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From: Chiara F. <chi...@us...> - 2006-08-24 15:48:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4308/gensrc Modified Files: gensrc.vcproj Log Message: asset swap class added Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** gensrc.vcproj 18 Aug 2006 07:42:13 -0000 1.16 --- gensrc.vcproj 24 Aug 2006 15:48:42 -0000 1.17 *************** *** 37,40 **** --- 37,43 ---- Filter=""> <File + RelativePath=".\metadata\assetswap.xml"> + </File> + <File RelativePath="metadata\bonds.xml"> </File> |
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From: Chiara F. <chi...@us...> - 2006-08-24 15:47:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3534/gensrc Modified Files: Makefile.vc Log Message: asset swap class added Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** Makefile.vc 17 Aug 2006 10:09:35 -0000 1.22 --- Makefile.vc 24 Aug 2006 15:47:23 -0000 1.23 *************** *** 8,11 **** --- 8,12 ---- METADATA= \ + metadata\assetswap.xml \ metadata\bonds.xml \ metadata\calendar.xml \ |
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From: Ferdinando A. <na...@us...> - 2006-08-23 17:56:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11370 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** todonando.txt 18 Aug 2006 15:17:35 -0000 1.34 --- todonando.txt 23 Aug 2006 17:56:31 -0000 1.35 *************** *** 40,49 **** - bootstrap ForwardSpreadedYieldCurve ! LUIGI ! - separare modelli di correlazione da modelli di volatilità - separate drift test - separete abcd test (match terminal variance) - - displacement calibration - abcd calibration - debug vari crash in test suite per floating point exception - risolvere Halley improvements --- 40,54 ---- - bootstrap ForwardSpreadedYieldCurve ! - separate drift test - separete abcd test (match terminal variance) - abcd calibration + - displacement calibration + + LUIGI + - introduce Sobol BrownianGenerator + - convergence (sequence) statistics + - composite product + - debug vari crash in test suite per floating point exception - risolvere Halley improvements *************** *** 51,68 **** 1 test per Forward e Caplet diversi BrownianGenerator - - introduce Sobol BrowianGenerator - Weekly CHANGELOG update ! - make BlackSwaptionEngine accept a SwaptionVolStructure input parameter ! - make BlackCapFloorEngine accept a CapFloorVolStructure input parameter ! - strip down furter BlackModel - InterpolatedYieldTermStructure<Discount,LogLinear> - InterpolatedYieldTermStructure<Discount,LogLinear> constructor using an input discount grid - InterpolatedYieldTermStructure<Discount,LogLinear>::gridDates() - generic ForwardSpreadedYieldCurve (spread term structure) - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve - MODULES - reorganize file/folder/projectfolder --- 56,73 ---- 1 test per Forward e Caplet diversi BrownianGenerator - Weekly CHANGELOG update ! - separare modelli di correlazione da modelli di volatilità ! ! - fixing days in VanillaSwap? ! - InterpolatedYieldTermStructure<Discount,LogLinear> - InterpolatedYieldTermStructure<Discount,LogLinear> constructor using an input discount grid - InterpolatedYieldTermStructure<Discount,LogLinear>::gridDates() + - generic ForwardSpreadedYieldCurve (spread term structure) - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve MODULES - reorganize file/folder/projectfolder |
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From: Ferdinando A. <na...@us...> - 2006-08-22 18:40:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17306/qlo Modified Files: couponvectors.cpp Log Message: handling SimplecashFlow Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** couponvectors.cpp 21 Aug 2006 13:53:10 -0000 1.23 --- couponvectors.cpp 22 Aug 2006 18:40:22 -0000 1.24 *************** *** 71,74 **** --- 71,81 ---- cf[1]=cashflows[i]->amount(); + boost::shared_ptr<QuantLib::SimpleCashFlow> simpleCashFlow = + boost::dynamic_pointer_cast<QuantLib::SimpleCashFlow>(cashflows[i]); + if (simpleCashFlow) { + flowAnalysis_.push_back(cf); + continue; + } + boost::shared_ptr<QuantLib::Coupon> c = boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]); |
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From: Ferdinando A. <na...@us...> - 2006-08-21 19:21:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13461/gensrc/metadata Modified Files: marketmodels.xml Log Message: setMoneyMarketMeasurePlus(Size offset = 1) added Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** marketmodels.xml 21 Aug 2006 08:17:07 -0000 1.19 --- marketmodels.xml 21 Aug 2006 19:21:54 -0000 1.20 *************** *** 304,307 **** --- 304,328 ---- </Member> + <Member name='qlEvolutionDescriptionSetMoneyMarketMeasurePlus' libraryClass='EvolutionDescription'> + <description>Set the money market measure plus offest to the EvolutionDescription object</description> + <libraryFunction>setMoneyMarketMeasurePlus</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='offset' libraryType='QuantLib::Size' default='1'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>offset to apply to the Money Market Measure (default = 1)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Member name='qlEvolutionDescriptionIsInTerminalMeasure' libraryClass='EvolutionDescription'> <description>Returns TRUE if the EvolutionDescription object is using terminal measure</description> |
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From: Giorgio F. <gi...@us...> - 2006-08-21 13:53:16
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31311/qlo Modified Files: couponvectors.cpp couponvectors.hpp Log Message: Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** couponvectors.hpp 7 Aug 2006 10:33:10 -0000 1.16 --- couponvectors.hpp 21 Aug 2006 13:53:10 -0000 1.17 *************** *** 91,96 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& baseRates, ! const std::vector<QuantLib::Real>& fractions, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, --- 91,96 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& spreads, ! const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** couponvectors.cpp 7 Aug 2006 10:33:10 -0000 1.22 --- couponvectors.cpp 21 Aug 2006 13:53:10 -0000 1.23 *************** *** 174,179 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Rate>& baseRates, ! const std::vector<QuantLib::Real>& fractions, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, --- 174,179 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& spreads, ! const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, *************** *** 191,196 **** fixingDays, dayCounter, ! baseRates, ! fractions, caps, floors, --- 191,196 ---- fixingDays, dayCounter, ! spreads, ! gearings, caps, floors, |
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From: Katiuscia M. <kma...@us...> - 2006-08-21 09:44:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25201/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: added params to SwaptionVolatilityCube constructor to allow instantiatiation of vanilla swap & added method atmStrike returning the vanilla swap's fair rate Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** swaptionvolstructure.xml 21 Aug 2006 07:34:29 -0000 1.30 --- swaptionvolstructure.xml 21 Aug 2006 09:44:53 -0000 1.31 *************** *** 4,11 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/swaptionvolstructure.hpp</include> <include>qlo/vo_swaptionvolstructure.hpp</include> - <include>ql/Volatilities/swaptionvolmatrix.hpp</include> - <include>ql/Volatilities/swaptionconstantvol.hpp</include> </includes> <copyright> --- 4,10 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> + <include>ql/Volatilities/swaptionvolcube.hpp</include> <include>qlo/swaptionvolstructure.hpp</include> <include>qlo/vo_swaptionvolstructure.hpp</include> </includes> <copyright> *************** *** 188,192 **** </Member> - <!