quantlibaddin-cvs Mailing List for QuantLibAddin (Page 16)
Brought to you by:
ericehlers,
nando
Menu
▾
▴
quantlibaddin-cvs — High-traffic list for automated CVS check-in messages.
You can subscribe to this list here.
| 2006 |
Jan
|
Feb
|
Mar
|
Apr
|
May
(51) |
Jun
(320) |
Jul
(210) |
Aug
(272) |
Sep
(169) |
Oct
(232) |
Nov
(138) |
Dec
(109) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 |
Jan
(101) |
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
|
From: Giorgio F. <gi...@us...> - 2006-10-27 10:11:39
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22989/gensrc/metadata Modified Files: cmsmarket.xml Log Message: added pricesCms calibration Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** cmsmarket.xml 26 Oct 2006 08:49:27 -0000 1.8 --- cmsmarket.xml 27 Oct 2006 10:11:30 -0000 1.9 *************** *** 107,110 **** --- 107,115 ---- <description>weights for cms market calibration.</description> </Parameter> + <Parameter name='isSpreadCalibrated'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>if TRUE the beta parameter is calibrated to merket spread .</description> + </Parameter> </Parameters> </ParameterList> |
|
From: Giorgio F. <gi...@us...> - 2006-10-27 10:11:35
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22989/qlo Modified Files: cmsmarket.cpp cmsmarket.hpp Log Message: added pricesCms calibration Index: cmsmarket.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** cmsmarket.hpp 4 Oct 2006 13:35:46 -0000 1.5 --- cmsmarket.hpp 27 Oct 2006 10:11:31 -0000 1.6 *************** *** 57,61 **** QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, ! const QuantLib::Matrix& weights); }; --- 57,62 ---- QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, ! const QuantLib::Matrix& weights, ! bool isSpreadCalibrated); }; Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** cmsmarket.cpp 2 Oct 2006 13:27:57 -0000 1.6 --- cmsmarket.cpp 27 Oct 2006 10:11:30 -0000 1.7 *************** *** 91,95 **** QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, ! const QuantLib::Matrix& weights){ libraryObject_ = boost::shared_ptr<QuantLib::SmileAndCmsCalibrationBySabr>( --- 91,96 ---- QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, ! const QuantLib::Matrix& weights, ! bool isSpreadCalibrated){ libraryObject_ = boost::shared_ptr<QuantLib::SmileAndCmsCalibrationBySabr>( *************** *** 97,101 **** volCube, cmsMarket, ! weights)); } } --- 98,103 ---- volCube, cmsMarket, ! weights, ! isSpreadCalibrated)); } } |
|
From: Cristina D. <cdu...@us...> - 2006-10-26 17:57:47
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24995/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: vega weighted fit Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** interpolation.hpp 25 Oct 2006 09:31:16 -0000 1.21 --- interpolation.hpp 26 Oct 2006 17:57:44 -0000 1.22 *************** *** 73,76 **** --- 73,77 ---- bool isNuFixed, bool isRhoFixed, + bool vegaWeighted, const boost::shared_ptr<QuantLib::OptimizationMethod>& om); }; Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** interpolation.cpp 25 Oct 2006 09:31:16 -0000 1.19 --- interpolation.cpp 26 Oct 2006 17:57:44 -0000 1.20 *************** *** 74,77 **** --- 74,78 ---- bool isNuFixed, bool isRhoFixed, + bool vegaWeighted, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) : Interpolation(x,y) { *************** *** 80,84 **** t, forward, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, ! isNuFixed, isRhoFixed, om)); } --- 81,85 ---- t, forward, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, ! isNuFixed, isRhoFixed, vegaWeighted, om)); } |
|
From: Cristina D. <cdu...@us...> - 2006-10-26 17:57:47
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24995/gensrc/metadata Modified Files: interpolation.xml Log Message: vega weighted fit Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** interpolation.xml 18 Oct 2006 10:59:47 -0000 1.42 --- interpolation.xml 26 Oct 2006 17:57:44 -0000 1.43 *************** *** 347,350 **** --- 347,355 ---- <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> </Parameter> + <Parameter name='vegaWeighted' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> + </Parameter> <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'> <type>string</type> |
|
From: Ferdinando A. <na...@us...> - 2006-10-26 10:46:56
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31138/gensrc/metadata Modified Files: pricingengines.xml Log Message: exported qlBlackStdDevDerivative Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** pricingengines.xml 23 Oct 2006 08:37:21 -0000 1.24 --- pricingengines.xml 26 Oct 2006 10:46:42 -0000 1.25 *************** *** 134,137 **** --- 134,168 ---- </Procedure> + <Procedure name='qlBlackStdDevDerivative'> + <description>Black formula for the derivative with respect to the standard deviation.</description> + <alias>QuantLib::blackStdDevDerivative</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='stdDev'> + <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> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + <Constructor name='qlPricingEngine'> <libraryFunction>PricingEngine</libraryFunction> |
|
From: Ferdinando A. <na...@us...> - 2006-10-26 10:32:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23521/gensrc/metadata Modified Files: capfloor.xml vanillaswap.xml Log Message: default values added Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** vanillaswap.xml 26 Oct 2006 08:41:14 -0000 1.32 --- vanillaswap.xml 26 Oct 2006 10:32:33 -0000 1.33 *************** *** 1,234 **** <Category name='vanillaswap'> ! <description>functions to construct and use VanillaSwap objects</description> ! <displayName>Vanilla Swap</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/vanillaswap.hpp</include> ! <include>qlo/termstructures.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet ! </copyright> ! <Functions> ! <Constructor name='qlVanillaSwap'> ! <libraryFunction>VanillaSwap</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>PAYER to pay the fixed rate, RECEIVER to receive it</description> ! </Parameter> ! <Parameter name='Nominal'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Notional Amount</description> ! </Parameter> ! <Parameter name='fixedLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule</description> ! </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='floatingLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg schedule</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> ! </Parameter> ! <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Spread</description> ! </Parameter> ! <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlMakeVanillaSwap'> ! <libraryFunction>VanillaSwap</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='index' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating index</description> ! </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <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='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairRate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairSpread</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the fixed leg</description> ! <libraryFunction>fixedLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the floating leg</description> ! <libraryFunction>floatingLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLegAnalysis</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> ! </Member> ! </Functions> </Category> --- 1,235 ---- <Category name='vanillaswap'> ! <description>functions to construct and use VanillaSwap objects</description> ! <displayName>Vanilla Swap</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/vanillaswap.hpp</include> ! <include>qlo/termstructures.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet ! </copyright> ! <Functions> ! <Constructor name='qlVanillaSwap'> ! <libraryFunction>VanillaSwap</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>PAYER to pay the fixed rate, RECEIVER to receive it</description> ! </Parameter> ! <Parameter name='Nominal'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Notional Amount</description> ! </Parameter> ! <Parameter name='fixedLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule</description> ! </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='floatingLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg schedule</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> ! </Parameter> ! <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Spread</description> ! </Parameter> ! <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlMakeVanillaSwap'> ! <libraryFunction>VanillaSwap</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='index' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating index</description> ! </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</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='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairRate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairSpread</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the fixed leg</description> ! <libraryFunction>fixedLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the floating leg</description> ! <libraryFunction>floatingLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLegAnalysis</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> ! </Member> ! </Functions> </Category> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** capfloor.xml 26 Oct 2006 08:43:57 -0000 1.30 --- capfloor.xml 26 Oct 2006 10:32:32 -0000 1.31 *************** *** 183,191 **** <description>floating index</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> <description>strike</description> </Parameter> <Parameter name='forwardStart' libraryType='QuantLib::Period'> <type>string</type> --- 183,192 ---- <description>floating index</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'> <type>double</type> <tensorRank>scalar</tensorRank> <description>strike</description> </Parameter> + <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='"0D"'>--> <Parameter name='forwardStart' libraryType='QuantLib::Period'> <type>string</type> *************** *** 193,196 **** --- 194,198 ---- <description>forwardStart as period (e.g. 2Y)</description> </Parameter> + <!--<Parameter name='capFloorEngineID' libraryClass='PricingEngine' default='boost::shared_ptr<QuantLib::PricingEngine>()'>--> <Parameter name='capFloorEngineID' libraryClass='PricingEngine'> <type>string</type> |
|
From: Eric E. <eri...@us...> - 2006-10-26 10:14:56
