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From: Ferdinando A. <na...@us...> - 2006-12-11 17:58:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15713/qlo Modified Files: swaptionvolstructure.hpp Log Message: Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.46 retrieving revision 1.47 diff -C2 -d -r1.46 -r1.47 *** swaptionvolstructure.hpp 5 Dec 2006 10:20:21 -0000 1.46 --- swaptionvolstructure.hpp 11 Dec 2006 17:58:01 -0000 1.47 *************** *** 38,42 **** SwaptionConstantVolatility(const QuantLib::Date& referenceDate, const QuantLib::Handle<QuantLib::Quote>&, ! const QuantLib::DayCounter& dayCounter); }; --- 38,42 ---- SwaptionConstantVolatility(const QuantLib::Date& referenceDate, const QuantLib::Handle<QuantLib::Quote>&, ! const QuantLib::DayCounter& dayCounter); }; |
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From: Ferdinando A. <na...@us...> - 2006-12-11 17:57:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15682/qlo Modified Files: smilesection.cpp smilesection.hpp Log Message: switching to standard deviation instead of vol Index: smilesection.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** smilesection.cpp 6 Dec 2006 18:18:35 -0000 1.6 --- smilesection.cpp 11 Dec 2006 17:57:51 -0000 1.7 *************** *** 26,66 **** namespace QuantLibAddin { ! InterpolatedSmileSection::InterpolatedSmileSection( ! const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& s, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles, ! const QuantLib::DayCounter& dc) { ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>( ! new QuantLib::InterpolatedSmileSection<>(optionDate, s, volatilitiesHandles, dc)); ! } ! ! FlatSmileSection::FlatSmileSection( const QuantLib::Date& optionDate, QuantLib::Volatility v, const QuantLib::DayCounter& dc, ! const QuantLib::Date& refDate) { ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>( ! new QuantLib::FlatSmileSection(optionDate, v, dc, refDate)); } SabrSmileSection::SabrSmileSection( ! const QuantLib::Time expiry, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& ! volatilitiesHandles, ! QuantLib::Real forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, ! bool isAlphaFixed, ! bool isBetaFixed, ! bool isNuFixed, ! bool isRhoFixed, ! bool vegaWeighted, ! const boost::shared_ptr<QuantLib::OptimizationMethod> ! method) { ! QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, --- 26,66 ---- namespace QuantLibAddin { ! FlatSmileSection::FlatSmileSection( const QuantLib::Date& optionDate, QuantLib::Volatility v, const QuantLib::DayCounter& dc, ! const QuantLib::Date& refDate) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(new ! QuantLib::FlatSmileSection(optionDate, v, dc, refDate)); ! } ! InterpolatedSmileSection::InterpolatedSmileSection( ! const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& s, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs, ! const QuantLib::DayCounter& dc) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(new ! QuantLib::InterpolatedSmileSection<>(optionDate, s, ! stdDevs, dc)); } SabrSmileSection::SabrSmileSection( ! const QuantLib::Time expiry, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs, ! QuantLib::Real forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, ! bool isAlphaFixed, ! bool isBetaFixed, ! bool isNuFixed, ! bool isRhoFixed, ! bool vegaWeighted, ! const boost::shared_ptr<QuantLib::OptimizationMethod> method) ! { QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, *************** *** 69,78 **** QuantLib::InterpolatedSmileSection<QuantLib::SABR>* genericInterpolatedSmileSection = new ! QuantLib::InterpolatedSmileSection<QuantLib::SABR>(expiry, ! strikes, volatilitiesHandles, sabrInterpolationFactory); libraryObject_ = boost::shared_ptr< ! QuantLib::InterpolatedSmileSection<QuantLib::SABR> > ! (genericInterpolatedSmileSection); } --- 69,78 ---- QuantLib::InterpolatedSmileSection<QuantLib::SABR>* genericInterpolatedSmileSection = new ! QuantLib::InterpolatedSmileSection<QuantLib::SABR>( ! expiry, strikes, stdDevs, sabrInterpolationFactory); libraryObject_ = boost::shared_ptr< ! QuantLib::InterpolatedSmileSection<QuantLib::SABR> >( ! genericInterpolatedSmileSection); } Index: smilesection.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** smilesection.hpp 6 Dec 2006 18:18:35 -0000 1.6 --- smilesection.hpp 11 Dec 2006 17:57:51 -0000 1.7 *************** *** 28,33 **** class SmileSection : ! public ObjHandler::LibraryObject<QuantLib::SmileSection> { ! }; class FlatSmileSection : public SmileSection { --- 28,32 ---- class SmileSection : ! public ObjHandler::LibraryObject<QuantLib::SmileSection> {}; class FlatSmileSection : public SmileSection { *************** *** 41,68 **** class InterpolatedSmileSection : public SmileSection { public: ! InterpolatedSmileSection(const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles, ! const QuantLib::DayCounter& dc); }; class SabrSmileSection: public SmileSection{ public: ! SabrSmileSection(const QuantLib::Time