-- SwaptionVolatilityStructure constructors --> --- 187,190 ---- *************** *** 364,368 **** </Member> ! <Constructor name='qlSwaptionVolatilityCube'> <libraryFunction>SwaptionVolatilityCube</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 362,368 ---- </Member> ! <!-- SwaptionVolatilityCube constructors --> ! ! <Constructor name='qlSwaptionVolatilityCube' dependencyTrigger='true'> <libraryFunction>SwaptionVolatilityCube</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 397,404 **** --- 397,468 ---- <description>smile cube's volatility spreads over the ATM vols.</description> </Parameter> + <Parameter name='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='fixedLegFrequency' 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='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's fixed leg business day convention</description> + </Parameter> + <Parameter name='fixedLegDayCounter' 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'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>floating leg Index</description> + </Parameter> + <Parameter name='shortTenor'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time indicating the short tenor</description> + </Parameter> + <Parameter name='iborIndexShortTenorID' libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>floating leg short tenor Index</description> + </Parameter> </Parameters> </ParameterList> </Constructor> + <!-- SwaptionVolatilityCube interface --> + + <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube' dependencyTrigger='true'> + <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> + <libraryFunction>atmStrike</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='expiry' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swaption expiry date</description> + </Parameter> + <Parameter name='swapLength' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Underlying swap length as period (e.g. 5Y)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + </Functions> + </Category> |
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From: Katiuscia M. <kma...@us...> - 2006-08-21 09:44:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25201/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: added params to SwaptionVolatilityCube constructor to allow instantiatiation of vanilla swap & added method atmStrike returning the vanilla swap's fair rate Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** swaptionvolstructure.cpp 7 Aug 2006 15:25:32 -0000 1.7 --- swaptionvolstructure.cpp 21 Aug 2006 09:44:53 -0000 1.8 *************** *** 88,92 **** const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const QuantLib::Matrix& volSpreads) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( --- 88,99 ---- const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const QuantLib::Matrix& volSpreads, ! const QuantLib::Calendar& calendar, ! const QuantLib::Frequency& fixedLegFrequency, ! const QuantLib::BusinessDayConvention& fixedLegConvention, ! const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& iborIndex, ! QuantLib::Time shortTenor, ! const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( *************** *** 95,99 **** lengths, strikeSpreads, ! volSpreads)); } --- 102,113 ---- lengths, strikeSpreads, ! volSpreads, ! calendar, ! fixedLegFrequency, ! fixedLegConvention, ! fixedLegDayCounter, ! iborIndex, ! shortTenor, ! iborIndexShortTenor)); } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** swaptionvolstructure.hpp 7 Aug 2006 15:25:32 -0000 1.7 --- swaptionvolstructure.hpp 21 Aug 2006 09:44:53 -0000 1.8 *************** *** 24,27 **** --- 24,28 ---- #include <qlo/termstructures.hpp> #include <ql/Volatilities/swaptionvolmatrix.hpp> + #include <qlo/index.hpp> namespace QuantLibAddin { *************** *** 59,66 **** const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const QuantLib::Matrix& volSpreads); }; } ! #endif --- 60,74 ---- const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const QuantLib::Matrix& volSpreads, ! const QuantLib::Calendar& calendar, ! const QuantLib::Frequency& fixedLegFrequency, ! const QuantLib::BusinessDayConvention& fixedLegConvention, ! const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& iborIndex, ! QuantLib::Time shortTenor, ! const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor); }; } ! #endif \ No newline at end of file |
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From: Ferdinando A. <na...@us...> - 2006-08-21 08:17:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21815/gensrc/metadata Modified Files: marketmodels.xml Log Message: MarketModel refactoring Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** marketmodels.xml 18 Aug 2006 13:43:58 -0000 1.18 --- marketmodels.xml 21 Aug 2006 08:17:07 -0000 1.19 *************** *** 1,4 **** <Category name='marketmodels'> ! <description>functions to construct QuantLib market Models objects</description> <displayName>MarketModels</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='marketmodels'> ! <description>functions to construct and use Market Models related objects</description> <displayName>MarketModels</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> *************** *** 25,29 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 25,29 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 73,92 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 73,92 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals'> <type>double</type> <tensorRank>vector</tensorRank> <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 105,124 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 105,124 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals'> <type>double</type> <tensorRank>vector</tensorRank> <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 140,144 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 140,144 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 155,159 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 155,159 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 170,174 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 170,174 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 176,182 **** </Member> ! <Member name='qlEvolutionDescriptionEvolutionTaus' libraryClass='EvolutionDescription'> ! <description>for each step returns a row with the effective evolution taus for each rate</description> ! <libraryFunction>evolutionTaus</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 176,182 ---- </Member> ! <Member name='qlEvolutionDescriptionEffectiveStopTime' libraryClass='EvolutionDescription'> ! <description>for each step returns a row with the effective evolution stopping time for each rate</description> ! <libraryFunction>effectiveStopTime</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 341,350 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='evolutionTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 341,350 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='evolutionTimes'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 371,375 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 371,375 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 386,390 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 386,390 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 445,450 **** <!-- PseudoRoot derived class constructors --> ! <Constructor name='qlExponentialCorrelation'> ! <libraryFunction>ExponentialCorrelation</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 445,450 ---- <!