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14175 Modified Files: todo.eric.csv Log Message: convert object IDs to upper case Index: todo.eric.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.eric.csv,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** todo.eric.csv 26 Oct 2006 08:09:40 -0000 1.1 --- todo.eric.csv 26 Oct 2006 10:14:53 -0000 1.2 *************** *** 3,7 **** "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,,, - "OH","Design","make objectIDs case-insensitive",,,,, "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,, --- 3,6 ---- *************** *** 14,17 **** --- 13,17 ---- "OH","Design","update design doc",,3,2,, "QLA","gensrc","Provide schema for XML",,3,2,, + "OH","Design","implement case-preserving behavior for objectIDs",,4,,, "OH","Design","ohDemoObject(parameter1, parameter2) to create an empty object for demo purposes",,4,,, "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,4,,, *************** *** 55,56 **** --- 55,57 ---- "QLA","General Support","bring the C Addin and QuantLibXLDynamic up to date","done",5,,, "gensrc","Design","subdivide file qlxl\qladdin.cpp (1MB!) by category","done",2,1,, + "OH","Design","convert objectIDs to uppercase","done",,,, |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1199/gensrc/metadata Modified Files: bonds.xml calendar.xml cmsmarket.xml couponvectors.xml date.xml daycounter.xml enumcurves.xml exercise.xml forwardrateagreement.xml index.xml instruments.xml ohfunctions.xml optimization.xml options.xml payoffs.xml prices.xml processes.xml randomsequencegenerator.xml ratehelpers.xml schedule.xml sequencestatistics.xml shortratemodels.xml simplecashflow.xml statistics.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml utilities.xml Log Message: formatting Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** ratehelpers.xml 19 Oct 2006 11:16:33 -0000 1.31 --- ratehelpers.xml 26 Oct 2006 08:49:28 -0000 1.32 *************** *** 9,16 **** </includes> <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> --- 9,16 ---- </includes> <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> *************** *** 257,259 **** </Functions> </Category> - --- 257,258 ---- Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** shortratemodels.xml 5 Oct 2006 20:17:10 -0000 1.13 --- shortratemodels.xml 26 Oct 2006 08:49:28 -0000 1.14 *************** *** 1,113 **** <Category name='shortratemodels'> ! <description>functions to construct and use short-rate model objects</description> ! <displayName>Short Rate Models</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2006 Chiara Fornarola ! </copyright> ! <Functions> ! <Constructor name='qlHullWhite'> ! <libraryFunction>HullWhite</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='termStructure' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure</description> ! </Parameter> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>a</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlVasicek'> ! <libraryFunction>Vasicek</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>mean reverting speed</description> ! </Parameter> ! <Parameter name='b'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>short-rate limit value</description> ! </Parameter> ! <Parameter name='lambda'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk premium</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </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> ! </Functions> </Category> - --- 1,112 ---- <Category name='shortratemodels'> ! <description>functions to construct and use short-rate model objects</description> ! <displayName>Short Rate Models</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2006 Chiara Fornarola ! </copyright> ! <Functions> ! <Constructor name='qlHullWhite'> ! <libraryFunction>HullWhite</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='termStructure' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure</description> ! </Parameter> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>a</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlVasicek'> ! <libraryFunction>Vasicek</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>mean reverting speed</description> ! </Parameter> ! <Parameter name='b'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>short-rate limit value</description> ! </Parameter> ! <Parameter name='lambda'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk premium</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </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> ! </Functions> </Category> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** forwardrateagreement.xml 19 Oct 2006 11:16:28 -0000 1.19 --- forwardrateagreement.xml 26 Oct 2006 08:49:27 -0000 1.20 *************** *** 4,9 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> --- 4,9 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> *************** *** 103,105 **** </Functions> </Category> - --- 103,104 ---- Index: enumcurves.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumcurves.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** enumcurves.xml 11 Oct 2006 11:44:32 -0000 1.2 --- enumcurves.xml 26 Oct 2006 08:49:27 -0000 1.3 *************** *** 57,59 **** </Enumerations> </root> - --- 57,58 ---- Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** payoffs.xml 11 Oct 2006 17:22:30 -0000 1.8 --- payoffs.xml 26 Oct 2006 08:49:28 -0000 1.9 *************** *** 4,8 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Eric Ehlers </copyright> --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Eric Ehlers </copyright> *************** *** 71,73 **** </Functions> </Category> - --- 71,72 ---- Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** index.xml 19 Oct 2006 11:16:33 -0000 1.43 --- index.xml 26 Oct 2006 08:49:27 -0000 1.44 *************** *** 30,35 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlIndexIsValidFixingDate' libraryClass='Index' loopParameter='fixingDate'> <description>Returns TRUE if the fixing date is a valid one</description> --- 30,35 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlIndexIsValidFixingDate' libraryClass='Index' loopParameter='fixingDate'> <description>Returns TRUE if the fixing date is a valid one</description> *************** *** 402,406 **** <!-- SwapIndex interface --> ! <Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> --- 402,406 ---- <!-- SwapIndex interface --> ! <Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> *************** *** 417,421 **** </ReturnValue> </Member> ! <Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> --- 417,421 ---- </ReturnValue> </Member> ! <Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> *************** *** 432,436 **** </ReturnValue> </Member> ! <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> --- 432,436 ---- </ReturnValue> </Member> ! <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> *************** *** 447,451 **** </ReturnValue> </Member>--> ! <!-- fixedRateSchedule --> --- 447,451 ---- </ReturnValue> </Member>--> ! <!-- fixedRateSchedule --> *************** *** 508,514 **** </Parameters> </ParameterList> ! </Constructor> </Functions> </Category> - --- 508,513 ---- </Parameters> </ParameterList> ! </Constructor> </Functions> </Category> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** bonds.xml 19 Oct 2006 11:16:28 -0000 1.37 --- bonds.xml 26 Oct 2006 08:49:27 -0000 1.38 *************** *** 11,19 **** </includes> <copyright> ! Copyright (C) 2006 Chiara Fornarola ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Walter Penschke </copyright> --- 11,19 ---- </includes> <copyright> ! Copyright (C) 2006 Chiara Fornarola ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Walter Penschke </copyright> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** swap.xml 18 Oct 2006 20:11:37 -0000 1.32 --- swap.xml 26 Oct 2006 08:49:29 -0000 1.33 *************** *** 8,16 **** </includes> <copyright> ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2006 Katiuscia Manzoni </copyright> <Functions> --- 8,16 ---- </includes> <copyright> ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2006 Katiuscia Manzoni </copyright> <Functions> *************** *** 67,71 **** </ParameterList> </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> --- 67,71 ---- </ParameterList> </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> *************** *** 88,92 **** </ReturnValue> </Member> ! <Member name='qlSwapLegNPV' libraryClass='Swap'> <description>the NPV of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> --- 88,92 ---- </ReturnValue> </Member> ! <Member name='qlSwapLegNPV' libraryClass='Swap'> <description>the NPV of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> *************** *** 138,142 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 138,142 ---- </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> *************** *** 153,157 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 153,157 ---- </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> *************** *** 163,165 **** </Functions> </Category> - --- 163,164 ---- Index: simplecashflow.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/simplecashflow.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** simplecashflow.xml 12 Oct 2006 10:47:26 -0000 1.1 --- simplecashflow.xml 26 Oct 2006 08:49:29 -0000 1.2 *************** *** 58,61 **** </Functions> </Category> - - --- 58,59 ---- Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** termstructures.xml 9 Oct 2006 15:30:59 -0000 1.42 --- termstructures.xml 26 Oct 2006 08:49:29 -0000 1.43 *************** *** 4,11 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> --- 4,11 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> *************** *** 582,584 **** </Functions> </Category> - --- 582,583 ---- Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.66 retrieving revision 1.67 diff -C2 -d -r1.66 -r1.67 *** swaptionvolstructure.xml 24 Oct 2006 13:20:23 -0000 1.66 --- swaptionvolstructure.xml 26 Oct 2006 08:49:29 -0000 1.67 *************** *** 297,301 **** </ParameterList> </Constructor> ! <!-- SwaptionVolatilityMatrix interface --> <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> --- 297,301 ---- </ParameterList> </Constructor> ! <!-- SwaptionVolatilityMatrix interface --> <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> *************** *** 568,572 **** </ParameterList> </Constructor> ! <!-- SwaptionVolatilityCubeBySabr constructors --> <Constructor name='qlSwaptionVolatilityCubeBySabr2'> --- 568,572 ---- </ParameterList> </Constructor> ! <!-- SwaptionVolatilityCubeBySabr constructors --> <Constructor name='qlSwaptionVolatilityCubeBySabr2'> Index: statistics.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/statistics.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** statistics.xml 5 Oct 2006 20:17:10 -0000 1.7 --- statistics.xml 26 Oct 2006 08:49:29 -0000 1.8 *************** *** 420,424 **** </ReturnValue> </Member> ! <Member name='qlStatisticsSemiDeviation' libraryClass='Statistics'> <description>Returns the square root of the semivariance.</description> --- 420,424 ---- </ReturnValue> </Member> ! <Member name='qlStatisticsSemiDeviation' libraryClass='Statistics'> <description>Returns the square root of the semivariance.</description> *************** *** 923,925 **** </Functions> </Category> - --- 923,924 ---- Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** exercise.xml 7 Oct 2006 14:30:17 -0000 1.13 --- exercise.xml 26 Oct 2006 08:49:27 -0000 1.14 *************** *** 4,10 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Cristina Duminuco ! Copyright (C) 2006 Eric Ehlers </copyright> <Functions> --- 4,10 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Cristina Duminuco ! Copyright (C) 2006 Eric Ehlers </copyright> <Functions> *************** *** 110,112 **** </Functions> </Category> - --- 110,111 ---- Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** utilities.xml 7 Oct 2006 12:44:58 -0000 1.15 --- utilities.xml 26 Oct 2006 08:49:29 -0000 1.16 *************** *** 4,10 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2004, 2005, 2006 Eric Ehlers ! </copyright> <Functions> --- 4,10 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2004, 2005, 2006 Eric Ehlers ! </copyright> <Functions> *************** *** 112,114 **** </Functions> </Category> - --- 112,113 ---- Index: randomsequencegenerator.