const std::vector<QuantLib::Period>& tenors, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, ! const QuantLib::DayCounter& dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityMatrix(expiries, ! calendar, ! bdc, tenors, vols, ! dayCounter)); } --- 44,61 ---- } ! SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( ! const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& tenors, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, ! const QuantLib::DayCounter& dayCounter, ! const QuantLib::BusinessDayConvention bdc) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityMatrix(calendar, ! expiries, tenors, vols, ! dayCounter, ! bdc)); } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** swaptionvolstructure.hpp 2 Nov 2006 08:35:31 -0000 1.35 --- swaptionvolstructure.hpp 2 Nov 2006 13:45:20 -0000 1.36 *************** *** 42,51 **** class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { public: ! SwaptionVolatilityMatrix(const std::vector<QuantLib::Period>& expiries, ! const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention bdc, const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, ! const QuantLib::DayCounter& dayCounter); std::vector<long> locate(const QuantLib::Date& d, const QuantLib::Period& p); --- 42,51 ---- class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { public: ! SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, ! const QuantLib::DayCounter& dayCounter, ! const QuantLib::BusinessDayConvention bdc); std::vector<long> locate(const QuantLib::Date& d, const QuantLib::Period& p); |
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From: Giorgio F. <gi...@us...> - 2006-11-02 09:30:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15678/qlo Modified Files: cmsmarket.cpp cmsmarket.hpp Log Message: replaced const Matrix& bidAskSpreads by const std::vector<std::vector<Handle<Quote> > >& bidAskSpreads in CmsMarket constructor Index: cmsmarket.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** cmsmarket.hpp 30 Oct 2006 16:59:20 -0000 1.7 --- cmsmarket.hpp 2 Nov 2006 09:28:10 -0000 1.8 *************** *** 36,40 **** const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, ! const QuantLib::Matrix& bidsAsks, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, --- 36,40 ---- const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& bidAskSpreads, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** cmsmarket.cpp 31 Oct 2006 14:24:13 -0000 1.9 --- cmsmarket.cpp 2 Nov 2006 09:28:10 -0000 1.10 *************** *** 30,34 **** const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, ! const QuantLib::Matrix& bidsAsks, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, --- 30,34 ---- const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& bidAskSpreads, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, *************** *** 44,48 **** expiries, lengths, ! bidsAsks, meanReversions, pricer, --- 44,48 ---- expiries, lengths, ! bidAskSpreads, meanReversions, pricer, |
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From: Giorgio F. <gi...@us...> - 2006-11-02 09:29:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15678/gensrc/metadata Modified Files: cmsmarket.xml Log Message: replaced const Matrix& bidAskSpreads by const std::vector<std::vector<Handle<Quote> > >& bidAskSpreads in CmsMarket constructor Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** cmsmarket.xml 30 Oct 2006 16:59:20 -0000 1.10 --- cmsmarket.xml 2 Nov 2006 09:28:10 -0000 1.11 *************** *** 33,37 **** <description>cms matrix's underlying swap lengths</description> </Parameter> ! <Parameter name='bidsAsks' libraryType='QuantLib::Matrix'> <type>double</type> <tensorRank>matrix</tensorRank> --- 33,37 ---- <description>cms matrix's underlying swap lengths</description> </Parameter> ! <Parameter name='bidsAsks' libToHandle='QuantLib::Quote'> <type>double</type> <tensorRank>matrix</tensorRank> *************** *** 66,70 **** --- 66,124 ---- </ParameterList> </Constructor> + + <!-- CmsMarket constructors --> + <Constructor name='qlCmsMarket2'> + <libraryFunction>CmsMarket</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='expiries' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>cms matrix's expiries as periods</description> + </Parameter> + <Parameter name='swapLengths' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>cms matrix's underlying swap lengths</description> + </Parameter> + <Parameter name='bidsAsks' libToHandle='Quote'> + <type>string</type> + <tensorRank>matrix</tensorRank> + <description>matrix of bid and ask cms spreads quotes.