-- PseudoRoot derived class constructors --> ! <Constructor name='qlExpCorrFlatVol'> ! <libraryFunction>ExpCorrFlatVol</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 477,486 **** <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 477,486 ---- <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 594,599 **** </Constructor> ! <Constructor name='qlAbcdVolatility'> ! <libraryFunction>AbcdVolatility</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 594,599 ---- </Constructor> ! <Constructor name='qlExpCorrAbcdVol'> ! <libraryFunction>ExpCorrAbcdVol</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 646,655 **** <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 646,655 ---- <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 672,676 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 672,676 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 686,690 **** <ParameterList> <Parameters> ! <Parameter name='rates' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 686,690 ---- <ParameterList> <Parameters> ! <Parameter name='rates'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 707,711 **** <ParameterList> <Parameters> ! <Parameter name='discountRatios' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 707,711 ---- <ParameterList> <Parameters> ! <Parameter name='discountRatios'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 728,732 **** <ParameterList> <Parameters> ! <Parameter name='CoterminalSwaps' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 728,732 ---- <ParameterList> <Parameters> ! <Parameter name='CoterminalSwaps'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 750,754 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 750,754 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 765,769 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 765,769 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 780,784 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 780,784 ---- <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 861,865 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 861,865 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 880,884 **** <ParameterList> <Parameters> ! <Parameter name='forwards' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 880,884 ---- <ParameterList> <Parameters> ! <Parameter name='forwards'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 887,891 **** </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 887,891 ---- </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 901,905 **** <ParameterList> <Parameters> ! <Parameter name='forwards' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 901,905 ---- <ParameterList> <Parameters> ! <Parameter name='forwards'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 913,917 **** </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 913,917 ---- </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 931,940 **** <description>Pseudo square root of the covariance matrix</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>displacements</description> </Parameter> ! <Parameter name='taus' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> --- 931,940 ---- <description>Pseudo square root of the covariance matrix</description> </Parameter> ! <Parameter name='displacements'> <type>double</type> <tensorRank>vector</tensorRank> <description>displacements</description> </Parameter> ! <Parameter name='taus'> <type>double</type> <tensorRank>vector</tensorRank> |
|
From: Ferdinando A. <na...@us...> - 2006-08-21 08:17:11
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21815/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: MarketModel refactoring Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** marketmodels.hpp 18 Aug 2006 13:43:58 -0000 1.13 --- marketmodels.hpp 21 Aug 2006 08:17:07 -0000 1.14 *************** *** 29,33 **** #include <ql/MarketModels/Products/marketmodelforwards.hpp> #include <ql/MarketModels/Products/marketmodelcaplets.hpp> ! #include <ql/MarketModels/PseudoRoots/abcdvolatility.hpp> namespace QuantLibAddin { --- 29,33 ---- #include <ql/MarketModels/Products/marketmodelforwards.hpp> #include <ql/MarketModels/Products/marketmodelcaplets.hpp> ! #include <ql/MarketModels/PseudoRoots/expcorrabcdvol.hpp> namespace QuantLibAddin { *************** *** 36,41 **** public: EvolutionDescription( ! const QuantLib::Array& rateTimes, ! const QuantLib::Array& evolutionTimes, const std::vector<QuantLib::Size>& numeraires); }; --- 36,41 ---- public: EvolutionDescription( ! const std::vector<QuantLib::Time>& rateTimes, ! const std::vector<QuantLib::Time>& evolutionTimes, const std::vector<QuantLib::Size>& numeraires); }; *************** *** 49,55 **** }; ! class ExponentialCorrelation : public PseudoRoot { public: ! ExponentialCorrelation( double longTermCorr, double beta, --- 49,55 ---- }; ! class ExpCorrFlatVol : public PseudoRoot { public: ! ExpCorrFlatVol( double longTermCorr, double beta, *************** *** 57,67 **** const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const QuantLib::Array& initialRates, ! const QuantLib::Array& displacements); }; ! class AbcdVolatility : public PseudoRoot { public: ! AbcdVolatility( double a, double b, --- 57,67 ---- const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const std::vector<QuantLib::Rate>& initialRates, ! const std::vector<QuantLib::Rate>& displacements); }; ! class ExpCorrAbcdVol : public PseudoRoot { public: ! ExpCorrAbcdVol( double a, double b, *************** *** 73,78 **** const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const QuantLib::Array& initialRates, ! const QuantLib::Array& displacements); }; --- 73,78 ---- const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const std::vector<QuantLib::Rate>& initialRates, ! const std::vector<QuantLib::Rate>& displacements); }; *************** *** 80,84 **** class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> { public: ! CurveState(const QuantLib::Array& rateTimes); }; --- 80,84 ---- class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> { public: ! CurveState(const std::vector<QuantLib::Time>& rateTimes); }; *************** *** 87,96 **** public: DriftCalculator(const QuantLib::Matrix& pseudo, ! const QuantLib::Array& displacements, ! const QuantLib::Array& taus, QuantLib::Size numeraire, QuantLib::Size alive); ! QuantLib::Array compute(const QuantLib::Array& forwards) const; ! QuantLib::Array computeReduced(const QuantLib::Array& forwards, QuantLib::Size factors) const; private: --- 87,96 ---- public: DriftCalculator(const QuantLib::Matrix& pseudo, ! const std::vector<QuantLib::Rate>& displacements, ! const std::vector<QuantLib::Time>& taus, QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> compute(const std::vector<QuantLib::Rate>& forwards) const; ! std::vector<QuantLib::Real> computeReduced(const std::vector<QuantLib::Rate>& forwards, QuantLib::Size factors) const; private: *************** *** 107,122 **** class MarketModelForwards : public MarketModelProduct { public: ! MarketModelForwards(const QuantLib::Array& rateTimes, ! const QuantLib::Array& accruals, ! const QuantLib::Array& paymentTimes, ! const QuantLib::Array& strikes); //EvolutionDescription suggestedEvolution() const; }; class MarketModelCaplets : public MarketModelProduct { public: ! MarketModelCaplets(const QuantLib::Array& rateTimes, ! const QuantLib::Array& accruals, ! const QuantLib::Array& paymentTimes, ! const QuantLib::Array& strikes); }; --- 107,122 ---- class MarketModelForwards : public MarketModelProduct { public: ! MarketModelForwards(const std::vector<QuantLib::Time>& rateTimes, ! const std::vector<QuantLib::Real>& accruals, ! const std::vector<QuantLib::Time>& paymentTimes, ! const std::vector<QuantLib::Rate>& strikes); //EvolutionDescription suggestedEvolution() const; }; class MarketModelCaplets : public MarketModelProduct { public: ! MarketModelCaplets(const std::vector<QuantLib::Time>& rateTimes, ! const std::vector<QuantLib::Real>& accruals, ! const std::vector<QuantLib::Time>& paymentTimes, ! const std::vector<QuantLib::Rate>& strikes); }; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** marketmodels.cpp 18 Aug 2006 13:43:58 -0000 1.14 --- marketmodels.cpp 21 Aug 2006 08:17:07 -0000 1.15 *************** *** 20,25 **** #endif #include <qlo/marketmodels.hpp> ! #include <ql/MarketModels/PseudoRoots/exponentialcorrelation.hpp> ! #include <ql/MarketModels/PseudoRoots/abcdvolatility.hpp> #include <ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp> #include <ql/MarketModels/Evolvers/forwardratepcevolver.hpp> --- 20,25 ---- #endif #include <qlo/marketmodels.hpp> ! #include <ql/MarketModels/PseudoRoots/expcorrflatvol.hpp> ! #include <ql/MarketModels/PseudoRoots/expcorrabcdvol.hpp> #include <ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp> #include <ql/MarketModels/Evolvers/forwardratepcevolver.hpp> *************** *** 28,32 **** namespace QuantLibAddin { ! ExponentialCorrelation::ExponentialCorrelation( double longTermCorr, double beta, --- 28,32 ---- namespace QuantLibAddin { ! ExpCorrFlatVol::ExpCorrFlatVol( double longTermCorr, double beta, *************** *** 34,42 **** const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const QuantLib::Array& initialRates, ! const QuantLib::Array& displacements) { libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>( ! new QuantLib::ExponentialCorrelation(longTermCorr, beta, volatilities, --- 34,42 ---- const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const std::vector<QuantLib::Rate>& initialRates, ! const std::vector<QuantLib::Rate>& displacements) { libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>( ! new QuantLib::ExpCorrFlatVol(longTermCorr, beta, volatilities, *************** *** 47,51 **** } ! AbcdVolatility::AbcdVolatility( double a, double b, --- 47,51 ---- } ! ExpCorrAbcdVol::ExpCorrAbcdVol( double a, double b, *************** *** 57,65 **** const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const QuantLib::Array& initialRates, ! const QuantLib::Array& displacements) { libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>( ! new QuantLib::AbcdVolatility(a, b, c, d, ks, longTermCorr, beta, --- 57,65 ---- const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, ! const std::vector<QuantLib::Rate>& initialRates, ! const std::vector<QuantLib::Rate>& displacements) { libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>( ! new QuantLib::ExpCorrAbcdVol(a, b, c, d, ks, longTermCorr, beta, *************** *** 78,83 **** EvolutionDescription::EvolutionDescription( ! const QuantLib::Array& rateTimes, ! const QuantLib::Array& evolutionTimes, const std::vector<QuantLib::Size>& numeraires = std::vector<QuantLib::Size>()) { --- 78,83 ---- EvolutionDescription::EvolutionDescription( ! const std::vector<QuantLib::Time>& rateTimes, ! const std::vector<QuantLib::Time>& evolutionTimes, const std::vector<QuantLib::Size>& numeraires = std::vector<QuantLib::Size>()) { *************** *** 89,93 **** ! CurveState::CurveState(const QuantLib::Array& rateTimes) { libraryObject_ = boost::shared_ptr<QuantLib::CurveState>( --- 89,93 ---- ! CurveState::CurveState(const std::vector<QuantLib::Time>& rateTimes) { libraryObject_ = boost::shared_ptr<QuantLib::CurveState>( *************** *** 96,101 **** DriftCalculator::DriftCalculator(const QuantLib::Matrix& pseudo, ! const QuantLib::Array& displacements, ! const QuantLib::Array& taus, QuantLib::Size numeraire, QuantLib::Size alive) --- 96,101 ---- DriftCalculator::DriftCalculator(const QuantLib::Matrix& pseudo, ! const std::vector<QuantLib::Rate>& displacements, ! const std::vector<QuantLib::Time>& taus, QuantLib::Size numeraire, QuantLib::Size alive) *************** *** 107,121 **** } ! QuantLib::Array DriftCalculator::compute(const QuantLib::Array& forwards) const { ! QuantLib::Array results(size_); libraryObject_->compute(forwards, results); return results; } ! QuantLib::Array DriftCalculator::computeReduced(const QuantLib::Array& forwards, QuantLib::Size factors) const { ! QuantLib::Array results(size_); libraryObject_->computeReduced(forwards, factors, results); return results; --- 107,121 ---- } ! std::vector<QuantLib::Real> DriftCalculator::compute(const std::vector<QuantLib::Rate>& forwards) const { ! std::vector<QuantLib::Real> results(size_); libraryObject_->compute(forwards, results); return results; } ! std::vector<QuantLib::Real> DriftCalculator::computeReduced(const std::vector<QuantLib::Rate>& forwards, QuantLib::Size factors) const { ! std::vector<QuantLib::Real> results(size_); libraryObject_->computeReduced(forwards, factors, results); return results; *************** *** 125,132 **** MarketModelForwards::MarketModelForwards( ! const QuantLib::Array& rateTimes, ! const QuantLib::Array& accruals, ! const QuantLib::Array& paymentTimes, ! const QuantLib::Array& strikes) { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>( --- 125,132 ---- MarketModelForwards::MarketModelForwards( ! const std::vector<QuantLib::Time>& rateTimes, ! const std::vector<QuantLib::Real>& accruals, ! const std::vector<QuantLib::Time>& paymentTimes, ! const std::vector<QuantLib::Rate>& strikes) { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>( *************** *** 143,150 **** //} ! MarketModelCaplets::MarketModelCaplets(const QuantLib::Array& rateTimes, ! const QuantLib::Array& accruals, ! const QuantLib::Array& paymentTimes, ! const QuantLib::Array& strikes) { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>( --- 143,150 ---- //} ! MarketModelCaplets::MarketModelCaplets(const std::vector<QuantLib::Time>& rateTimes, ! const std::vector<QuantLib::Real>& accruals, ! const std::vector<QuantLib::Time>& paymentTimes, ! const std::vector<QuantLib::Rate>& strikes) { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>( |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3599/gensrc/metadata Modified Files: bonds.xml calendar.xml capfloor.xml capletvolstructure.xml couponvectors.xml daycounter.xml exercise.xml forwardrateagreement.xml index.xml instruments.xml interpolation.xml mathf.xml optimization.xml options.xml payoffs.xml prices.xml pricingengines.xml processes.xml randomsequencegenerator.xml ratehelpers.xml riskstatistics.xml schedule.xml shortratemodels.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml vanillaswap.xml volatilities.xml Log Message: revised descriptions Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** vanillaswap.xml 17 Aug 2006 12:35:08 -0000 1.17 --- vanillaswap.xml 21 Aug 2006 07:34:29 -0000 1.18 *************** *** 1,4 **** <Category name='vanillaswap'> ! <description>functions to construct and use QuantLib::VanillaSwap objects</description> <displayName>Vanilla Swap</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='vanillaswap'> ! <description>functions to construct and use VanillaSwap objects</description> <displayName>Vanilla Swap</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** ratehelpers.xml 2 Aug 2006 19:14:53 -0000 1.15 --- ratehelpers.xml 21 Aug 2006 07:34:29 -0000 1.16 *************** *** 1,4 **** <Category name='ratehelpers'> ! <description>functions to construct QuantLib RateHelper objects</description> <displayName>RateHelper</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='ratehelpers'> ! <description>functions to construct and use RateHelper objects</description> <displayName>RateHelper</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** shortratemodels.xml 8 Aug 2006 18:28:13 -0000 1.10 --- shortratemodels.xml 21 Aug 2006 07:34:29 -0000 1.11 *************** *** 1,4 **** <Category name='shortratemodels'> ! <description>functions to construct QuantLib short-rate model objects</description> <displayName>Short Rate Models</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='shortratemodels'> ! <description>functions to construct and use short-rate model objects</description> <displayName>Short Rate Models</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** payoffs.xml 29 Jul 2006 15:32:32 -0000 1.3 --- payoffs.xml 21 Aug 2006 07:34:29 -0000 1.4 *************** *** 1,4 **** <Category name='payoffs'> ! <description>functions to construct QuantLib StrikedTypePayoff objects</description> <displayName>Payoffs</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='payoffs'> ! <description>functions to construct and use StrikedTypePayoff objects</description> <displayName>Payoffs</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** index.xml 9 Aug 2006 18:46:40 -0000 1.25 --- index.xml 21 Aug 2006 