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/randomsequencegenerator.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** randomsequencegenerator.xml 6 Oct 2006 12:08:14 -0000 1.16 --- randomsequencegenerator.xml 26 Oct 2006 08:49:28 -0000 1.17 *************** *** 4,9 **** <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Aurelien Chanudet </copyright> --- 4,9 ---- <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Aurelien Chanudet </copyright> *************** *** 32,42 **** </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>the seed used to initialize the random number generator</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 32,42 ---- </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>the seed used to initialize the random number generator</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 148,150 **** </Functions> </Category> - --- 148,149 ---- Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** swaption.xml 19 Oct 2006 10:49:42 -0000 1.23 --- swaption.xml 26 Oct 2006 08:49:29 -0000 1.24 *************** *** 11,17 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Cristina Duminuco ! Copyright (C) 2006 Eric Ehlers </copyright> <Functions> --- 11,17 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Cristina Duminuco ! Copyright (C) 2006 Eric Ehlers </copyright> <Functions> *************** *** 60,64 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 60,64 ---- </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 88,104 **** </ReturnValue> </Member> ! <Member name='qlSwaptionAtmRate' libraryClass='Swaption'> <description>Swaption ATM rate</description> <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 88,104 ---- </ReturnValue> </Member> ! <Member name='qlSwaptionAtmRate' libraryClass='Swaption'> <description>Swaption ATM rate</description> <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> *************** *** 108,119 **** <libraryFunction>vega</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 108,119 ---- <libraryFunction>vega</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> *************** *** 121,123 **** </Functions> </Category> - --- 121,122 ---- Index: sequencestatistics.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/sequencestatistics.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** sequencestatistics.xml 5 Oct 2006 20:17:10 -0000 1.7 --- sequencestatistics.xml 26 Oct 2006 08:49:28 -0000 1.8 *************** *** 12,16 **** <Functions> ! <!-- SequenceStatistics methods: 1-D inspectors lifted from underlying statistics class --> --- 12,16 ---- <Functions> ! <!-- SequenceStatistics methods: 1-D inspectors lifted from underlying statistics class --> *************** *** 505,509 **** <description>Statistics dimensionality.</description> </Parameter> ! <Parameter name='values' libraryType='QuantLib::Matrix'> <!--default='QuantLib::Matrix()'>--> <type>double</type> <tensorRank>matrix</tensorRank> --- 505,510 ---- <description>Statistics dimensionality.</description> </Parameter> ! <Parameter name='values' libraryType='QuantLib::Matrix'> ! <!--default='QuantLib::Matrix()'>--> <type>double</type> <tensorRank>matrix</tensorRank> *************** *** 521,523 **** </Functions> </Category> - --- 522,523 ---- Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** calendar.xml 13 Oct 2006 08:21:11 -0000 1.29 --- calendar.xml 26 Oct 2006 08:49:27 -0000 1.30 *************** *** 5,9 **** <includes/> <copyright> ! Copyright (C) 2006 Eric Ehlers </copyright> --- 5,9 ---- <includes/> <copyright> ! Copyright (C) 2006 Eric Ehlers </copyright> *************** *** 292,294 **** </Functions> </Category> - --- 292,293 ---- Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** schedule.xml 6 Oct 2006 12:08:14 -0000 1.15 --- schedule.xml 26 Oct 2006 08:49:28 -0000 1.16 *************** *** 4,8 **** <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> *************** *** 80,84 **** <tensorRank>scalar</tensorRank> <description>tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> ! </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> --- 80,84 ---- <tensorRank>scalar</tensorRank> <description>tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> ! </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> *************** *** 105,109 **** <tensorRank>scalar</tensorRank> <description>end of month convention. By default, FALSE.</description> ! </Parameter> <Parameter name='firstDate' libraryType='QuantLib::Date' default='0'> <type>long</type> --- 105,109 ---- <tensorRank>scalar</tensorRank> <description>end of month convention. By default, FALSE.</description> ! </Parameter> <Parameter name='firstDate' libraryType='QuantLib::Date' default='0'> <type>long</type> *************** *** 115,119 **** <tensorRank>scalar</tensorRank> <description>stub date, if there is an in-arrears stub period</description> ! </Parameter> </Parameters> </ParameterList> --- 115,119 ---- <tensorRank>scalar</tensorRank> <description>stub date, if there is an in-arrears stub period</description> ! </Parameter> </Parameters> </ParameterList> *************** *** 138,140 **** </Functions> </Category> - --- 138,139 ---- Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** couponvectors.xml 19 Oct 2006 11:16:28 -0000 1.38 --- couponvectors.xml 26 Oct 2006 08:49:27 -0000 1.39 *************** *** 12,16 **** Copyright (C) 2005 Aurelien Chanudet </copyright> ! <Functions> --- 12,16 ---- Copyright (C) 2005 Aurelien Chanudet </copyright> ! <Functions> *************** *** 390,392 **** </Category> - --- 390,391 ---- Index: ohfunctions.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ohfunctions.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** ohfunctions.xml 9 Oct 2006 09:48:38 -0000 1.10 --- ohfunctions.xml 26 Oct 2006 08:49:27 -0000 1.11 *************** *** 1,11 **** <Category name='ohfunctions'> ! <description>ObjectHandler functions</description> ! <displayName>ObjectHandler</displayName> ! <includes> ! <include>oh/objecthandler.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Eric Ehlers ! </copyright> <Functions> --- 1,11 ---- <Category name='ohfunctions'> ! <description>ObjectHandler functions</description> ! <displayName>ObjectHandler</displayName> ! <includes> ! <include>oh/objecthandler.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Eric Ehlers ! </copyright> <Functions> *************** *** 444,474 **** <Procedure name='ohSetConsole'> ! <description>fork output to stdout</description> ! <alias>ObjHandler::setConsole</alias> ! <SupportedPlatforms> ! <C/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='console'> <type>int</type> <tensorRank>scalar</tensorRank> <description>1 (enable) / 0 (disable)</description> ! </Parameter> ! <Parameter name='logLevel' default='4'> <type>long</type> <tensorRank>scalar</tensorRank> <description>threshold for log messages</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> ! </ReturnValue> </Procedure> ! </Functions> </Category> - --- 444,473 ---- <Procedure name='ohSetConsole'> ! <description>fork output to stdout</description> ! <alias>ObjHandler::setConsole</alias> ! <SupportedPlatforms> ! <C/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='console'> <type>int</type> <tensorRank>scalar</tensorRank> <description>1 (enable) / 0 (disable)</description> ! </Parameter> ! <Parameter name='logLevel' default='4'> <type>long</type> <tensorRank>scalar</tensorRank> <description>threshold for log messages</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> ! </ReturnValue> </Procedure> ! </Functions> </Category> Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** cmsmarket.xml 24 Oct 2006 13:20:23 -0000 1.7 --- cmsmarket.xml 26 Oct 2006 08:49:27 -0000 1.8 *************** *** 126,159 **** </ReturnValue> </Member> ! ! <Member name='qlSimultaneousCalibrationError' libraryClass='SmileAndCmsCalibrationBySabr'> ! <description>Returns the error of the simultaneous calibration</description> ! <libraryFunction>error</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> </Member> <Member name='qlSimultaneousCalibrationEndCriteria' libraryClass='SmileAndCmsCalibrationBySabr'> ! <description>Returns the optimization end criteria of the simultaneous calibration</description> ! <libraryFunction>endCriteria</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::EndCriteria::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> </Member> --- 126,159 ---- </ReturnValue> </Member> ! ! <Member name='qlSimultaneousCalibrationError' libraryClass='SmileAndCmsCalibrationBySabr'> ! <description>Returns the error of the simultaneous calibration</description> ! <libraryFunction>error</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> </Member> <Member name='qlSimultaneousCalibrationEndCriteria' libraryClass='SmileAndCmsCalibrationBySabr'> ! <description>Returns the optimization end criteria of the simultaneous calibration</description> ! <libraryFunction>endCriteria</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::EndCriteria::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> </Member> Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** instruments.xml 7 Oct 2006 15:47:45 -0000 1.22 --- instruments.xml 26 Oct 2006 08:49:27 -0000 1.23 *************** *** 8,13 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Walter Penschke </copyright> --- 8,13 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Walter Penschke </copyright> *************** *** 85,87 **** </Functions> </Category> - --- 85,86 ---- Index: prices.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/prices.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** prices.xml 6 Oct 2006 12:08:14 -0000 1.11 --- prices.xml 26 Oct 2006 08:49:28 -0000 1.12 *************** *** 7,11 **** </includes> <copyright> ! Copyright (C) 2006 Katiuscia Manzoni </copyright> <Functions> --- 7,11 ---- </includes> <copyright> ! Copyright (C) 2006 Katiuscia Manzoni </copyright> <Functions> *************** *** 75,77 **** </Functions> </Category> - --- 75,76 ---- Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** options.xml 7 Oct 2006 14:30:17 -0000 1.24 --- options.xml 26 Oct 2006 08:49:28 -0000 1.25 *************** *** 9,13 **** </includes> <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers </copyright> <Functions> --- 9,13 ---- </includes> <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers </copyright> <Functions> *************** *** 598,600 **** </Functions> </Category> - --- 598,599 ---- Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** date.xml 19 Oct 2006 09:53:57 -0000 1.17 --- date.xml 26 Oct 2006 08:49:27 -0000 1.18 *************** *** 186,192 **** </Parameter> <Parameter name='weekday' enumeration='QuantLib::Weekday'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Weekday (e.g. Wednesday, or Wed).</description> </Parameter> <Parameter name='month' enumeration='QuantLib::Month'> --- 186,192 ---- </Parameter> <Parameter name='weekday' enumeration='QuantLib::Weekday'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Weekday (e.g. Wednesday, or Wed).</description> </Parameter> <Parameter name='month' enumeration='QuantLib::Month'> Index: daycounter.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/daycounter.