</description> + </Parameter> + <Parameter name='meanReversions' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>mean reversions.</description> + </Parameter> + <Parameter name='YTStructure' libToHandle='YieldTermStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Yield term structure</description> + </Parameter> + <Parameter name='volStructure' libToHandle='SwaptionVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Volatility structure</description> + </Parameter> + <Parameter name='VanillaCMSCouponPricerType'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> + </Parameter> + <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Member name='qlBrowseCmsMarket' objectClass='CmsMarket'> <description>return the market and implied spreads matrix</description> |
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From: Ferdinando A. <na...@us...> - 2006-11-02 08:35:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26080/qlo Modified Files: index.cpp ratehelpers.cpp schedule.cpp swaptionvolstructure.cpp swaptionvolstructure.hpp vanillaoption.cpp Log Message: 1) swaptionvolcube refactoring 2) PLEASE AVOID USELESS INCLUSIONS!!!!!!! Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** index.cpp 31 Oct 2006 11:54:17 -0000 1.16 --- index.cpp 2 Nov 2006 08:35:31 -0000 1.17 *************** *** 24,28 **** #include <qlo/index.hpp> - #include <qlo/typefactory.hpp> #include <ql/Indexes/swapindex.hpp> --- 24,27 ---- Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** vanillaoption.cpp 17 Oct 2006 10:31:13 -0000 1.11 --- vanillaoption.cpp 2 Nov 2006 08:35:31 -0000 1.12 *************** *** 20,24 **** #endif #include <qlo/vanillaoption.hpp> - #include <qlo/typefactory.hpp> #include <qlo/exercise.hpp> --- 20,23 ---- *************** *** 26,39 **** VanillaOption::VanillaOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, ! const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { ! libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::VanillaOption( ! blackScholesProcess, ! payoff, ! exercise, ! pricingEngine)); } } --- 25,37 ---- VanillaOption::VanillaOption( ! const boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>& blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff>& payoff, ! const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const boost::shared_ptr<QuantLib::PricingEngine>& pricingEngine) { ! libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(new ! QuantLib::VanillaOption(blackScholesProcess, ! payoff, ! exercise, ! pricingEngine)); } } Index: schedule.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** schedule.cpp 3 Oct 2006 18:23:59 -0000 1.6 --- schedule.cpp 2 Nov 2006 08:35:31 -0000 1.7 *************** *** 21,25 **** #endif #include <qlo/schedule.hpp> - #include <qlo/typefactory.hpp> namespace QuantLibAddin { --- 21,24 ---- *************** *** 37,54 **** const QuantLib::Date& nextToLastDate) { ! libraryObject_ = boost::shared_ptr<QuantLib::Schedule>( ! new QuantLib::Schedule(effectiveDate, ! terminationDate, ! tenor, ! calendar, ! convention, ! terminationDateConvention, ! backward, ! endOfMonth, ! firstDate, ! nextToLastDate)); ! } - } --- 36,51 ---- const QuantLib::Date& nextToLastDate) { ! libraryObject_ = boost::shared_ptr<QuantLib::Schedule>(new ! QuantLib::Schedule(effectiveDate, ! terminationDate, ! tenor, ! calendar, ! convention, ! terminationDateConvention, ! backward, ! endOfMonth, ! firstDate, ! nextToLastDate)); } } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** swaptionvolstructure.hpp 31 Oct 2006 11:04:43 -0000 1.34 --- swaptionvolstructure.hpp 2 Nov 2006 08:35:31 -0000 1.35 *************** *** 64,69 **** const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const QuantLib::Calendar& calendar, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase); }; --- 64,69 ---- const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, ! bool vegaWeightedSmileFit); }; *************** *** 72,76 **** class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityCube { ! public: SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, --- 72,76 ---- class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityCube { ! public: SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, *************** *** 79,89 **** const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, - const QuantLib::Calendar& calendar, const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, const QuantLib::Matrix& parametersGuess, std::vector<bool> isParameterFixed, ! bool