07:34:29 -0000 1.26 *************** *** 1,4 **** <Category name='index'> ! <description>functions to construct QuantLib Index objects</description> <displayName>Indices</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='index'> ! <description>functions to construct and use Index objects</description> <displayName>Indices</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** bonds.xml 2 Aug 2006 19:14:53 -0000 1.19 --- bonds.xml 21 Aug 2006 07:34:29 -0000 1.20 *************** *** 1,4 **** <Category name='bonds'> ! <description>functions to construct QuantLib instrument objects</description> <displayName>Bonds</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='bonds'> ! <description>functions to construct and use Bond objects</description> <displayName>Bonds</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** swap.xml 1 Aug 2006 06:50:40 -0000 1.18 --- swap.xml 21 Aug 2006 07:34:29 -0000 1.19 *************** *** 1,4 **** <Category name='swap'> ! <description>functions to construct and use QuantLib::Swap objects</description> <displayName>Swap</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='swap'> ! <description>functions to construct and use Swap objects</description> <displayName>Swap</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** volatilities.xml 29 Jul 2006 15:32:32 -0000 1.6 --- volatilities.xml 21 Aug 2006 07:34:29 -0000 1.7 *************** *** 1,4 **** <Category name='volatilities'> ! <description>functions to construct QuantLib volatility objects</description> <displayName>Volatilities</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='volatilities'> ! <description>functions to construct and use volatility objects</description> <displayName>Volatilities</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** termstructures.xml 2 Aug 2006 19:16:12 -0000 1.28 --- termstructures.xml 21 Aug 2006 07:34:29 -0000 1.29 *************** *** 1,4 **** <Category name='termstructures'> ! <description>functions to construct QuantLib term structure objects</description> <displayName>Term Structures</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='termstructures'> ! <description>functions to construct and use TermStructure objects</description> <displayName>Term Structures</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** swaptionvolstructure.xml 7 Aug 2006 15:55:09 -0000 1.29 --- swaptionvolstructure.xml 21 Aug 2006 07:34:29 -0000 1.30 *************** *** 1,4 **** <Category name='swaptionvolstructure'> ! <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> <displayName>Swaption Volatility Term Structures</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='swaptionvolstructure'> ! <description>functions to construct and use SwaptionVolatilityStructure objects</description> <displayName>Swaption Volatility Term Structures</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** forwardrateagreement.xml 29 Jul 2006 15:32:32 -0000 1.12 --- forwardrateagreement.xml 21 Aug 2006 07:34:29 -0000 1.13 *************** *** 1,4 **** <Category name='forwardrateagreement'> ! <description>functions to construct QuantLib Forward Rate Agreement objects</description> <displayName>Forward Rate Agreement</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='forwardrateagreement'> ! <description>functions to construct and use ForwardRateAgreement objects</description> <displayName>Forward Rate Agreement</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** capfloor.xml 1 Aug 2006 06:50:40 -0000 1.13 --- capfloor.xml 21 Aug 2006 07:34:29 -0000 1.14 *************** *** 1,4 **** <Category name='capfloor'> ! <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='capfloor'> ! <description>functions to construct and use CapFloor objects</description> <displayName>Caps/Floors</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: randomsequencegenerator.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/randomsequencegenerator.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** randomsequencegenerator.xml 29 Jul 2006 15:32:32 -0000 1.6 --- randomsequencegenerator.xml 21 Aug 2006 07:34:29 -0000 1.7 *************** *** 1,4 **** <Category name='randomsequencegenerator'> ! <description>functions to generate random number sequences</description> <displayName>Random Sequence Generator</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> --- 1,4 ---- <Category name='randomsequencegenerator'> ! <description>functions to construct and use random sequences generators</description> <displayName>Random Sequence Generator</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** mathf.xml 10 Aug 2006 10:24:15 -0000 1.16 --- mathf.xml 21 Aug 2006 07:34:29 -0000 1.17 *************** *** 1,4 **** <Category name='mathf'> ! <description>Math QuantLib functions</description> <displayName>Math</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> --- 1,4 ---- <Category name='mathf'> ! <description>Math utility functions</description> <displayName>Math</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** swaption.xml 29 Jul 2006 15:32:32 -0000 1.13 --- swaption.xml 21 Aug 2006 07:34:29 -0000 1.14 *************** *** 1,4 **** <Category name='swaption'> ! <description>functions to construct QuantLib swaption objects</description> <displayName>Swaption</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='swaption'> ! <description>functions to construct and use Swaption objects</description> <displayName>Swaption</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** exercise.xml 29 Jul 2006 15:32:32 -0000 1.7 --- exercise.xml 21 Aug 2006 07:34:29 -0000 1.8 *************** *** 1,4 **** <Category name='exercise'> ! <description>functions to construct QuantLib Exercise objects</description> <displayName>Exercise</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='exercise'> ! <description>functions to construct and use Exercise objects</description> <displayName>Exercise</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** pricingengines.xml 29 Jul 2006 15:32:32 -0000 1.12 --- pricingengines.xml 21 Aug 2006 07:34:29 -0000 1.13 *************** *** 1,4 **** <Category name='pricingengines'> ! <description>functions to construct QuantLib::PricingEngine objects</description> <displayName>Pricing Engines</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='pricingengines'> ! <description>functions to construct and use PricingEngine objects</description> <displayName>Pricing Engines</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** capletvolstructure.xml 29 Jul 2006 15:32:32 -0000 1.9 --- capletvolstructure.xml 21 Aug 2006 07:34:29 -0000 1.10 *************** *** 1,4 **** <Category name='capletvolstructure'> ! <description>functions to construct QuantLib Caplet Volatility Term Structure objects</description> <displayName>Caplet Volatility Term Structures</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='capletvolstructure'> ! <description>functions to construct and use CapletVolatilityStructure objects</description> <displayName>Caplet Volatility Term Structures</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** calendar.xml 29 Jul 2006 15:32:32 -0000 1.15 --- calendar.xml 21 Aug 2006 07:34:29 -0000 1.16 *************** *** 1,4 **** <Category name='calendar'> ! <description>Calendar related QuantLib functions</description> <displayName>Calendar</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> --- 1,4 ---- <Category name='calendar'> ! <description>Calendar related functions</description> <displayName>Calendar</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** schedule.xml 2 Aug 2006 19:14:53 -0000 1.7 --- schedule.xml 21 Aug 2006 07:34:29 -0000 1.8 *************** *** 1,4 **** <Category name='schedule'> ! <description>functions to construct QuantLib schedule objects</description> <displayName>Schedules</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> --- 1,4 ---- <Category name='schedule'> ! <description>functions to construct and use Schedule objects</description> <displayName>Schedules</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** instruments.xml 29 Jul 2006 15:32:32 -0000 1.14 --- instruments.xml 21 Aug 2006 07:34:29 -0000 1.15 *************** *** 1,4 **** <Category name='instruments'> ! <description>functions to construct QuantLib instrument objects</description> <displayName>Instruments</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='instruments'> ! <description>functions to construct and use Instrument objects</description> <displayName>Instruments</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: prices.