expiry, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles, ! QuantLib::Real forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, ! bool isAlphaFixed, ! bool isBetaFixed, ! bool isNuFixed, ! bool isRhoFixed, ! bool vegaWeighted = false, ! const boost::shared_ptr<QuantLib::OptimizationMethod> ! method ! = boost::shared_ptr<QuantLib::OptimizationMethod>()); }; --- 40,68 ---- class InterpolatedSmileSection : public SmileSection { public: ! InterpolatedSmileSection( ! const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs, ! const QuantLib::DayCounter& dc); }; class SabrSmileSection: public SmileSection{ public: ! SabrSmileSection( ! const QuantLib::Time expiry, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs, ! QuantLib::Real forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, ! bool isAlphaFixed, ! bool isBetaFixed, ! bool isNuFixed, ! bool isRhoFixed, ! bool vegaWeighted = false, ! const boost::shared_ptr<QuantLib::OptimizationMethod> ! method = boost::shared_ptr<QuantLib::OptimizationMethod>()); }; |
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From: Ferdinando A. <na...@us...> - 2006-12-11 17:57:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15572/gensrc/metadata Modified Files: smilesection.xml Log Message: SCARY AS HELL: I cannot change the variable names??????? Eric, would you please check. Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** smilesection.xml 11 Dec 2006 17:48:57 -0000 1.8 --- smilesection.xml 11 Dec 2006 17:57:10 -0000 1.9 *************** *** 167,174 **** <description>strikes</description> </Parameter> <Parameter name='volatilities' libToHandle='Quote'> <type>string</type> <tensorRank>vector</tensorRank> ! <description>volatilities.</description> </Parameter> <Parameter name='forward' libraryType='QuantLib::Rate'> --- 167,175 ---- <description>strikes</description> </Parameter> + <!--<Parameter name='stdDevs' libToHandle='Quote'>--> <Parameter name='volatilities' libToHandle='Quote'> <type>string</type> <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> </Parameter> <Parameter name='forward' libraryType='QuantLib::Rate'> *************** *** 249,256 **** <description>strikes</description> </Parameter> <Parameter name='volatilities' libToHandle='Quote'> <type>string</type> <tensorRank>vector</tensorRank> ! <description>volatilities.</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> --- 250,258 ---- <description>strikes</description> </Parameter> + <!--<Parameter name='stdDevs' libToHandle='Quote'>--> <Parameter name='volatilities' libToHandle='Quote'> <type>string</type> <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> |
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From: Francois du V. <fd...@us...> - 2006-12-11 17:53:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13972 Modified Files: quotes.xml Log Message: qlEurodollarFuturesImpliedStdDevQuote added Index: quotes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/quotes.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** quotes.xml 11 Dec 2006 09:40:04 -0000 1.2 --- quotes.xml 11 Dec 2006 17:53:51 -0000 1.3 *************** *** 1,79 **** <Category name='quotes'> ! <description>quotes objects</description> ! <displayName>Quotes</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/quotes.hpp</include> ! <include>ql/Utilities/null.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! ! <!-- Quote, SimpleQuote, and HandleQuote --> ! <Constructor name='qlForwardValueQuote'> ! <libraryFunction>ForwardValueQuote</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='index' libraryClass='IborIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating IborIndex object ID</description> ! </Parameter> ! <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>Fixing Date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlImpliedStdDevQuote'> ! <libraryFunction>ImpliedStdDevQuote</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionType' enumeration='QuantLib::Option::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>option type (i.e. Call or Put)</description> ! </Parameter> ! <Parameter name='atmForwardValue' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying asset at-the-money forward value</description> ! </Parameter> ! <Parameter name='optionPrice' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>option price</description> ! </Parameter> ! <Parameter name="strike"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>option strike</description> ! </Parameter> ! <Parameter name="guess" default="QuantLib::Null<QuantLib::Real>()"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>implied volatility guess</description> ! </Parameter> ! <Parameter name="accuracy" default="1e-6"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>iv accuracy</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 1,118 ---- <Category name='quotes'> ! <description>quotes objects</description> ! <displayName>Quotes</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/quotes.hpp</include> ! <include>ql/Utilities/null.