isVegaWeighted, ! bool isAtmCalibrated ! ); const std::vector<std::vector<boost::any> > getSparseSabrParameters() --- 79,87 ---- const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, + bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, std::vector<bool> isParameterFixed, ! bool isAtmCalibrated); const std::vector<std::vector<boost::any> > getSparseSabrParameters() *************** *** 103,107 **** return getVolCube(volCubeAtmCalibrated_); } ! protected: QuantLib::Matrix sparseSabrParameters_; QuantLib::Matrix denseSabrParameters_; --- 101,105 ---- return getVolCube(volCubeAtmCalibrated_); } ! protected: QuantLib::Matrix sparseSabrParameters_; QuantLib::Matrix denseSabrParameters_; Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** swaptionvolstructure.cpp 31 Oct 2006 11:04:43 -0000 1.39 --- swaptionvolstructure.cpp 2 Nov 2006 08:35:31 -0000 1.40 *************** *** 77,92 **** const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const QuantLib::Calendar& calendar, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase) { QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything"); libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeByLinear(atmVol, ! expiries, ! lengths, ! strikeSpreads, ! volSpreads, ! calendar, ! swapIndexBase)); } --- 77,92 ---- const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, ! bool vegaWeightedSmileFit) { QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything"); libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeByLinear(atmVol, ! expiries, ! lengths, ! strikeSpreads, ! volSpreads, ! swapIndexBase, ! vegaWeightedSmileFit)); } *************** *** 97,129 **** const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, - const QuantLib::Calendar& calendar, const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, const QuantLib::Matrix& parametersGuess, std::vector<bool> isParameterFixed, ! bool isVegaWeighted, ! bool isAtmCalibrated ! ) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SwaptionVolatilityCubeBySabr(atmVol, ! expiries, ! lengths, ! strikeSpreads, ! volSpreads, ! calendar, ! swapIndexBase, ! parametersGuess, ! isParameterFixed, ! isVegaWeighted, ! isAtmCalibrated ! )); ! ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> ! volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! sparseSabrParameters_ = volCube->sparseSabrParameters(); ! denseSabrParameters_ = volCube->denseSabrParameters(); ! marketVolCube_ = volCube->marketVolCube(); ! volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); } --- 97,126 ---- const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, + bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, std::vector<bool> isParameterFixed, ! bool isAtmCalibrated) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SwaptionVolatilityCubeBySabr(atmVol, ! expiries, ! lengths, ! strikeSpreads, ! volSpreads, ! swapIndexBase, ! vegaWeightedSmileFit, ! parametersGuess, ! isParameterFixed, ! isAtmCalibrated)); ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> ! volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! ! sparseSabrParameters_ = volCube->sparseSabrParameters(); ! denseSabrParameters_ = volCube->denseSabrParameters(); ! marketVolCube_ = volCube->marketVolCube(); ! volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); } Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** ratehelpers.cpp 11 Oct 2006 11:46:31 -0000 1.10 --- ratehelpers.cpp 2 Nov 2006 08:35:31 -0000 1.11 *************** *** 24,33 **** #include <oh/objhandlerdefines.hpp> #include <qlo/ratehelpers.hpp> - #include <qlo/typefactory.hpp> #include <ql/date.hpp> - #include <ql/Math/cubicspline.hpp> - #include <ql/TermStructures/discountcurve.hpp> - #include <ql/TermStructures/forwardcurve.hpp> namespace QuantLibAddin { --- 24,29 ---- |
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From: Ferdinando A. <na...@us...> - 2006-11-02 08:35:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26080/gensrc/metadata Modified Files: date.xml swaptionvolstructure.xml Log Message: 1) swaptionvolcube refactoring 2) PLEASE AVOID USELESS INCLUSIONS!!!!!!! Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** date.xml 26 Oct 2006 08:49:27 -0000 1.18 --- date.xml 2 Nov 2006 08:35:31 -0000 1.19 *************** *** 68,72 **** </Procedure> ! <Procedure name='qlMaxDate2'> <description>returns the latest date allowed in QuantLib.</description> <alias>QuantLib::Date::maxDate</alias> --- 68,72 ---- </Procedure> ! <Procedure name='qlMaxDate'> <description>returns the latest date allowed in QuantLib.