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/prices.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** prices.xml 29 Jul 2006 15:32:32 -0000 1.6 --- prices.xml 21 Aug 2006 07:34:29 -0000 1.7 *************** *** 1,4 **** <Category name='prices'> ! <description>QuantLib Price functions</description> <displayName>Prices</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='prices'> ! <description>Price utility functions</description> <displayName>Prices</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: riskstatistics.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/riskstatistics.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** riskstatistics.xml 10 Aug 2006 16:07:56 -0000 1.2 --- riskstatistics.xml 21 Aug 2006 07:34:29 -0000 1.3 *************** *** 1,4 **** <Category name='riskstatistics'> ! <description>QuantLib statistics tool</description> <displayName>RiskStatistics</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> --- 1,4 ---- <Category name='riskstatistics'> ! <description>functions to construct and use Statistics objects</description> <displayName>RiskStatistics</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** options.xml 29 Jul 2006 15:32:32 -0000 1.15 --- options.xml 21 Aug 2006 07:34:29 -0000 1.16 *************** *** 1,4 **** <Category name='options'> ! <description>functions to construct QuantLib option objects</description> <displayName>Options</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='options'> ! <description>functions to construct and use Option objects</description> <displayName>Options</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** interpolation.xml 31 Jul 2006 11:21:15 -0000 1.26 --- interpolation.xml 21 Aug 2006 07:34:29 -0000 1.27 *************** *** 1,4 **** <Category name='interpolation'> ! <description>functions to carry out interpolations</description> <displayName>Interpolation</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> --- 1,4 ---- <Category name='interpolation'> ! <description>functions to construct and use Interpolation and Interpolation2D objects</description> <displayName>Interpolation</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> Index: daycounter.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/daycounter.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** daycounter.xml 29 Jul 2006 15:32:32 -0000 1.7 --- daycounter.xml 21 Aug 2006 07:34:29 -0000 1.8 *************** *** 1,4 **** <Category name='daycounter'> ! <description>Daycounter related QuantLib functions</description> <displayName>Daycounter</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> --- 1,4 ---- <Category name='daycounter'> ! <description>Daycounter related functions</description> <displayName>Daycounter</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** optimization.xml 31 Jul 2006 11:21:15 -0000 1.6 --- optimization.xml 21 Aug 2006 07:34:29 -0000 1.7 *************** *** 1,4 **** <Category name='optimization'> ! <description>QuantLib Optimization Methods</description> <displayName>Optimization</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> --- 1,4 ---- <Category name='optimization'> ! <description>functions to construct and use Optimization objects</description> <displayName>Optimization</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** processes.xml 29 Jul 2006 15:32:32 -0000 1.7 --- processes.xml 21 Aug 2006 07:34:29 -0000 1.8 *************** *** 1,4 **** <Category name='processes'> ! <description>functions to construct QuantLib process objects</description> <displayName>Processes</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='processes'> ! <description>functions to construct and use Process objects</description> <displayName>Processes</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** couponvectors.xml 9 Aug 2006 18:48:45 -0000 1.22 --- couponvectors.xml 21 Aug 2006 07:34:29 -0000 1.23 *************** *** 1,4 **** <Category name='couponvectors'> ! <description>functions to construct QuantLib coupon vector objects</description> <displayName>Coupon Vectors</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='couponvectors'> ! <description>functions to construct and use CouponVector objects</description> <displayName>Coupon Vectors</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> |
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From: Katiuscia M. <kma...@us...> - 2006-08-18 16:28:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv587/qlo Modified Files: auto_link.hpp Log Message: clearer message Index: auto_link.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/auto_link.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** auto_link.hpp 12 Jul 2006 16:55:46 -0000 1.2 --- auto_link.hpp 18 Aug 2006 16:28:36 -0000 1.3 *************** *** 60,64 **** #pragma comment(lib, QLADDIN_LIB_NAME) #ifdef BOOST_LIB_DIAGNOSTIC ! # pragma message("Linking to lib file: " QLADDIN_LIB_NAME) #endif --- 60,64 ---- #pragma comment(lib, QLADDIN_LIB_NAME) #ifdef BOOST_LIB_DIAGNOSTIC ! # pragma message("Will (need to) link to lib file: " QLADDIN_LIB_NAME) #endif |
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From: Ferdinando A. <na...@us...> - 2006-08-18 15:17:42
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3629 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** todonando.txt 18 Aug 2006 07:42:13 -0000 1.33 --- todonando.txt 18 Aug 2006 15:17:35 -0000 1.34 *************** *** 41,52 **** LUIGI - refactor market model test suite: 1 test per Forward e Caplet - OneStep (Full-Factor), Multi-Step (different number of factors: full,1,2,3,4) - evolutionDescription (diversi numerari: suggested, terminal, moneymarket) - diversi modelli di correlazione - diversi modelli volatilità diversi BrownianGenerator - diversi Evolver (ogni evolver diversi fattori) - introduce Sobol BrowianGenerator - Weekly CHANGELOG update --- 41,54 ---- LUIGI + - separare modelli di correlazione da modelli di volatilità + - separate drift test + - separete abcd test (match terminal variance) + - displacement calibration + - abcd calibration + - debug vari crash in test suite per floating point exception + - risolvere Halley improvements - refactor market model test suite: 1 test per Forward e Caplet diversi BrownianGenerator - introduce Sobol BrowianGenerator - Weekly CHANGELOG update |