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! <!-- Quote, SimpleQuote, and HandleQuote --> ! <Constructor name='qlForwardValueQuote'> ! <libraryFunction>ForwardValueQuote</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='index' libraryClass='IborIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating IborIndex object ID</description> ! </Parameter> ! <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>Fixing Date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> + <Constructor name='qlImpliedStdDevQuote'> + <libraryFunction>ImpliedStdDevQuote</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionType' enumeration='QuantLib::Option::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>option type (i.e. Call or Put)</description> + </Parameter> + <Parameter name='atmForwardValue' libToHandle='Quote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>underlying asset at-the-money forward value</description> + </Parameter> + <Parameter name='optionPrice' libToHandle='Quote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>option price</description> + </Parameter> + <Parameter name="strike"> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>option strike</description> + </Parameter> + <Parameter name="guess" default="QuantLib::Null<QuantLib::Real>()"> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>implied volatility guess</description> + </Parameter> + <Parameter name="accuracy" default="1e-6"> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>iv accuracy</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> ! <Constructor name='qlEurodollarFuturesImpliedStdDevQuote'> ! <libraryFunction>EurodollarFuturesImpliedStdDevQuote</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionType' enumeration='QuantLib::Option::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>option type (i.e. Call or Put)</description> ! </Parameter> ! <Parameter name='atmForwardValue' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying asset at-the-money forward value</description> ! </Parameter> ! <Parameter name='optionPrice' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>option price</description> ! </Parameter> ! <Parameter name="strike"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>option strike</description> ! </Parameter> ! <Parameter name="guess" default="QuantLib::Null<QuantLib::Real>()"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>implied volatility guess</description> ! </Parameter> ! <Parameter name="accuracy" default="1e-6"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>iv accuracy</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-12-11 17:49:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11889/gensrc/metadata Modified Files: smilesection.xml Log Message: formatting Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** smilesection.xml 6 Dec 2006 18:18:22 -0000 1.7 --- smilesection.xml 11 Dec 2006 17:48:57 -0000 1.8 *************** *** 1,126 **** <Category name='smilesection'> ! <description>functions to construct and use SmileSection objects</description> ! <displayName>Smile Section Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>ql/Volatilities/interpolatedsmilesection.hpp</include> ! <include>qlo/smilesection.hpp</include> ! <include>qlo/optimization.hpp</include> ! <include>ql/quote.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! <!-- SmileSection interface --> ! <Member name='qlSmileSectionVolatility' libraryClass='SmileSection'> ! <description>Returns the volatility at a given strike from the SmileSection object</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionVariance' libraryClass='SmileSection'> ! <description>Returns the variance at a given strike from the SmileSection object</description> ! <libraryFunction>variance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionExerciseDate' libraryClass='SmileSection'> ! <description>Returns the exercise date of the SmileSection object</description> ! <libraryFunction>exerciseDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionDayCounter' libraryClass='SmileSection'> ! <description>Returns the DayCounter of the SmileSection object</description> ! <libraryFunction>dayCounter</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlFlatSmileSection'> ! <libraryFunction>FlatSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='refDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>ref date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!--Constructor name='qlSabrSmileSection'> <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 1,126 ---- <Category name='smilesection'> ! <description>functions to construct and use SmileSection objects</description> ! <displayName>Smile Section Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>ql/Volatilities/interpolatedsmilesection.hpp</include> ! <include>qlo/smilesection.hpp</include> ! <include>qlo/optimization.hpp</include> ! <include>ql/quote.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! <!