</description> <alias>QuantLib::Date::maxDate</alias> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.72 retrieving revision 1.73 diff -C2 -d -r1.72 -r1.73 *** swaptionvolstructure.xml 31 Oct 2006 14:16:19 -0000 1.72 --- swaptionvolstructure.xml 2 Nov 2006 08:35:31 -0000 1.73 *************** *** 299,317 **** <!-- SwaptionVolatilityMatrix interface --> - <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> - <description>Returns the underlying swap day counter.</description> - <libraryFunction>dayCounter</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of swaption exercise dates.</description> --- 299,302 ---- *************** *** 401,413 **** <description>smile cube's strike spreads over the ATM strike rate.</description> </Parameter> ! <Parameter name='volatilities' libToHandle='QuantLib::Quote'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>smile cube's volatility spreads over the ATM vols.</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='swapIndexBaseID' libraryClass='SwapIndex'> --- 386,393 ---- <description>smile cube's strike spreads over the ATM strike rate.</description> </Parameter> ! <Parameter name='spreadVols' libToHandle='Quote'> <type>string</type> ! <tensorRank>matrix</tensorRank> ! <description>matrix of spread vol quotes</description> </Parameter> <Parameter name='swapIndexBaseID' libraryClass='SwapIndex'> *************** *** 416,425 **** <description>swap Index Base</description> </Parameter> </Parameters> </ParameterList> </Constructor> ! <!-- SwaptionVolatilityCubeByLinear interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCubeByLinear'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> --- 396,410 ---- <description>swap Index Base</description> </Parameter> + <Parameter name='vegaWeightedSmileFit'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>if TRUE the smile fit is weighted using options' vega.</description> + </Parameter> </Parameters> </ParameterList> </Constructor> ! <!-- SwaptionVolatilityCube interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> *************** *** 481,489 **** <description>matrix of spread vol quotes</description> </Parameter> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> <Parameter name='swapIndexBaseID' libraryClass='SwapIndex'> <type>string</type> --- 466,469 ---- *************** *** 491,494 **** --- 471,479 ---- <description>swap Index Base</description> </Parameter> + <Parameter name='vegaWeightedSmileFit'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>if TRUE the smile fit is weighted using options' vega.</description> + </Parameter> <Parameter name='guess' libraryType='QuantLib::Matrix'> <type>double</type> *************** *** 501,509 **** <description>if TRUE parameter guess is not calibrated.</description> </Parameter> - <Parameter name='isVegaWeighted'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>if TRUE the calibration is weighted using options Vega.</description> - </Parameter> <Parameter name='isAtmCalibrated'> <type>bool</type> --- 486,489 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-31 19:01:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20493/gensrc/metadata Modified Files: calendar.xml Log Message: Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** calendar.xml 31 Oct 2006 18:47:25 -0000 1.32 --- calendar.xml 31 Oct 2006 19:01:17 -0000 1.33 *************** *** 255,259 **** <EnumerationMember name='qlCalendarBusinessDaysBetween' enumeration='QuantLib::Calendar'> ! <description>Returns athe number of business days between two dates</description> <libraryFunction>businessDaysBetween</libraryFunction> <SupportedPlatforms> --- 255,259 ---- <EnumerationMember name='qlCalendarBusinessDaysBetween' enumeration='QuantLib::Calendar'> ! <description>Returns the number of business days between two dates</description> <libraryFunction>businessDaysBetween</libraryFunction> <SupportedPlatforms> |