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From: Ferdinando A. <na...@us...> - 2006-08-18 13:44:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31537/gensrc/metadata Modified Files: marketmodels.xml Log Message: Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** marketmodels.xml 18 Aug 2006 08:55:05 -0000 1.17 --- marketmodels.xml 18 Aug 2006 13:43:58 -0000 1.18 *************** *** 3,10 **** <displayName>MarketModels</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <!--<includes> <include>qlo/marketmodels.hpp</include> <include>qlo/vo_marketmodels.hpp</include> ! </includes>--> <copyright> Copyright (C) 2006 Ferdinando Ametrano --- 3,10 ---- <displayName>MarketModels</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> <include>qlo/marketmodels.hpp</include> <include>qlo/vo_marketmodels.hpp</include> ! </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano *************** *** 491,497 **** </Constructor> ! <!-- Abcd Violatility --> ! <Member name='qlAbcdVolatilityShortTermVolatility' libraryClass='AbcdVolatility'> <description>Returns the short term volatility implied by Abcd volatility.</description> <libraryFunction>shortTermVolatility</libraryFunction> --- 491,497 ---- </Constructor> ! <!-- Abcd Volatility --> ! <Member name='qlAbcdShortTermVolatility' libraryClass='Abcd'> <description>Returns the short term volatility implied by Abcd volatility.</description> <libraryFunction>shortTermVolatility</libraryFunction> *************** *** 508,512 **** </Member> ! <Member name='qlAbcdVolatilityLongTermVolatility' libraryClass='AbcdVolatility'> <description>Returns the long term volatility implied by Abcd volatility.</description> <libraryFunction>longTermVolatility</libraryFunction> --- 508,512 ---- </Member> ! <Member name='qlAbcdLongTermVolatility' libraryClass='Abcd'> <description>Returns the long term volatility implied by Abcd volatility.</description> <libraryFunction>longTermVolatility</libraryFunction> *************** *** 523,527 **** </Member> ! <Member name='qlAbcdVolatilityMaximumLocation' libraryClass='AbcdVolatility'> <description>Returns, if b is positive, the location of the Abcd volatility maximum.</description> <libraryFunction>maximumLocation</libraryFunction> --- 523,527 ---- </Member> ! <Member name='qlAbcdMaximumLocation' libraryClass='Abcd'> <description>Returns, if b is positive, the location of the Abcd volatility maximum.</description> <libraryFunction>maximumLocation</libraryFunction> *************** *** 538,542 **** </Member> ! <Member name='qlAbcdVolatilitymMaximumVolatility' libraryClass='AbcdVolatility'> <description>Returns, if b is positive, the maximum of the Abcd volatility.</description> <libraryFunction>maximumVolatility</libraryFunction> --- 538,542 ---- </Member> ! <Member name='qlAbcdMaximumVolatility' libraryClass='Abcd'> <description>Returns, if b is positive, the maximum of the Abcd volatility.</description> <libraryFunction>maximumVolatility</libraryFunction> *************** *** 553,556 **** --- 553,597 ---- </Member> + <Constructor name='qlAbcd'> + <libraryFunction>Abcd</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='a'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the a coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='b'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the b coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='c'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the c coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='d'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the d coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='T'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description></description> + </Parameter> + <Parameter name='S'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description></description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Constructor name='qlAbcdVolatility'> <libraryFunction>AbcdVolatility</libraryFunction> |
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From: Ferdinando A. <na...@us...> - 2006-08-18 13:44:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31537/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** marketmodels.hpp 18 Aug 2006 08:55:06 -0000 1.12 --- marketmodels.hpp 18 Aug 2006 13:43:58 -0000 1.13 *************** *** 33,39 **** namespace QuantLibAddin { - class PseudoRoot : public ObjHandler::LibraryObject<QuantLib::PseudoRoot> { - }; - class EvolutionDescription : public ObjHandler::LibraryObject<QuantLib::EvolutionDescription> { public: --- 33,36 ---- *************** *** 44,47 **** --- 41,52 ---- }; + class Abcd : public ObjHandler::LibraryObject<QuantLib::Abcd> { + public: + Abcd(QuantLib::Real a, QuantLib::Real b, QuantLib::Real c, QuantLib::Real d, QuantLib::Real T, QuantLib::Real S); + }; + + class PseudoRoot : public ObjHandler::LibraryObject<QuantLib::PseudoRoot> { + }; + class ExponentialCorrelation : public PseudoRoot { public: *************** *** 94,99 **** }; - - class MarketModelProduct : public ObjHandler::LibraryObject< QuantLib::MarketModelProduct> { --- 99,102 ---- Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** marketmodels.cpp 18 Aug 2006 08:55:06 -0000 1.13 --- marketmodels.cpp 18 Aug 2006 13:43:58 -0000 1.14 *************** *** 71,74 **** --- 71,80 ---- + Abcd::Abcd(QuantLib::Real a, QuantLib::Real b, QuantLib::Real c, QuantLib::Real d, QuantLib::Real T, QuantLib::Real S) { + libraryObject_ = boost::shared_ptr<QuantLib::Abcd>( + new QuantLib::Abcd(a, b, c, d, T, S)); + } + + EvolutionDescription::EvolutionDescription( const QuantLib::Array& rateTimes, |
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From: Cristina D. <cdu...@us...> - 2006-08-18 08:55:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11421/gensrc/metadata Modified Files: marketmodels.xml Log Message: Added MarketModelCaplets constructor Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** marketmodels.xml 29 Jul 2006 15:32:32 -0000 1.16 --- marketmodels.xml 18 Aug 2006 08:55:05 -0000 1.17 *************** *** 3,10 **** <displayName>MarketModels</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> <include>qlo/marketmodels.hpp</include> <include>qlo/vo_marketmodels.hpp</include> ! </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano --- 3,10 ---- <displayName>MarketModels</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <!--<includes> <include>qlo/marketmodels.hpp</include> <include>qlo/vo_marketmodels.hpp</include> ! </includes>--> <copyright> Copyright (C) 2006 Ferdinando Ametrano *************** *** 97,100 **** --- 97,132 ---- </Constructor> + <Constructor name='qlMarketModelCaplets'> + <libraryFunction>MarketModelCaplets</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='rateTimes' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>rate fixing times</description> + </Parameter> + <Parameter name='accruals' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>accrual factors</description> + </Parameter> + <Parameter name='paymentTimes' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>payment times of the product</description> + </Parameter> + <Parameter name='strikes' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>forward strikes</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <!-- EvolutionDescription class interface and costructor --> *************** *** 459,462 **** --- 491,556 ---- </Constructor> + <!-- Abcd Violatility --> + + <Member name='qlAbcdVolatilityShortTermVolatility' libraryClass='AbcdVolatility'> + <description>Returns the short term volatility implied by Abcd volatility.</description> + <libraryFunction>shortTermVolatility</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdVolatilityLongTermVolatility' libraryClass='AbcdVolatility'> + <description>Returns the long term volatility implied by Abcd volatility.</description> + <libraryFunction>longTermVolatility</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdVolatilityMaximumLocation' libraryClass='AbcdVolatility'> + <description>Returns, if b is positive, the location of the Abcd volatility maximum.</description> + <libraryFunction>maximumLocation</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdVolatilitymMaximumVolatility' libraryClass='AbcdVolatility'> + <description>Returns, if b is positive, the maximum of the Abcd volatility.</description> + <libraryFunction>maximumVolatility</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlAbcdVolatility'> <libraryFunction>AbcdVolatility</libraryFunction> *************** *** 791,795 **** <ParameterList> <Parameters> ! <Parameter name='pseudo' libraryType='QuantLib::Matrix'> <type>double</type> <tensorRank>matrix</tensorRank> --- 885,889 ---- <ParameterList> <Parameters> ! <Parameter name='pseudo_square_root' libraryType='QuantLib::Matrix'> <type>double</type> <tensorRank>matrix</tensorRank> |