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** daycounter.xml 5 Oct 2006 20:17:09 -0000 1.9 --- daycounter.xml 26 Oct 2006 08:49:27 -0000 1.10 *************** *** 5,9 **** <includes/> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> --- 5,9 ---- <includes/> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> *************** *** 88,90 **** </Functions> </Category> - --- 88,89 ---- Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** optimization.xml 6 Oct 2006 12:08:13 -0000 1.16 --- optimization.xml 26 Oct 2006 08:49:28 -0000 1.17 *************** *** 7,11 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> --- 7,11 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> *************** *** 124,138 **** <ParameterList> <Parameters> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> <type>string</type> <tensorRank>scalar</tensorRank> <description>EndCriteria object ID</description> </Parameter> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial value (i.e. initial guess)</description> </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch'> <type>string</type> <tensorRank>scalar</tensorRank> --- 124,138 ---- <ParameterList> <Parameters> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> <type>string</type> <tensorRank>scalar</tensorRank> <description>EndCriteria object ID</description> </Parameter> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial value (i.e. initial guess)</description> </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 149,153 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> --- 149,153 ---- </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> *************** *** 183,189 **** </ParameterList> </Constructor> ! <!-- LineSearch derived classes' constructors --> ! <Constructor name='qlArmijoLineSearch'> <libraryFunction>ArmijoLineSearch</libraryFunction> --- 183,189 ---- </ParameterList> </Constructor> ! <!-- LineSearch derived classes' constructors --> ! <Constructor name='qlArmijoLineSearch'> <libraryFunction>ArmijoLineSearch</libraryFunction> *************** *** 215,217 **** </Category> - --- 215,216 ---- Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** processes.xml 6 Oct 2006 12:08:14 -0000 1.14 --- processes.xml 26 Oct 2006 08:49:28 -0000 1.15 *************** *** 4,8 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2004, 2005 Eric Ehlers </copyright> <Functions> --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2004, 2005 Eric Ehlers </copyright> <Functions> *************** *** 54,56 **** </Functions> </Category> - --- 54,55 ---- |
|
From: Ferdinando A. <na...@us...> - 2006-10-26 08:44:00
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30393/gensrc/metadata Modified Files: capfloor.xml Log Message: fix Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** capfloor.xml 25 Oct 2006 09:42:46 -0000 1.29 --- capfloor.xml 26 Oct 2006 08:43:57 -0000 1.30 *************** *** 173,177 **** <description>option type (cap or floor)</description> </Parameter> ! <Parameter name='maturity' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 173,177 ---- <description>option type (cap or floor)</description> </Parameter> ! <Parameter name='maturity' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 188,192 **** <description>strike</description> </Parameter> ! <Parameter name='forwardStart' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 188,192 ---- <description>strike</description> </Parameter> ! <Parameter name='forwardStart' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> |
|
From: Ferdinando A. <na...@us...> - 2006-10-26 08:42:59
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29800/gensrc/metadata Modified Files: marketmodels.xml Log Message: 1) added maxError Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** marketmodels.xml 26 Oct 2006 08:06:10 -0000 1.49 --- marketmodels.xml 26 Oct 2006 08:42:55 -0000 1.50 *************** *** 976,979 **** --- 976,1005 ---- </Member> + <Member name='qlAbcdMaxError' libraryClass='Abcd'> + <description>Returs the max error between the abdc implied Black vols and a given Black vol vector</description> + <libraryFunction>maxError</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='blackVols'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Black vol vector.</description> + </Parameter> + <Parameter name='times' vectorIterator='begin'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Reference time for the above Black vol vector.</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Member name='qlAbcdCapletCalibration' libraryClass='Abcd'> <description>Calibrates the a, b, c, d parameters of the vol parametrization</description> |
|
From: Chiara F. <chi...@us...> - 2006-10-26 08:41:17
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29121/gensrc/metadata Modified Files: vanillaswap.xml Log Message: bug fixed in qlMakeVanillaSwap Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** vanillaswap.xml 25 Oct 2006 09:42:47 -0000 1.31 --- vanillaswap.xml 26 Oct 2006 08:41:14 -0000 1.32 *************** *** 82,86 **** <ParameterList> <Parameters> ! <Parameter name='swapTenor' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 82,86 ---- <ParameterList> <Parameters> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 97,101 **** <description>the fixed rate</description> </Parameter> ! <Parameter name='forwardStart' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 97,101 ---- <description>the fixed rate</description> </Parameter> ! <Parameter name='forwardStart' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> |
|
From: Eric E. <eri...@us...> - 2006-10-26 08:15:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14971 Modified Files: QuantLibAddin_vc8.sln Log Message: synchronize qlgensrc_vc8.vcproj GUID between QuantLibAll_vc8.sln and QuantLibAddin_vc8.sln Index: QuantLibAddin_vc8.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin_vc8.sln,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** QuantLibAddin_vc8.sln 17 Oct 2006 17:07:41 -0000 1.13 --- QuantLibAddin_vc8.sln 26 Oct 2006 08:15:30 -0000 1.14 *************** *** 21,25 **** Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibObjects", "QuantLibObjects_vc8.vcproj", "{CAB8330C-6424-4455-9285-3654587EF71F}" ProjectSection(ProjectDependencies) = postProject ! {88BE5568-6E55-41C5-A251-670FAFB44336} = {88BE5568-6E55-41C5-A251-670FAFB44336} EndProjectSection EndProject --- 21,25 ---- Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibObjects", "QuantLibObjects_vc8.vcproj", "{CAB8330C-6424-4455-9285-3654587EF71F}" ProjectSection(ProjectDependencies) = postProject ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} = {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} EndProjectSection EndProject *************** *** 27,31 **** ProjectSection(ProjectDependencies) = postProject {CAB8330C-6424-4455-9285-3654587EF71F} = {CAB8330C-6424-4455-9285-3654587EF71F} ! {88BE5568-6E55-41C5-A251-670FAFB44336} = {88BE5568-6E55-41C5-A251-670FAFB44336} EndProjectSection EndProject --- 27,31 ---- ProjectSection(ProjectDependencies) = postProject {CAB8330C-6424-4455-9285-3654587EF71F} = {CAB8330C-6424-4455-9285-3654587EF71F} ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} = {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} EndProjectSection EndProject *************** *** 33,50 **** ProjectSection(ProjectDependencies) = postProject {CAB8330C-6424-4455-9285-3654587EF71F} = {CAB8330C-6424-4455-9285-3654587EF71F} ! {88BE5568-6E55-41C5-A251-670FAFB44336} = {88BE5568-6E55-41C5-A251-670FAFB44336} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "docs-QuantLibAddin", "Docs\docs-QuantLibAddin_vc8.vcproj", "{3A1AC508-8F57-4318-AC89-EE55513FE506}" ProjectSection(ProjectDependencies) = postProject ! {88BE5568-6E55-41C5-A251-670FAFB44336} = {88BE5568-6E55-41C5-A251-670FAFB44336} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "docs-QuantLibXL", "..\QuantLibXL\Docs\docs-QuantLibXL_vc8.vcproj", "{A7768A12-75ED-480C-825A-BC70105281BC}" ProjectSection(ProjectDependencies) = postProject ! {88BE5568-6E55-41C5-A251-670FAFB44336} = {88BE5568-6E55-41C5-A251-670FAFB44336} EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "qlgensrc", "gensrc\qlgensrc_vc8.vcproj", "{88BE5568-6E55-41C5-A251-670FAFB44336}" EndProject Global --- 33,50 ---- ProjectSection(ProjectDependencies) = postProject {CAB8330C-6424-4455-9285-3654587EF71F} = {CAB8330C-6424-4455-9285-3654587EF71F} ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} = {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "docs-QuantLibAddin", "Docs\docs-QuantLibAddin_vc8.vcproj", "{3A1AC508-8F57-4318-AC89-EE55513FE506}" ProjectSection(ProjectDependencies) = postProject ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} = {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "docs-QuantLibXL", "..\QuantLibXL\Docs\docs-QuantLibXL_vc8.vcproj", "{A7768A12-75ED-480C-825A-BC70105281BC}" ProjectSection(ProjectDependencies) = postProject ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} = {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969} EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "qlgensrc", "gensrc\qlgensrc_vc8.vcproj", "{C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}" EndProject Global *************** *** 141,154 **** {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.ActiveCfg = All|Win32 {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.Build.0 = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.ActiveCfg = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.Build.0 = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.ActiveCfg = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.Build.0 = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.ActiveCfg = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.Build.0 = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.ActiveCfg = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.Build.0 = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.ActiveCfg = All|Win32 ! {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.Build.0 = All|Win32 EndGlobalSection GlobalSection(SolutionProperties) = preSolution --- 141,154 ---- {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.ActiveCfg = All|Win32 {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.Build.0 = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.All|Win32.ActiveCfg = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.All|Win32.Build.0 = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Debug CRTDLL|Win32.ActiveCfg = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Debug CRTDLL|Win32.Build.0 = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Debug|Win32.ActiveCfg = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Debug|Win32.Build.0 = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Release CRTDLL|Win32.ActiveCfg = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Release CRTDLL|Win32.Build.0 = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Release|Win32.ActiveCfg = All|Win32 ! {C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}.Release|Win32.Build.0 = All|Win32 EndGlobalSection GlobalSection(SolutionProperties) = preSolution |
|
From: Eric E. <eri...@us...> - 2006-10-26 08:09:44