-- SmileSection interface --> ! <Member name='qlSmileSectionVolatility' libraryClass='SmileSection'> ! <description>Returns the volatility at a given strike from the SmileSection object</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionVariance' libraryClass='SmileSection'> ! <description>Returns the variance at a given strike from the SmileSection object</description> ! <libraryFunction>variance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionExerciseDate' libraryClass='SmileSection'> ! <description>Returns the exercise date of the SmileSection object</description> ! <libraryFunction>exerciseDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionDayCounter' libraryClass='SmileSection'> ! <description>Returns the DayCounter of the SmileSection object</description> ! <libraryFunction>dayCounter</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlFlatSmileSection'> ! <libraryFunction>FlatSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='refDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>ref date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!--Constructor name='qlSabrSmileSection'> <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 149,267 **** </Constructor--> ! <Constructor name='qlSabrSmileSection'> ! <libraryFunction>SabrSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionTime' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as time</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>volatilities.</description> ! </Parameter> ! <Parameter name='forward' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='method' libraryClass='OptimizationMethod'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Optimization Method</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlInterpolatedSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>volatilities.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 149,267 ---- </Constructor--> ! <Constructor name='qlSabrSmileSection'> ! <libraryFunction>SabrSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionTime' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as time</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>volatilities.</description> ! </Parameter> ! <Parameter name='forward' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='method' libraryClass='OptimizationMethod'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Optimization Method</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlInterpolatedSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>volatilities.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> |
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From: Marco B. <mar...@us...> - 2006-12-11 17:38:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6918/gensrc/metadata Modified Files: interpolation.xml Log Message: qlInterpolation2DInterpolate: improved description Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.50 retrieving revision 1.51 diff -C2 -d -r1.50 -r1.51 *** interpolation.xml 11 Dec 2006 17:36:59 -0000 1.50 --- interpolation.xml 11 Dec 2006 17:38:03 -0000 1.51 *************** *** 641,650 **** <type>double</type> <tensorRank>vector</tensorRank> ! <description>x values</description> </Parameter> <Parameter name='yValue' const='False'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>y value</description> </Parameter> <Parameter name='allowExtrapolation' default='0' const='False'> --- 641,650 ---- <type>double</type> <tensorRank>vector</tensorRank> ! <description>x values (array)</description> </Parameter> <Parameter name='yValue' const='False'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>y value (scalar)</description> </Parameter> <Parameter name='allowExtrapolation' default='0' const='False'> |
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From: Marco B. <mar...@us...> - 2006-12-11 17:37:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6445/gensrc/metadata Modified Files: interpolation.xml Log Message: qlInterpolation2DInterpolate: changed input X values from scalar to array Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** interpolation.xml 11 Dec 2006 09:40:04 -0000 1.49 --- interpolation.xml 11 Dec 2006 17:36:59 -0000 1.50 *************** *** 630,634 **** <!-- should loop on both parameters --> ! <Member name='qlInterpolation2DInterpolate' libraryClass='Interpolation2D'> <description>Returns interpolated values for the (x,y) input for the given Interpolation2D object</description> <libraryFunction>operator()</libraryFunction> --- 630,634 ---- <!-- should loop on both parameters --> ! <Member name='qlInterpolation2DInterpolate' libraryClass='Interpolation2D' loopParameter='xValues'> <description>Returns interpolated values for the (x,y) input for the given Interpolation2D object</description> <libraryFunction>operator()</libraryFunction> *************** *** 640,645 **** <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>x value</description> </Parameter> <Parameter name='yValue' const='False'> --- 640,645 ---- <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> </Parameter> <Parameter name='yValue' const='False'> *************** *** 657,661 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 657,661 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