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From: Cristina D. <cdu...@us...> - 2006-08-18 08:55:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11421/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: Added MarketModelCaplets constructor Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** marketmodels.hpp 31 Jul 2006 11:21:16 -0000 1.11 --- marketmodels.hpp 18 Aug 2006 08:55:06 -0000 1.12 *************** *** 28,31 **** --- 28,33 ---- #include <ql/MarketModels/marketmodelevolver.hpp> #include <ql/MarketModels/Products/marketmodelforwards.hpp> + #include <ql/MarketModels/Products/marketmodelcaplets.hpp> + #include <ql/MarketModels/PseudoRoots/abcdvolatility.hpp> namespace QuantLibAddin { *************** *** 108,112 **** //EvolutionDescription suggestedEvolution() const; }; ! --- 110,120 ---- //EvolutionDescription suggestedEvolution() const; }; ! class MarketModelCaplets : public MarketModelProduct { ! public: ! MarketModelCaplets(const QuantLib::Array& rateTimes, ! const QuantLib::Array& accruals, ! const QuantLib::Array& paymentTimes, ! const QuantLib::Array& strikes); ! }; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** marketmodels.cpp 31 Jul 2006 11:21:16 -0000 1.12 --- marketmodels.cpp 18 Aug 2006 08:55:06 -0000 1.13 *************** *** 137,140 **** --- 137,150 ---- //} + MarketModelCaplets::MarketModelCaplets(const QuantLib::Array& rateTimes, + const QuantLib::Array& accruals, + const QuantLib::Array& paymentTimes, + const QuantLib::Array& strikes) + { + libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>( + new QuantLib::MarketModelCaplets(rateTimes, accruals, + paymentTimes, strikes)); + } + MTBrownianGeneratorFactory::MTBrownianGeneratorFactory(unsigned long seed) |
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From: Ferdinando A. <na...@us...> - 2006-08-18 07:42:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13862/gensrc Modified Files: gensrc.vcproj Log Message: VC7 catching up Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** gensrc.vcproj 10 Aug 2006 11:03:46 -0000 1.15 --- gensrc.vcproj 18 Aug 2006 07:42:13 -0000 1.16 *************** *** 118,121 **** --- 118,124 ---- </File> <File + RelativePath=".\metadata\settings.xml"> + </File> + <File RelativePath="metadata\shortratemodels.xml"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-08-18 07:42:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13862 Modified Files: todonando.txt Log Message: VC7 catching up Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** todonando.txt 17 Aug 2006 10:40:53 -0000 1.32 --- todonando.txt 18 Aug 2006 07:42:13 -0000 1.33 *************** *** 1,5 **** QuantLib - - Period::Period(Frequency freq) - vola model, corr model - corregere OneAssetOption impliedVol --- 1,4 ---- |
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From: Ferdinando A. <na...@us...> - 2006-08-17 15:20:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1511 Modified Files: QuantLibObjects_vc8.vcproj Log Message: VC8 catching up Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** QuantLibObjects_vc8.vcproj 11 Aug 2006 09:49:19 -0000 1.32 --- QuantLibObjects_vc8.vcproj 17 Aug 2006 15:20:10 -0000 1.33 *************** *** 919,922 **** --- 919,926 ---- </File> <File + RelativePath=".\qlo\date.hpp" + > + </File> + <File RelativePath="qlo\exercise.cpp" > *************** *** 963,966 **** --- 967,974 ---- </File> <File + RelativePath=".\qlo\settings.hpp" + > + </File> + <File RelativePath="qlo\utilities.cpp" > |
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From: Ferdinando A. <na...@us...> - 2006-08-17 15:20:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1511/gensrc Modified Files: gensrc_vc8.vcproj Log Message: VC8 catching up Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** gensrc_vc8.vcproj 11 Aug 2006 09:49:19 -0000 1.20 --- gensrc_vc8.vcproj 17 Aug 2006 15:20:10 -0000 1.21 *************** *** 168,171 **** --- 168,175 ---- </File> <File + RelativePath=".\metadata\settings.xml" + > + </File> + <File RelativePath="metadata\shortratemodels.xml" > |
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From: Ferdinando A. <na...@us...> - 2006-08-17 12:35:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26833/gensrc/metadata Modified Files: vanillaswap.xml Log Message: VanillaSwaption constructor without fixing days Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** vanillaswap.xml 1 Aug 2006 06:50:40 -0000 1.16 --- vanillaswap.xml 17 Aug 2006 12:35:08 -0000 1.17 *************** *** 57,65 **** <description>floating leg Index</description> </Parameter> - <Parameter name='fixingDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>index fixing days (e.g. 2)</description> - </Parameter> <Parameter name='floatingLegSpread'> <type>double</type> --- 57,60 ---- |
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From: Ferdinando A. <na...@us...> - 2006-08-17 12:35:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26833/qlo Modified Files: vanillaswap.cpp vanillaswap.hpp Log Message: VanillaSwaption constructor without fixing days Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** vanillaswap.hpp 31 Jul 2006 18:17:37 -0000 1.11 --- vanillaswap.hpp 17 Aug 2006 12:35:08 -0000 1.12 *************** *** 35,39 **** const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, const boost::shared_ptr<QuantLib::Xibor>& index, - const QuantLib::Integer indexFixingDays, const QuantLib::Spread spread, const QuantLib::DayCounter& floatDayCounter, --- 35,38 ---- Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** vanillaswap.cpp 27 Jun 2006 21:17:33 -0000 1.8 --- vanillaswap.cpp 17 Aug 2006 12:35:08 -0000 1.9 *************** *** 37,41 **** const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, const boost::shared_ptr<QuantLib::Xibor>& index, - const QuantLib::Integer indexFixingDays, const QuantLib::Spread spread, const QuantLib::DayCounter& floatDayCounter, --- 37,40 ---- *************** *** 50,54 **** *floatSchedule, index, - indexFixingDays, spread, floatDayCounter, --- 49,52 ---- |
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From: Ferdinando A. <na...@us...> - 2006-08-17 10:40:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10385/qlo Added Files: date.hpp Log Message: added periodFromFrequency function --- NEW FILE: date.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_date_hpp #define qla_date_hpp #include <oh/object.hpp> #include <ql/period.hpp> namespace QuantLibAddin { inline QuantLib::Period periodFromFrequency(QuantLib::Frequency f) { return QuantLib::Period(f); } } #endif |
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From: Ferdinando A. <na...@us...> - 2006-08-17 10:40:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10385/gensrc/metadata Modified Files: date.xml Log Message: added periodFromFrequency function Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** date.xml 17 Aug 2006 10:09:35 -0000 1.10 --- date.xml 17 Aug 2006 10:40:55 -0000 1.11 *************** *** 1,15 **** <Category name='date'> ! <description>Date related QuantLib functions</description> <displayName>Date</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> <includes> ! <!-- needed for setEvaluationDate which is in the 'wrong' QuantLibFunction file --> ! <include>ql/Functions/calendars.hpp</include> </includes> <copyright> ! Copyright (C) 2004 Ferdinando Ametrano </copyright> <Functions> <Procedure name='qlIsIMMdate' > <description>returns whether or not the given date is an IMM date.</description> --- 1,35 ---- <Category name='date'> ! <description>Date- and Period-related QuantLib functions</description> <displayName>Date</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> <includes> ! <include>qlo/date.hpp</include> </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> + <Procedure name='qlPeriodFromFrequency' > + <description>returns a Period from a given frequency (e.g. 6M from SemiAnnual).</description> + <alias>QuantLibAddin::periodFromFrequency</alias> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='frequency' enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + <Procedure name='qlIsIMMdate' > <description>returns whether or not the given date is an IMM date.</description> |