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12040 Added Files: todo.eric.csv Removed Files: todo.csv Log Message: update todo list --- NEW FILE: todo.eric.csv --- "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,,, "OH","Design","make objectIDs case-insensitive",,,,, "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" "OH","Design","update design doc",,3,2,, "QLA","gensrc","Provide schema for XML",,3,2,, "OH","Design","ohDemoObject(parameter1, parameter2) to create an empty object for demo purposes",,4,,, "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,4,,, "QLA","Design","use Excel SmartTags to allow interrogation of objects",,4,,, "QLA","Docs","include more info in autogenerated docs: enumeration, default value, platform, loop",,4,,, "QLA","Documentation","segregate documentation for QLA / QLXL / OH",,4,,, "QLA","Enumerations","wizard: when enums are inputs add optional description suffixed with generic description taken from enum metadata",,4,,, "QLA","Enumerations","wizard: suffix description with loop, default parameter, optional parameter, etc information",,4,,, "QLA","General Support","C++ examples - add VOs, NPV calculations",,4,,, "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,4,,, "QLA","VBA framework","interrogate object repository (GUI browser)",,4,,,"Plamen?" "OH","Design","""reflection"" - support member functions dynamically",,5,,, "OH","Design","allow objects to be grouped",,5,,, ,,,,,,, "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,5,,, "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple","?",5,,, "QLA","General Support","calculate memory usage of repository",,5,,, "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,,, "QLA","VBA framework","access logfile (GUI browser)",,5,,, ,,,,,,, ,,,,,,, "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold",5,,,"requires redesign to allow multiple XLLs to share global Registry" "QLA","VBA framework","design for real-time live feed","on hold",3,,, "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter","on hold",3,,,"already done by Ferdinando?" "?","?","move stub.enum.types out of GenSrc into QLA",,4,,,"this is part of larger task 'remove QL code from core gensrc app'" "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","cancelled",4,,, "QLA","Functions","port old QLXL functionality into new QLXL","cancelled",4,,, "QLA","Design","loop functions: 1) template 2) Procedures 3) error per iteration","done",2,,, "gensrc","Design","Increase max # params for Excel functions","done",5,,, "QLA","Design","right-click error messages - allow user to click anywhere in the range","done",2,,, "QLA","gensrc","extend rule.py to support conversion of Guile datatypes","done",5,,, "gensrc","Design","consolidate Rule/RuleGroup classes","done",2,,, "gensrc","Design","consolidate functions serializeObjectDict/serializeObjectDict2","done",2,,, "QLA","General Support","count the number of functions available in the addin","done",5,,, "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics","done",1,,, "QLA","Design","export and use Quote (or Handle<Quote>) instead of double to solve the problem of reconstructing objects with default value","done",0,,, "QLA","Enumerations","EuriborSwapFixA / Eur Libor - fix design problems","done",0,,, "gensrc","Design","automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc","done",5,,, "QLA","General Support","allow for default optimization Method (see as example qlAbcdCapletCalibration in marketmodels.xml)","done",1,1,, "QLA","Design","Joint Calendar as other Calendar (with special string)","done",2,"0,5",, "QLA","General Support","bring the C Addin and QuantLibXLDynamic up to date","done",5,,, "gensrc","Design","subdivide file qlxl\qladdin.cpp (1MB!) by category","done",2,1,, --- todo.csv DELETED --- |
|
From: Ferdinando A. <na...@us...> - 2006-10-26 08:06:21
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9624/gensrc/metadata Modified Files: marketmodels.xml Log Message: restored loopParametr Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** marketmodels.xml 11 Oct 2006 17:22:30 -0000 1.48 --- marketmodels.xml 26 Oct 2006 08:06:10 -0000 1.49 *************** *** 602,606 **** <!-- Abcd Volatility --> ! <Member name='qlAbcdInstantaneousValue' libraryClass='Abcd'> <description>Returns the instantaneous volatility as function of residual time to maturity. [a + b*T] * e^{-c*T} + d</description> <libraryFunction>operator()</libraryFunction> --- 602,606 ---- <!-- Abcd Volatility --> ! <Member name='qlAbcdInstantaneousValue' libraryClass='Abcd' loopParameter='u'> <description>Returns the instantaneous volatility as function of residual time to maturity. [a + b*T] * e^{-c*T} + d</description> <libraryFunction>operator()</libraryFunction> *************** *** 612,616 **** <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>residual time(s) to maturity</description> </Parameter> --- 612,616 ---- <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>residual time(s) to maturity</description> </Parameter> *************** *** 619,627 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlAbcdInstantaneousCovariance' libraryClass='Abcd'> <description>Returns covariance at calendar time u between T and S fixing rates.</description> <libraryFunction>instantaneousCovariance</libraryFunction> --- 619,627 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlAbcdInstantaneousCovariance' libraryClass='Abcd' loopParameter='u'> <description>Returns covariance at calendar time u between T and S fixing rates.</description> <libraryFunction>instantaneousCovariance</libraryFunction> *************** *** 633,637 **** <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>calendar time(s)</description> </Parameter> --- 633,637 ---- <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>calendar time(s)</description> </Parameter> *************** *** 650,658 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlAbcdInstantaneousVariance' libraryClass='Abcd'> <description>Returns variance at calendar time u of T-fixing rate.</description> <libraryFunction>instantaneousVariance</libraryFunction> --- 650,658 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlAbcdInstantaneousVariance' libraryClass='Abcd' loopParameter='u'> <description>Returns variance at calendar time u of T-fixing rate.</description> <libraryFunction>instantaneousVariance</libraryFunction> *************** *** 664,668 **** <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>calendar time(s)</description> </Parameter> --- 664,668 ---- <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>calendar time(s)</description> </Parameter> *************** *** 676,684 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlAbcdInstantaneousVolatility' libraryClass='Abcd'> <description>Returns volatility at calendar time u of T-fixing rate.</description> <libraryFunction>instantaneousVolatility</libraryFunction> --- 676,684 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlAbcdInstantaneousVolatility' libraryClass='Abcd' loopParameter='u'> <description>Returns volatility at calendar time u of T-fixing rate.</description> <libraryFunction>instantaneousVolatility</libraryFunction> *************** *** 690,694 **** <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>calendar time(s)</description> </Parameter> --- 690,694 ---- <Parameter name='u' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>calendar time(s)</description> </Parameter> *************** *** 702,706 **** <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 702,706 ---- <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> *************** *** 951,955 **** <Member name='qlAbcdError' libraryClass='Abcd'> ! <description>Returs the error between the abdc implied Black vols and a given Balck vol vector</description> <libraryFunction>error</libraryFunction> <SupportedPlatforms> --- 951,955 ---- <Member name='qlAbcdError' libraryClass='Abcd'> ! <description>Returs the error between the abdc implied Black vols and a given Black vol vector</description> <libraryFunction>error</libraryFunction> <SupportedPlatforms> |
|
From: Ferdinando A. <na...@us...> - 2006-10-25 09:42:50
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23828/gensrc/metadata Modified Files: capfloor.xml vanillaswap.xml Log Message: exported MakeCapFloor Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** vanillaswap.xml 24 Oct 2006 13:07:26 -0000 1.30 --- vanillaswap.xml 25 Oct 2006 09:42:47 -0000 1.31 *************** *** 90,94 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>index</description> </Parameter> <Parameter name='fixedRate' libraryType='QuantLib::Rate'> --- 90,94 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating index</description> </Parameter> <Parameter name='fixedRate' libraryType='QuantLib::Rate'> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** capfloor.xml 19 Oct 2006 10:48:49 -0000 1.28 --- capfloor.xml 25 Oct 2006 09:42:46 -0000 1.29 *************** *** 9,14 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> --- 9,14 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> *************** *** 84,95 **** <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 84,95 ---- <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> *************** *** 99,110 **** <libraryFunction>vega</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 99,125 ---- <libraryFunction>vega</libraryFunction> <SupportedPlatforms> ! <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorLegAnalysis' objectClass='CapFloor'> ! <description>The cap/floor cash flow analysis</description> ! <libraryFunction>legAnalysis</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> </ReturnValue> </Member> *************** *** 120,124 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>option type (cap, floor or collar)</description> </Parameter> <Parameter name='legID' objectClass='CashFlowStream'> --- 135,139 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>option type (cap or floor)</description> </Parameter> <Parameter name='legID' objectClass='CashFlowStream'> *************** *** 146,163 **** </Constructor> ! <Member name='qlCapFloorLegAnalysis' objectClass='CapFloor'> ! <description>The cap/floor cash flow analysis</description> ! <libraryFunction>legAnalysis</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> </ReturnValue> ! </Member> </Functions> --- 161,208 ---- </Constructor> ! <Constructor name='qlMakeCapFloor'> ! <libraryFunction>CapFloor</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='optionType' enumeration='QuantLib::CapFloor::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>option type (cap or floor)</description> ! </Parameter> ! <Parameter name='maturity' enumeration='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity as period (e.g. 2Y)</description> ! </Parameter> ! <Parameter name='index' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating index</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! <Parameter name='forwardStart' enumeration='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>forwardStart as period (e.g. 2Y)</description> ! </Parameter> ! <Parameter name='capFloorEngineID' libraryClass='PricingEngine'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Cap floor pricing engine</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> ! </Constructor> </Functions> |
|
From: Ferdinando A. <na...@us...> - 2006-10-25 09:42:50