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From: Chiara F. <chi...@us...> - 2006-12-11 15:09:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5340/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp Log Message: fixed some payoff, added new ones Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** enumclassctors.cpp 6 Dec 2006 18:47:46 -0000 1.35 --- enumclassctors.cpp 11 Dec 2006 15:09:50 -0000 1.36 *************** *** 26,30 **** namespace QuantLibAddin { ! /* *** StrikedTypePayoff - strike only *** */ boost::shared_ptr<QuantLib::Payoff> VANILLA_Payoff( const QuantLib::Option::Type& optionType, --- 26,30 ---- namespace QuantLibAddin { ! /* *** StrikedTypePayoff - Option::Type + 1 parameter *** */ boost::shared_ptr<QuantLib::Payoff> VANILLA_Payoff( const QuantLib::Option::Type& optionType, *************** *** 45,56 **** new QuantLib::PercentageStrikePayoff(optionType, moneyness)); } ! /* *** StrikedTypePayoff - strike & strikeIncrement *** */ ! boost::shared_ptr<QuantLib::Payoff> SUPERSHARE_Payoff( ! const QuantLib::Option::Type& optionType, ! const double strike, ! const double strikeIncrement) { ! return boost::shared_ptr<QuantLib::Payoff> ( ! new QuantLib::SuperSharePayoff(optionType, strike, strikeIncrement)); ! } boost::shared_ptr<QuantLib::Payoff> CASHORNOTHING_Payoff( const QuantLib::Option::Type& optionType, --- 45,49 ---- new QuantLib::PercentageStrikePayoff(optionType, moneyness)); } ! /* *** StrikedTypePayoff - Option::Type + 2 parameters *** */ boost::shared_ptr<QuantLib::Payoff> CASHORNOTHING_Payoff( const QuantLib::Option::Type& optionType, *************** *** 63,69 **** const QuantLib::Option::Type& optionType, const double strike, ! const double strikePayoff) { return boost::shared_ptr<QuantLib::Payoff> ( ! new QuantLib::GapPayoff(optionType, strike, strikePayoff)); } --- 56,79 ---- const QuantLib::Option::Type& optionType, const double strike, ! const double secondStrike) { return boost::shared_ptr<QuantLib::Payoff> ( ! new QuantLib::GapPayoff(optionType, strike, secondStrike)); ! } ! /* *** StrikedTypePayoff - 2 parameters *** */ ! boost::shared_ptr<QuantLib::Payoff> SUPERFUND_Payoff( ! const QuantLib::Option::Type&, ! const double strike, ! const double secondStrike) { ! return boost::shared_ptr<QuantLib::Payoff> ( ! new QuantLib::SuperFundPayoff(strike, secondStrike)); ! } ! /* *** StrikedTypePayoff - 3 parameters *** */ ! boost::shared_ptr<QuantLib::Payoff> SUPERSHARE_Payoff( ! const QuantLib::Option::Type&, ! const double strike, ! const double secondStrike, ! const double cashPayoff) { ! return boost::shared_ptr<QuantLib::Payoff> ( ! new QuantLib::SuperSharePayoff(strike, secondStrike, cashPayoff)); } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** enumclassctors.hpp 6 Dec 2006 18:47:46 -0000 1.32 --- enumclassctors.hpp 11 Dec 2006 15:09:50 -0000 1.33 *************** *** 39,43 **** namespace QuantLibAddin { ! /* *** StrikedTypePayoff - strike only *** */ boost::shared_ptr<QuantLib::Payoff> VANILLA_Payoff( const QuantLib::Option::Type& optionType, --- 39,43 ---- namespace QuantLibAddin { ! /* *** StrikedTypePayoff - Option::Type + 1 parameter *** */ boost::shared_ptr<QuantLib::Payoff> VANILLA_Payoff( const QuantLib::Option::Type& optionType, *************** *** 50,58 **** const double moneyness); ! /* *** StrikedTypePayoff - strike & strikeIncrement *** */ ! boost::shared_ptr<QuantLib::Payoff> SUPERSHARE_Payoff( ! const QuantLib::Option::Type& optionType, ! const double strike, ! const double strikeIncrement); boost::shared_ptr<QuantLib::Payoff> CASHORNOTHING_Payoff( const QuantLib::Option::Type& optionType, --- 50,54 ---- const double moneyness); ! /* *** StrikedTypePayoff - Option::Type + 2 parameters *** */ boost::shared_ptr<QuantLib::Payoff> CASHORNOTHING_Payoff( const QuantLib::Option::Type& optionType, *************** *** 62,66 **** const QuantLib::Option::Type& optionType, const double strike, ! const double strikePayoff); /* *** PricingEngine - timesteps ignored *** */ --- 58,74 ---- const QuantLib::Option::Type& optionType, const double strike, ! const double secondStrike); ! ! /* *** StrikedTypePayoff - 2 parameters *** */ ! boost::shared_ptr<QuantLib::Payoff> SUPERFUND_Payoff( ! const QuantLib::Option::Type&, ! const double strike, ! const double secondStrike); ! /* *** StrikedTypePayoff - 3 parameters *** */ ! boost::shared_ptr<QuantLib::Payoff> SUPERSHARE_Payoff( ! const QuantLib::Option::Type&, ! const double strike, ! const double secondStrike, ! const double cashPayoff); /* *** PricingEngine - timesteps ignored *** */ |