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From: Ferdinando A. <na...@us...> - 2006-10-31 18:47:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13784/gensrc/metadata Modified Files: termstructures.xml Log Message: using handleToLib Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** termstructures.xml 31 Oct 2006 16:23:36 -0000 1.45 --- termstructures.xml 31 Oct 2006 18:47:52 -0000 1.46 *************** *** 11,15 **** <Functions> ! <Member name='qlTermStructureReferenceDate' libraryClass='TermStructure'> <description>Returns the reference date for the given TermStructure object</description> <libraryFunction>referenceDate</libraryFunction> --- 11,16 ---- <Functions> ! <!-- TermStructure interface --> ! <Member name='qlTermStructureReferenceDate' handleToLib='TermStructure'> <description>Returns the reference date for the given TermStructure object</description> <libraryFunction>referenceDate</libraryFunction> *************** *** 26,30 **** </Member> ! <Member name='qlTermStructureCalendar' libraryClass='TermStructure'> <description>Returns the calendar used by the given TermStructure object</description> <libraryFunction>calendar</libraryFunction> --- 27,31 ---- </Member> ! <Member name='qlTermStructureCalendar' handleToLib='TermStructure'> <description>Returns the calendar used by the given TermStructure object</description> <libraryFunction>calendar</libraryFunction> *************** *** 41,45 **** </Member> ! <Member name='qlTermStructureMaxDate' libraryClass='TermStructure'> <description>Returns the max date for the given TermStructure object</description> <libraryFunction>maxDate</libraryFunction> --- 42,46 ---- </Member> ! <Member name='qlTermStructureMaxDate' handleToLib='TermStructure'> <description>Returns the max date for the given TermStructure object</description> <libraryFunction>maxDate</libraryFunction> *************** *** 56,60 **** </Member> ! <Member name='qlTermStructureDayCounter' libraryClass='TermStructure'> <description>Returns the DayCounter used by the given TermStructure object</description> <libraryFunction>dayCounter</libraryFunction> --- 57,61 ---- </Member> ! <Member name='qlTermStructureDayCounter' handleToLib='TermStructure'> <description>Returns the DayCounter used by the given TermStructure object</description> <libraryFunction>dayCounter</libraryFunction> *************** *** 71,74 **** --- 72,76 ---- </Member> + <!-- YieldTermStructure interface --> <Member name='qlDiscount' handleToLib='YieldTermStructure' loopParameter='DfDates'> <description>Returns a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> *************** *** 98,102 **** </Member> ! <Member name='qlForwardRate' libraryClass='YieldTermStructure' loopParameter='d2'> <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> --- 100,104 ---- </Member> ! <Member name='qlForwardRate' handleToLib='YieldTermStructure' loopParameter='d2'> <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> *************** *** 144,148 **** </Member> ! <Member name='qlZeroRate' libraryClass='YieldTermStructure' loopParameter='dates'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> --- 146,150 ---- </Member> ! <Member name='qlZeroRate' handleToLib='YieldTermStructure' loopParameter='dates'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> *************** *** 185,189 **** </Member> ! <Member name='qlParRate' libraryClass='YieldTermStructure'> <description>return a vector of implied par rates corresponding to input vector of tenors for given date/payment frequency</description> <libraryFunction>parRate</libraryFunction> --- 187,191 ---- </Member> ! <Member name='qlParRate' handleToLib='YieldTermStructure'> <description>return a vector of implied par rates corresponding to input vector of tenors for given date/payment frequency</description> <libraryFunction>parRate</libraryFunction> *************** *** 221,254 **** </Member> ! <Member name='qlReferenceDate' libraryClass='YieldTermStructure'> ! <description>return the earliest date at which the YieldTermStructure is defined (i.e. discount factor = 1.0)</description> ! <libraryFunction>referenceDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlMaxDate' libraryClass='YieldTermStructure'> ! <description>return the latest date at which the YieldTermStructure is defined (not considering extrapolation feature)</description> ! <libraryFunction>maxDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlHandleYieldTermStructure'> <libraryFunction>Handle<QuantLib::YieldTermStructure></libraryFunction> --- 223,227 ---- </Member> ! <!-- HandleYieldTermStructure --> <Constructor name='qlHandleYieldTermStructure'> <libraryFunction>Handle<QuantLib::YieldTermStructure></libraryFunction> *************** *** 288,291 **** --- 261,265 ---- </Member> + <!-- YieldTermStructure constructors --> <Constructor name='qlPiecewiseYieldCurve'> <libraryFunction>PiecewiseYieldCurve</libraryFunction> *************** *** 491,494 **** --- 465,469 ---- </Constructor> + <!-- Quote, SimpleQuote, and HandleQuote --> <Member name='qlQuoteValue' handleToLib='Quote'> <description>retrieve the value of a Quote object</description> |