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23828/qlo Modified Files: capfloor.cpp capfloor.hpp vanillaswap.cpp Log Message: exported MakeCapFloor Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** capfloor.hpp 18 Oct 2006 20:11:37 -0000 1.10 --- capfloor.hpp 25 Oct 2006 09:42:47 -0000 1.11 *************** *** 33,37 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, const boost::shared_ptr<QuantLib::PricingEngine>& engine); ! std::vector<std::vector<boost::any> > legAnalysis(); }; --- 33,42 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, const boost::shared_ptr<QuantLib::PricingEngine>& engine); ! CapFloor(QuantLib::CapFloor::Type capFloorType, ! const QuantLib::Period& capFloorTenor, ! const boost::shared_ptr<QuantLib::Xibor>& index, ! QuantLib::Rate strike, ! const QuantLib::Period& forwardStart, ! const boost::shared_ptr<QuantLib::PricingEngine>& engine); std::vector<std::vector<boost::any> > legAnalysis(); }; Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** vanillaswap.cpp 24 Oct 2006 13:07:26 -0000 1.12 --- vanillaswap.cpp 25 Oct 2006 09:42:47 -0000 1.13 *************** *** 60,65 **** QuantLib::Rate fixedRate, const QuantLib::Period& forwardStart) { ! libraryObject_ = ! QuantLib::MakeVanillaSwap(swapTenor, index, fixedRate, forwardStart).operator boost::shared_ptr<QuantLib::VanillaSwap>(); } --- 60,66 ---- QuantLib::Rate fixedRate, const QuantLib::Period& forwardStart) { ! libraryObject_ = QuantLib::MakeVanillaSwap(swapTenor, index, ! fixedRate, forwardStart).operator ! boost::shared_ptr<QuantLib::VanillaSwap>(); } Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** capfloor.cpp 18 Oct 2006 20:11:37 -0000 1.11 --- capfloor.cpp 25 Oct 2006 09:42:47 -0000 1.12 *************** *** 23,26 **** --- 23,27 ---- #include <qlo/capfloor.hpp> + #include <ql/Instruments/makecapfloor.hpp> namespace QuantLibAddin { *************** *** 39,42 **** --- 40,54 ---- } + CapFloor::CapFloor(QuantLib::CapFloor::Type capFloorType, + const QuantLib::Period& capFloorTenor, + const boost::shared_ptr<QuantLib::Xibor>& index, + QuantLib::Rate strike, + const QuantLib::Period& forwardStart, + const boost::shared_ptr<QuantLib::PricingEngine>& engine) { + libraryObject_ = QuantLib::MakeCapFloor(capFloorType, capFloorTenor, + index, strike, forwardStart, engine).operator + boost::shared_ptr<QuantLib::CapFloor>(); + } + std::vector<std::vector<boost::any> > CapFloor::legAnalysis() { |
|
From: Ferdinando A. <na...@us...> - 2006-10-25 09:31:20
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17596/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: revering back "QuantLib::Interpolation makes a copy of x,y" Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** interpolation.hpp 24 Oct 2006 10:13:54 -0000 1.20 --- interpolation.hpp 25 Oct 2006 09:31:16 -0000 1.21 *************** *** 31,41 **** }; ! class Interpolation : public Extrapolator {}; class LinearInterpolation : public Interpolation { public: LinearInterpolation(const std::string &linearInterpolationType, ! const std::vector<double>& x, ! const std::vector<double>& y); }; --- 31,47 ---- }; ! class Interpolation : public Extrapolator { ! public: ! Interpolation(const std::vector<QuantLib::Real>& x, ! const std::vector<QuantLib::Real>& y); ! protected: ! std::vector<QuantLib::Real> x_, y_; ! }; class LinearInterpolation : public Interpolation { public: LinearInterpolation(const std::string &linearInterpolationType, ! const std::vector<QuantLib::Real>& x, ! const std::vector<QuantLib::Real>& y); }; *************** *** 43,48 **** public: CubicSplineInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, QuantLib::CubicSpline::BoundaryCondition leftCondition, double leftConditionValue, --- 49,54 ---- public: CubicSplineInterpolation( ! const std::vector<QuantLib::Real>& x, ! const std::vector<QuantLib::Real>& y, QuantLib::CubicSpline::BoundaryCondition leftCondition, double leftConditionValue, *************** *** 55,66 **** public: SABRInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! double t, ! double forward, ! double alpha, ! double beta, ! double nu, ! double rho, bool isAlphaFixed, bool isBetaFixed, --- 61,72 ---- public: SABRInterpolation( ! const std::vector<QuantLib::Real>& x, ! const std::vector<QuantLib::Real>& y, ! QuantLib::Time t, ! QuantLib::Rate forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, bool isAlphaFixed, bool isBetaFixed, Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** interpolation.cpp 24 Oct 2006 10:13:54 -0000 1.18 --- interpolation.cpp 25 Oct 2006 09:31:16 -0000 1.19 *************** *** 29,46 **** namespace QuantLibAddin { ! LinearInterpolation::LinearInterpolation( ! const std::string &linearInterpolationType, ! const std::vector<double>& x, ! const std::vector<double>& y) ! { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); libraryObject_ = Create<boost::shared_ptr<QuantLib::Interpolation> >() ! (linearInterpolationType, x.begin(), x.end(), y.begin()); } CubicSplineInterpolation::CubicSplineInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, QuantLib::CubicSpline::BoundaryCondition leftCondition, double leftConditionValue, --- 29,51 ---- namespace QuantLibAddin { ! Interpolation::Interpolation( ! const std::vector<QuantLib::Real>& x, ! const std::vector<QuantLib::Real>& y) ! : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); + } + LinearInterpolation::LinearInterpolation( + const std::string &linearInterpolationType, + const std::vector<QuantLib::Real>& x, + const std::vector<QuantLib::Real>& y) + : Interpolation(x,y) { libraryObject_ = Create<boost::shared_ptr<QuantLib::Interpolation> >() ! (linearInterpolationType, x_.begin(), x_.end(), y_.begin()); } CubicSplineInterpolation::CubicSplineInterpolation( ! const std::vector<QuantLib::Real>& x, ! const std::vector<QuantLib::Real>& y, QuantLib::CubicSpline::BoundaryCondition leftCondition, double leftConditionValue, *************** *** 48,56 **** double rightConditionValue, bool monotonicityConstraint) ! { ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::CubicSpline(x.begin(), x.end(), y.begin(), leftCondition, leftConditionValue, rightCondition, rightConditionValue, --- 53,59 ---- double rightConditionValue, bool monotonicityConstraint) ! : Interpolation(x,y) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::CubicSpline(x_.begin(), x_.end(), y_.begin(), leftCondition, leftConditionValue, rightCondition, rightConditionValue, *************** *** 59,70 **** SABRInterpolation::SABRInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! double t, ! double forward, ! double alpha, ! double beta, ! double nu, ! double rho, bool isAlphaFixed, bool isBetaFixed, --- 62,73 ---- SABRInterpolation::SABRInterpolation( ! const std::vector<QuantLib::Real>& x, ! const std::vector<QuantLib::Real>& y, ! QuantLib::Time t, ! QuantLib::Rate forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, bool isAlphaFixed, bool isBetaFixed, *************** *** 72,80 **** bool isRhoFixed, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) ! { ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SABRInterpolation(x.begin(), x.end(), y.begin(), t, forward, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, --- 75,81 ---- bool isRhoFixed, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) ! : Interpolation(x,y) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SABRInterpolation(x_.begin(), x_.end(), y_.begin(), t, forward, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, |
|
From: Giorgio F. <gi...@us...> - 2006-10-24 13:20:28
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26100/gensrc/metadata Modified Files: cmsmarket.xml swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.65 retrieving revision 1.66 diff -C2 -d -r1.65 -r1.66 *** swaptionvolstructure.xml 24 Oct 2006 10:46:21 -0000 1.65 --- swaptionvolstructure.xml 24 Oct 2006 13:20:23 -0000 1.66 *************** *** 257,260 **** --- 257,301 ---- </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> + <tensorRank>vector</tensorRank> + <description>underlying swap lengths</description> + </Parameter> + <Parameter name='volatilities' libToHandle='Quote'> + <type>string</type> + <tensorRank>matrix</tensorRank> + <description>vol quotes</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> + <!-- SwaptionVolatilityMatrix interface --> <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> *************** *** 435,439 **** </ReturnValue> </Member> - <!-- SwaptionVolatilityCubeBySabr constructors --> <Constructor name='qlSwaptionVolatilityCubeBySabr'> --- 476,479 ---- *************** *** 528,531 **** --- 568,664 ---- </ParameterList> </Constructor> + + <!-- SwaptionVolatilityCubeBySabr constructors --> + <Constructor name='qlSwaptionVolatilityCubeBySabr2'> + <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='atmVolStructure' libToHandle='SwaptionVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>At-the-money volatility structure</description> + </Parameter> + <Parameter name='expiries' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>smile cube's expiries as periods</description> + </Parameter> + <Parameter name='swapLengths' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>smile cube's underlying swap lengths</description> + </Parameter> + <Parameter name='strikeSpreads' libraryType='QuantLib::Spread'> + <type>double</type> + <tensorRank>vector</tensorRank> + <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='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='swapSettlDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>underlying swap settlement days (e.g. 2)</description> + </Parameter> + <Parameter name='fxdLegFreq' enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> + </Parameter> + <Parameter name='fxdLegBDC' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's fixed leg business day convention</description> + </Parameter> + <Parameter name='fxdLegDC' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's fixed leg day counter (e.g. Actual/360)</description> + </Parameter> + <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>floating leg Index</description> + </Parameter> + <Parameter name='shortTenor' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time indicating the short tenor</description> + </Parameter> + <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>floating leg short tenor Index</description> + </Parameter> + <Parameter name='parametersGuess' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>matrix of parameters guess.</description> + </Parameter> + <Parameter name='isParamFixed'> + <type>bool</type> + <tensorRank>vector</tensorRank> + <description>if TRUE parameter guess is not calibrated.</description> + </Parameter> + <Parameter name='isAtmCalibrated'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>if TRUE the cube is calibrated to atm matrix .</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> <!-- SwaptionVolatilityCubeBySabr interface --> Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** cmsmarket.xml 11 Oct 2006 11:33:43 -0000 1.6 --- cmsmarket.xml 24 Oct 2006 13:20:23 -0000 1.7 *************** *** 126,129 **** --- 126,160 ---- </ReturnValue> </Member> + + <Member name='qlSimultaneousCalibrationError' libraryClass='SmileAndCmsCalibrationBySabr'> + <description>Returns the error of the simultaneous calibration</description> + <libraryFunction>error</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + + <Member name='qlSimultaneousCalibrationEndCriteria' libraryClass='SmileAndCmsCalibrationBySabr'> + <description>Returns the optimization end criteria of the simultaneous calibration</description> + <libraryFunction>endCriteria</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::EndCriteria::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> </Functions> |