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From: Chiara F. <chi...@us...> - 2006-12-11 15:09:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5340/gensrc/metadata Modified Files: enumclasses.xml payoffs.xml Log Message: fixed some payoff, added new ones Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** payoffs.xml 11 Dec 2006 09:40:04 -0000 1.11 --- payoffs.xml 11 Dec 2006 15:09:50 -0000 1.12 *************** *** 1,95 **** <Category name='payoffs'> ! <description>functions to construct and use StrikedTypePayoff objects</description> ! <displayName>Payoffs</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Eric Ehlers ! </copyright> ! <Functions> ! <Member name='qlPayoffType' libraryClass='Payoff'> ! <description>returns the type (e.g. Vanilla, CashOrNothing, etc.) for the given Payoff object.</description> ! <libraryFunction>type</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffDescription' libraryClass='Payoff'> ! <description>returns the description (e.g. CashOrNothing, strike 32.2, cash payoff 2.5) for the given Payoff object.</description> ! <libraryFunction>description</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffValue' libraryClass='Payoff'> ! <description>returns the payoff value given an underlying reference level for the given Payoff object.</description> ! <libraryFunction>operator()</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='underlying' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying reference level</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffOptionType' libraryClass='TypePayoff'> ! <description>returns the option-type (e.g. Call, Put) for the given Payoff object.</description> ! <libraryFunction>optionType</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::Option::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffStrike' libraryClass='StrikedTypePayoff'> ! <description>returns the strike for the given Payoff object.</description> ! <libraryFunction>strike</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!--<Member name='qlPayoffCashPayoff' libraryClass='CashOrNothingPayoff'> <description>returns the cash payoff of the given CashOrNothingPayoff object.</description> <libraryFunction>cashPayoff</libraryFunction> --- 1,95 ---- <Category name='payoffs'> ! <description>functions to construct and use StrikedTypePayoff objects</description> ! <displayName>Payoffs</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Eric Ehlers ! </copyright> ! <Functions> ! <Member name='qlPayoffName' libraryClass='Payoff'> ! <description>returns the type (e.g. Vanilla, CashOrNothing, etc.) for the given Payoff object.</description> ! <libraryFunction>name</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffDescription' libraryClass='Payoff'> ! <description>returns the description (e.g. CashOrNothing, strike 32.2, cash payoff 2.5) for the given Payoff object.</description> ! <libraryFunction>description</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffValue' libraryClass='Payoff'> ! <description>returns the payoff value given an underlying reference level for the given Payoff object.</description> ! <libraryFunction>operator()</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='underlying' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying reference level</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffOptionType' libraryClass='TypePayoff'> ! <description>returns the option-type (e.g. Call, Put) for the given Payoff object.</description> ! <libraryFunction>optionType</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::Option::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPayoffStrike' libraryClass='StrikedTypePayoff'> ! <description>returns the strike for the given Payoff object.</description> ! <libraryFunction>strike</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!--<Member name='qlPayoffCashPayoff' libraryClass='CashOrNothingPayoff'> <description>returns the cash payoff of the given CashOrNothingPayoff object.</description> <libraryFunction>cashPayoff</libraryFunction> *************** *** 136,188 **** </Member>--> ! <Member name='qlPayoffThirdParameter' objectClass='StrikedTypePayoff'> ! <description>returns the third parametet of teh given StrikedTypePayoff object.</description> ! <libraryFunction>thirdParameter</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlStrikedTypePayoff'> ! <libraryFunction>StrikedTypePayoff</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <C/> ! <Calc/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='payoffID'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payoff ID (e.g. Vanilla, PercentageStrike, AssetOrNothing, CashOrNothing, Gap, SuperShare).</description> ! </Parameter> ! <Parameter name='optionType' enumeration='QuantLib::Option::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>option type</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! <Parameter name='thirdParameter' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the 3rd paramenter for the payoff definition of CashOrNothing (cash), Gap (effective strike), SuperShare (strike increment)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 136,188 ---- </Member>--> ! <Member name='qlPayoffThirdParameter' objectClass='StrikedTypePayoff'> ! <description>returns the third parameter of a StrikedType payoff.