|
From: Eric E. <eri...@us...> - 2006-10-24 13:07:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19762/qlo Modified Files: vanillaswap.cpp vanillaswap.hpp Log Message: export MakeVanillaSwap Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** vanillaswap.hpp 18 Oct 2006 19:49:39 -0000 1.14 --- vanillaswap.hpp 24 Oct 2006 13:07:26 -0000 1.15 *************** *** 38,44 **** --- 38,50 ---- const QuantLib::DayCounter& floatDayCounter, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); + VanillaSwap( + const QuantLib::Period& swapTenor, + const boost::shared_ptr<QuantLib::Xibor>& index, + QuantLib::Rate fixedRate, + const QuantLib::Period& forwardStart); std::vector<std::vector<boost::any> > fixedLegAnalysis(); std::vector<std::vector<boost::any> > floatingLegAnalysis(); }; + } Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** vanillaswap.cpp 18 Oct 2006 19:49:39 -0000 1.11 --- vanillaswap.cpp 24 Oct 2006 13:07:26 -0000 1.12 *************** *** 26,29 **** --- 26,30 ---- #include <qlo/vanillaswap.hpp> #include <ql/Instruments/vanillaswap.hpp> + #include <ql/Instruments/makevanillaswap.hpp> namespace QuantLibAddin { *************** *** 54,57 **** --- 55,67 ---- } + VanillaSwap::VanillaSwap( + const QuantLib::Period& swapTenor, + const boost::shared_ptr<QuantLib::Xibor>& index, + QuantLib::Rate fixedRate, + const QuantLib::Period& forwardStart) { + libraryObject_ = + QuantLib::MakeVanillaSwap(swapTenor, index, fixedRate, forwardStart).operator boost::shared_ptr<QuantLib::VanillaSwap>(); + } + std::vector<std::vector<boost::any> > VanillaSwap::fixedLegAnalysis() { return Swap::legAnalysis(0); *************** *** 61,63 **** --- 71,74 ---- return Swap::legAnalysis(1); } + } |
|
From: Eric E. <eri...@us...> - 2006-10-24 13:07:32
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19762/gensrc/metadata Modified Files: vanillaswap.xml Log Message: export MakeVanillaSwap Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** vanillaswap.xml 18 Oct 2006 19:49:39 -0000 1.29 --- vanillaswap.xml 24 Oct 2006 13:07:26 -0000 1.30 *************** *** 1,200 **** <Category name='vanillaswap'> ! <description>functions to construct and use VanillaSwap objects</description> ! <displayName>Vanilla Swap</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/vanillaswap.hpp</include> ! <include>qlo/termstructures.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet ! </copyright> ! <Functions> ! <Constructor name='qlVanillaSwap'> ! <libraryFunction>VanillaSwap</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>PAYER to pay the fixed rate, RECEIVER to receive it</description> ! </Parameter> ! <Parameter name='Nominal'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Notional Amount</description> ! </Parameter> ! <Parameter name='fixedLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule</description> ! </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='floatingLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg schedule</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> ! </Parameter> ! <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Spread</description> ! </Parameter> ! <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairRate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairSpread</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the fixed leg</description> ! <libraryFunction>fixedLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the floating leg</description> ! <libraryFunction>floatingLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLegAnalysis</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> ! </Member> ! </Functions> ! </Category> --- 1,234 ---- <Category name='vanillaswap'> ! <description>functions to construct and use VanillaSwap objects</description> ! <displayName>Vanilla Swap</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/vanillaswap.hpp</include> ! <include>qlo/termstructures.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Aurelien Chanudet ! </copyright> ! <Functions> ! <Constructor name='qlVanillaSwap'> ! <libraryFunction>VanillaSwap</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>PAYER to pay the fixed rate, RECEIVER to receive it</description> ! </Parameter> ! <Parameter name='Nominal'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Notional Amount</description> ! </Parameter> ! <Parameter name='fixedLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule</description> ! </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='floatingLegScheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg schedule</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> ! </Parameter> ! <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Spread</description> ! </Parameter> ! <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlMakeVanillaSwap'> ! <libraryFunction>VanillaSwap</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='swapTenor' enumeration='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>swap tenor period</description> ! </Parameter> ! <Parameter name='index' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>index</description> ! </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <Parameter name='forwardStart' enumeration='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='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairRate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairSpread</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the fixed leg</description> ! <libraryFunction>fixedLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </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> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the floating leg</description> ! <libraryFunction>floatingLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLegAnalysis</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> ! </Member> + </Functions> + </Category> |
|
From: Ferdinando A. <na...@us...> - 2006-10-24 10:46:27
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9461/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: SwaptionCube refactoring Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** swaptionvolstructure.cpp 23 Oct 2006 18:31:11 -0000 1.36 --- swaptionvolstructure.cpp 24 Oct 2006 10:46:22 -0000 1.37 *************** *** 25,29 **** #include <qlo/swaptionvolstructure.hpp> #include <ql/Volatilities/swaptionconstantvol.hpp> ! #include <ql/Volatilities/swaptionvolcube.hpp> #include <ql/Volatilities/smilesection.hpp> #include <ql/Optimization/criteria.hpp> --- 25,30 ---- #include <qlo/swaptionvolstructure.hpp> #include <ql/Volatilities/swaptionconstantvol.hpp> ! #include <ql/Volatilities/swaptionvolcubebylinear.hpp> ! #include <ql/Volatilities/swaptionvolcubebysabr.hpp> #include <ql/Volatilities/smilesection.hpp> #include <ql/Optimization/criteria.hpp> *************** *** 86,91 **** { QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything"); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityCubeByLinear(atmVol, expiries, lengths, --- 87,92 ---- { QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything"); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SwaptionVolatilityCubeByLinear(atmVol, expiries, lengths, *************** *** 121,127 **** ) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! ! new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, expiries, lengths, --- 122,127 ---- ) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SwaptionVolatilityCubeBySabr(atmVol, expiries, lengths, Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** swaptionvolstructure.hpp 23 Oct 2006 18:31:11 -0000 1.31 --- swaptionvolstructure.hpp 24 Oct 2006 10:46:22 -0000 1.32 *************** *** 24,29 **** #include <oh/objhandler.hpp> #include <ql/swaptionvolstructure.hpp> - #include <ql/Volatilities/swaptionvolcubebysabr.hpp> #include <qlo/termstructures.hpp> #include <ql/Volatilities/swaptionvolmatrix.hpp> #include <qlo/index.hpp> --- 24,29 ---- #include <oh/objhandler.hpp> #include <ql/swaptionvolstructure.hpp> #include <qlo/termstructures.hpp> + #include <ql/Volatilities/swaptionvolcubebysabr.hpp> #include <ql/Volatilities/swaptionvolmatrix.hpp> #include <qlo/index.hpp> |
|
From: Ferdinando A. <na...@us...> - 2006-10-24 10:46:26
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9461/gensrc/metadata Modified Files: swaptionvolstructure.xml volatilities.xml Log Message: SwaptionCube refactoring Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** volatilities.xml 6 Oct 2006 12:08:14 -0000 1.14 --- volatilities.xml 24 Oct 2006 10:46:21 -0000 1.15 *************** *** 1,131 **** <Category name='volatilities'> ! <description>functions to construct and use volatility objects</description> ! <displayName>Volatilities</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/volatilities.hpp</include> ! <include>ql/Math/sabrinterpolation.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! </copyright> ! <Functions> ! <Procedure name='qlSabrVolatility'> ! <description>Sabr formula for smile volatility</description> ! <alias>QuantLib::sabrVolatility</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='expTime'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>expiry time (in years)</description> ! </Parameter> ! <Parameter name='alpha'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha</description> ! </Parameter> ! <Parameter name='beta'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta</description> ! </Parameter> ! <Parameter name='nu'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu</description> ! </Parameter> ! <Parameter name='rho'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Constructor name='qlBlackConstantVol'> ! <libraryFunction>BlackConstantVol</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <C/> ! <Calc/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</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='qlBlackVarianceSurface'> ! <libraryFunction>BlackVarianceSurface</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </Parameter> ! <Parameter name='strikes'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 1,131 ---- <Category name='volatilities'> ! <description>functions to construct and use volatility objects</description> ! <displayName>Volatilities</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/volatilities.hpp</include> ! <include>ql/Math/sabrinterpolation.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2005, 2006 Eric Ehlers ! </copyright> ! <Functions> ! <Procedure name='qlSabrVolatility'> ! <description>Sabr formula for smile volatility</description> ! <alias>QuantLib::sabrVolatility</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='expTime'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>expiry time (in years)</description> ! </Parameter> ! <Parameter name='alpha'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha</description> ! </Parameter> ! <Parameter name='beta'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta</description> ! </Parameter> ! <Parameter name='nu'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu</description> ! </Parameter> ! <Parameter name='rho'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Constructor name='qlBlackConstantVol'> ! <libraryFunction>BlackConstantVol</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <C/> ! <Calc/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</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='qlBlackVarianceSurface'> ! <libraryFunction>BlackVarianceSurface</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </Parameter> ! <Parameter name='strikes'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.64 retrieving revision 1.65 diff -C2 -d -r1.64 -r1.65 *** swaptionvolstructure.xml 23 Oct 2006 18:31:11 -0000 1.64 --- swaptionvolstructure.xml 24 Oct 2006 10:46:21 -0000 1.65 *************** *** 4,9 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> ! <include>ql/Volatilities/swaptionvolcube.hpp</include> ! <include>ql/Volatilities/swaptionvolcubebysabr.hpp</include> <include>qlo/swaptionvolstructure.hpp</include> </includes> --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> ! <include>ql/Volatilities/swaptionvolcubebylinear.hpp</include> <include>qlo/swaptionvolstructure.hpp</include> </includes> |
|
From: Ferdinando A. <na...@us...> - 2006-10-24 10:13:58
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24871/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: QuantLib::Interpolation makes a copy of x,y Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** interpolation.hpp 16 Oct 2006 15:15:32 -0000 1.19 --- interpolation.hpp 24 Oct 2006 10:13:54 -0000 1.20 *************** *** 38,43 **** const std::vector<double>& x, const std::vector<double>& y); - private: - std::vector<double> x_, y_; }; --- 38,41 ---- *************** *** 52,57 **** double rightConditionValue, bool monotonicityConstraint); - private: - std::vector<double> x_, y_; }; --- 50,53 ---- *************** *** 72,77 **** bool isRhoFixed, const boost::shared_ptr<QuantLib::OptimizationMethod>& om); - private: - std::vector<double> x_, y_; }; --- 68,71 ---- Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** interpolation.cpp 16 Oct 2006 15:15:32 -0000 1.17 --- interpolation.cpp 24 Oct 2006 10:13:54 -0000 1.18 *************** *** 32,41 **** const std::string &linearInterpolationType, const std::vector<double>& x, ! const std::vector<double>& y) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); libraryObject_ = Create<boost::shared_ptr<QuantLib::Interpolation> >() ! (linearInterpolationType, x_.begin(), x_.end(), y_.begin()); } --- 32,41 ---- const std::string &linearInterpolationType, const std::vector<double>& x, ! const std::vector<double>& y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); libraryObject_ = Create<boost::shared_ptr<QuantLib::Interpolation> >() ! (linearInterpolationType, x.begin(), x.end(), y.begin()); } *************** *** 47,64 **** QuantLib::CubicSpline::BoundaryCondition rightCondition, double rightConditionValue, ! bool monotonicityConstraint) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::CubicSpline( ! x_.begin(), x_.end(), y_.begin(), ! leftCondition, leftConditionValue, ! rightCondition, rightConditionValue, ! monotonicityConstraint)); } - - SABRInterpolation::SABRInterpolation( const std::vector<double>& x, --- 47,61 ---- QuantLib::CubicSpline::BoundaryCondition rightCondition, double rightConditionValue, ! bool monotonicityConstraint) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::CubicSpline(x.begin(), x.end(), y.begin(), ! leftCondition, leftConditionValue, ! rightCondition, rightConditionValue, ! monotonicityConstraint)); } SABRInterpolation::SABRInterpolation( const std::vector<double>& x, *************** *** 75,84 **** bool isRhoFixed, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) - : x_(x), y_(y) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SABRInterpolation(x_.begin(), x_.end(), y_.begin(), ! t, forward, alpha, beta, nu, rho, ! isAlphaFixed, isBetaFixed, isNuFixed, isRhoFixed, om)); } --- 72,84 ---- bool isRhoFixed, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) { + QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); + libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SABRInterpolation(x.begin(), x.end(), y.begin(), ! t, forward, alpha, beta, nu, rho, ! isAlphaFixed, isBetaFixed, ! isNuFixed, isRhoFixed, ! om)); } |
|
From: Ferdinando A. <na...@us...> - 2006-10-23 18:31:19
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6155/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: SmileSection first refactoring Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.63 retrieving revision 1.64 diff -C2 -d -r1.63 -r1.64 *** swaptionvolstructure.xml 19 Oct 2006 11:16:33 -0000 1.63 --- swaptionvolstructure.xml 23 Oct 2006 18:31:11 -0000 1.64 *************** *** 153,157 **** <!-- Handle<SwaptionVolatilityStructure> --> - <Constructor name='qlHandleSwaptionVolatilityStructure'> <libraryFunction>Handle<QuantLib::SwaptionVolatilityStructure></libraryFunction> --- 153,156 ---- *************** *** 192,196 **** <!-- SwaptionVolatilityStructure constructors --> - <Constructor name='qlSwaptionVTSConstant'> <libraryFunction>SwaptionConstantVolatility</libraryFunction> --- 191,194 ---- *************** *** 261,265 **** <!-- SwaptionVolatilityMatrix interface --> - <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the underlying swap day counter.</description> --- 259,262 ---- *************** *** 336,340 **** <!-- SwaptionVolatilityCubeByLinear constructors --> - <Constructor name='qlSwaptionVolatilityCubeByLinear'> <libraryFunction>SwaptionVolatilityCubeByLinear</libraryFunction> --- 333,336 ---- *************** *** 396,407 **** </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> --- 392,403 ---- </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> *************** *** 413,419 **** </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> --- 409,414 ---- </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> *************** *** 441,447 **** </ReturnValue> </Member> - - <!-- SwaptionVolatilityCubeBySabr constructors --> <Constructor name='qlSwaptionVolatilityCubeBySabr'> <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction> --- 436,441 ---- </ReturnValue> </Member> + <!-- SwaptionVolatilityCubeBySabr constructors --> <Constructor name='qlSwaptionVolatilityCubeBySabr'> <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction> *************** *** 503,514 **** </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> --- 497,508 ---- </Parameter> <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> *************** *** 535,539 **** </ParameterList> </Constructor> ! <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> --- 529,534 ---- </ParameterList> </Constructor> ! ! <!-- SwaptionVolatilityCubeBySabr interface --> <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> *************** *** 596,603 **** </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlSmileSectionBySabr'> ! <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 591,597 ---- </Member> ! <!-- SmileSectionInteface constructors --> <Constructor name='qlSmileSectionBySabr'> ! <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 626,630 **** <Constructor name='qlSmileSection'> ! <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 620,624 ---- <Constructor name='qlSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 649,657 **** </Parameter> </Parameters> ! </ParameterList> </Constructor> <Constructor name='qlFictitiousSmileSection'> ! <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 643,651 ---- </Parameter> </Parameters> ! </ParameterList> </Constructor> <Constructor name='qlFictitiousSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 674,678 **** </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='SmileSection'> <description>Return the volatility from SmileSection</description> <libraryFunction>volatility</libraryFunction> --- 668,672 ---- </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'> <description>Return the volatility from SmileSection</description> <libraryFunction>volatility</libraryFunction> |
|
From: Ferdinando A. <na...@us...> - 2006-10-23 18:31:17
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6155/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: SmileSection first refactoring Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** swaptionvolstructure.cpp 23 Oct 2006 13:57:33 -0000 1.35 --- swaptionvolstructure.cpp 23 Oct 2006 18:31:11 -0000 1.36 *************** *** 234,238 **** } ! SmileSection::SmileSection( const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& cubeBySabr, const double expiry, --- 234,238 ---- } ! SabrSmileSection::SabrSmileSection( const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& cubeBySabr, const double expiry, *************** *** 241,255 **** } ! SmileSection::SmileSection( double expiryTime, const std::vector<double>& strikes, const std::vector<double>& volatilities){ ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>( ! new QuantLib::SmileSection(expiryTime, strikes, volatilities)); } ! SmileSection::SmileSection( double expiryTime, double flatVolatility){ --- 241,255 ---- } ! InterpolatedSmileSection::InterpolatedSmileSection( double expiryTime, const std::vector<double>& strikes, const std::vector<double>& volatilities){ ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>( ! new QuantLib::InterpolatedSmileSection(expiryTime, strikes, volatilities)); } ! InterpolatedSmileSection::InterpolatedSmileSection( double expiryTime, double flatVolatility){ *************** *** 260,265 **** } const std::vector<double> volatilities = std::vector<double>(n, flatVolatility); ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>( ! new QuantLib::SmileSection(expiryTime, fictitiousStrikes, volatilities)); --- 260,265 ---- } const std::vector<double> volatilities = std::vector<double>(n, flatVolatility); ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>( ! new QuantLib::InterpolatedSmileSection(expiryTime, fictitiousStrikes, volatilities)); Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** swaptionvolstructure.hpp 18 Oct 2006 13:48:53 -0000 1.30 --- swaptionvolstructure.hpp 23 Oct 2006 18:31:11 -0000 1.31 *************** *** 121,144 **** }; ! class SmileSection: public ObjHandler::LibraryObject<QuantLib::SmileSection>{ ! public: ! SmileSection( ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& cubeBySabr, ! const double expiry, ! const double length); ! SmileSection( double expiryTime, const std::vector<double>& strikes, const std::vector<double>& volatilities); ! ! SmileSection( double expiryTime, double flatVolatility); }; - } #endif - --- 121,147 ---- }; ! class SmileSectionInterface : public ObjHandler::LibraryObject<QuantLib::SmileSectionInterface> { ! }; ! class InterpolatedSmileSection : public SmileSectionInterface { ! public: ! InterpolatedSmileSection( double expiryTime, const std::vector<double>& strikes, const std::vector<double>& volatilities); ! InterpolatedSmileSection( double expiryTime, double flatVolatility); }; + class SabrSmileSection : public SmileSectionInterface { + public: + SabrSmileSection( + const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& cubeBySabr, + const double expiry, + const double length); + }; + } #endif |