</description> ! <libraryFunction>thirdParameter</libraryFunction> ! <SupportedPlatforms> ! <Excel /> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters /> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlStrikedTypePayoff'> ! <libraryFunction>StrikedTypePayoff</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <C/> ! <Calc/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='payoffID'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payoff ID (e.g. Vanilla, PercentageStrike, AssetOrNothing, CashOrNothing, Gap, SuperShare).</description> ! </Parameter> ! <Parameter name='optionType' enumeration='QuantLib::Option::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>option type</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! <Parameter name='thirdParameter' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the 3rd paramenter for the payoff definition of CashOrNothing (cash), Gap (effective strike), SuperShare (strike increment)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** enumclasses.xml 6 Dec 2006 15:48:13 -0000 1.33 --- enumclasses.xml 11 Dec 2006 15:09:50 -0000 1.34 *************** *** 234,241 **** </EnumerationDefinition> <EnumerationDefinition> ! <string>SuperShare</string> ! <value>SUPERSHARE_Payoff</value> ! <libraryClass>QuantLib::SuperSharePayoff</libraryClass> </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> --- 234,246 ---- </EnumerationDefinition> <EnumerationDefinition> ! <string>SuperFund</string> ! <value>SUPERFUND_Payoff</value> ! <libraryClass>QuantLib::SuperFundPayoff</libraryClass> </EnumerationDefinition> + <EnumerationDefinition> + <string>SuperShare</string> + <value>SUPERSHARE_Payoff</value> + <libraryClass>QuantLib::SuperSharePayoff</libraryClass> + </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> |
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From: Marco B. <mar...@us...> - 2006-12-11 14:34:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22593/gensrc/metadata Modified Files: mathf.xml Log Message: Changed qlCovarianceDecompositionCorr to qlCovarianceDecompositionCorrelationMatrix Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** mathf.xml 11 Dec 2006 09:40:04 -0000 1.27 --- mathf.xml 11 Dec 2006 14:34:32 -0000 1.28 *************** *** 352,356 **** </Member> ! <Member name='qlCovarianceDecompositionCorr' libraryClass='CovarianceDecomposition'> <description>Returns the correlation matrix for the given CovarianceDecomposition object</description> <libraryFunction>correlationMatrix</libraryFunction> --- 352,356 ---- </Member> ! <Member name='qlCovarianceDecompositionCorrelationMatrix' libraryClass='CovarianceDecomposition'> <description>Returns the correlation matrix for the given CovarianceDecomposition object</description> <libraryFunction>correlationMatrix</libraryFunction> |
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From: Ferdinando A. <na...@us...> - 2006-12-11 14:22:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17435/gensrc/metadata Modified Files: capletvolstructure.xml cmsmarket.xml swaptionvolstructure.xml termstructures.xml Log Message: introduced EurodollarFuturesImpliedStdDevQuote Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** capletvolstructure.xml 11 Dec 2006 09:40:03 -0000 1.33 --- capletvolstructure.xml 11 Dec 2006 14:22:15 -0000 1.34 *************** *** 6,9 **** --- 6,10 ---- <include>qlo/index.hpp</include> <include>qlo/capletvolstructure.hpp</include> + <include>qlo/quotes.hpp</include> <include>ql/Volatilities/capletconstantvol.hpp</include> <include>ql/Volatilities/capstripper.hpp</include> Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** cmsmarket.xml 11 Dec 2006 09:40:03 -0000 1.20 --- cmsmarket.xml 11 Dec 2006 14:22:15 -0000 1.21 *************** *** 5,8 **** --- 5,9 ---- <includes> <include>ql/Volatilities/cmsmarket.hpp</include> + <include>qlo/quotes.hpp</include> <include>qlo/cmsmarket.hpp</include> <include>qlo/couponvectors.hpp</include> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.89 retrieving revision 1.90 diff -C2 -d -r1.89 -r1.90 *** swaptionvolstructure.xml 11 Dec 2006 09:40:04 -0000 1.89 --- swaptionvolstructure.xml 11 Dec 2006 14:22:15 -0000 1.90 *************** *** 5,8 **** --- 5,9 ---- <includes> <include>ql/Volatilities/swaptionvolcube2.hpp</include> + <include>qlo/quotes.hpp</include> <include>qlo/swaptionvolstructure.hpp</include> <include>qlo/index.hpp</include> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.53 retrieving revision 1.54 diff -C2 -d -r1.53 -r1.54 *** termstructures.xml 11 Dec 2006 09:40:04 -0000 1.53 --- termstructures.xml 11 Dec 2006 14:22:15 -0000 1.54 *************** *** 4,8 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> ! <include>ql/Quotes/simplequote.hpp</include> <include>qlo/termstructures.hpp</include> </includes> --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> ! <include>qlo/quotes.hpp</include> <include>qlo/termstructures.hpp</include> </includes> |
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From: Ferdinando A. <na...@us...> - 2006-12-11 14:22:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17435/qlo Modified Files: quotes.cpp quotes.hpp termstructures.cpp termstructures.hpp Log Message: introduced EurodollarFuturesImpliedStdDevQuote Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** termstructures.hpp 6 Dec 2006 17:48:23 -0000 1.14 --- termstructures.hpp 11 Dec 2006 14:22:15 -0000 1.15 *************** *** 100,111 **** }; - class Quote : public ObjHandler::LibraryObject<QuantLib::Quote> { - }; - - class SimpleQuote : public Quote { - public: - SimpleQuote(QuantLib::Real value); - }; - } --- 100,103 ---- Index: quotes.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** quotes.cpp 11 Dec 2006 09:40:05 -0000 1.2 --- quotes.cpp 11 Dec 2006 14:22:15 -0000 1.3 *************** *** 19,31 **** #include <qlo/quotes.hpp> - namespace QuantLibAddin { ForwardValueQuote::ForwardValueQuote( const boost::shared_ptr<QuantLib::IborIndex>& index, ! const QuantLib::Date& fixingDate){ ! libraryObject_ = boost::shared_ptr<QuantLib::ForwardValueQuote>(new ! QuantLib::ForwardValueQuote(index, fixingDate)); ! }; ImpliedStdDevQuote::ImpliedStdDevQuote( --- 19,37 ---- #include <qlo/quotes.hpp> namespace QuantLibAddin { + SimpleQuote::SimpleQuote(QuantLib::Real value) + { + libraryObject_ = boost::shared_ptr<QuantLib::Quote>(new + QuantLib::SimpleQuote(value)); + } + ForwardValueQuote::ForwardValueQuote( const boost::shared_ptr<QuantLib::IborIndex>& index, ! const QuantLib::Date& fixingDate) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Quote>(new ! QuantLib::ForwardValueQuote(index, fixingDate)); ! } ImpliedStdDevQuote::ImpliedStdDevQuote( *************** *** 35,42 **** QuantLib::Real strike, QuantLib::Real guess, ! QuantLib::Real accuracy) { ! libraryObject_ = boost::shared_ptr<QuantLib::ImpliedStdDevQuote>(new QuantLib::ImpliedStdDevQuote(optionType, forward, price, strike, guess, accuracy)); } } --- 41,63 ---- QuantLib::Real strike, QuantLib::Real guess, ! QuantLib::Real accuracy) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Quote>(new QuantLib::ImpliedStdDevQuote(optionType, forward, price, strike, guess, accuracy)); } + + EurodollarFuturesImpliedStdDevQuote::EurodollarFuturesImpliedStdDevQuote( + const QuantLib::Option::Type& optionType, + const QuantLib::Handle<QuantLib::Quote>& forward, + const QuantLib::Handle<QuantLib::Quote>& price, + QuantLib::Real strike, + QuantLib::Real guess, + QuantLib::Real accuracy) + { + libraryObject_ = boost::shared_ptr<QuantLib::Quote>(new + QuantLib::EurodollarFuturesImpliedStdDevQuote(optionType, + forward, price, strike, guess, accuracy)); + } + } Index: quotes.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** quotes.hpp 11 Dec 2006 09:40:05 -0000 1.2 --- quotes.hpp 11 Dec 2006 14:22:15 -0000 1.3 *************** *** 24,37 **** #include <ql/Quotes/derivedquote.hpp> ! ! namespace QuantLibAddin { class ForwardValueQuote : public Quote { public: ! ForwardValueQuote( ! const boost::shared_ptr<QuantLib::IborIndex>& index, ! const QuantLib::Date& fixingDate); }; --- 24,40 ---- #include <ql/Quotes/derivedquote.hpp> + namespace QuantLibAddin { + class Quote : public ObjHandler::LibraryObject<QuantLib::Quote> {}; ! class SimpleQuote : public Quote { ! public: ! SimpleQuote(QuantLib::Real value); ! }; class ForwardValueQuote : public Quote { public: ! ForwardValueQuote(const boost::shared_ptr<QuantLib::IborIndex>&, ! const QuantLib::Date& fixingDate); }; *************** *** 46,49 **** --- 49,62 ---- }; + class EurodollarFuturesImpliedStdDevQuote : public Quote { + public: + EurodollarFuturesImpliedStdDevQuote( + const QuantLib::Option::Type& optionType, + const QuantLib::Handle<QuantLib::Quote>& forward, + const QuantLib::Handle<QuantLib::Quote>& price, + QuantLib::Real strike, + QuantLib::Real guess, + QuantLib::Real accuracy); + }; } Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** termstructures.cpp 3 Oct 2006 17:24:58 -0000 1.18 --- termstructures.cpp 11 Dec 2006 14:22:15 -0000 1.19 *************** *** 151,158 **** } - SimpleQuote::SimpleQuote(QuantLib::Real value) { - libraryObject_ = boost::shared_ptr<QuantLib::Quote>( - new QuantLib::SimpleQuote(value)); - } - } --- 151,153 ---- |
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17391/qlo Modified Files: assetswap.cpp assetswap.hpp bonds.cpp bonds.hpp capfloor.cpp capfloor.hpp capletvolstructure.cpp capletvolstructure.hpp couponvectors.cpp couponvectors.hpp forwardrateagreement.cpp forwardrateagreement.hpp index.cpp index.hpp quotes.cpp quotes.hpp ratehelpers.cpp ratehelpers.hpp vanillaswap.cpp vanillaswap.hpp Log Message: 1) RENAMED many functions!!! 2) moving abcd into Volatilities folder 3) renaming ImpliedStdevQuote into ImpliedStdDevQuote 4) deprecating SwapIndex::fixedLegFrequency in favor of SwapIndex::fixedLegTenor 5) renamed Xibor as IborIndex Index: assetswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/assetswap.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** assetswap.hpp 31 Aug 2006 17:06:25 -0000 1.3 --- assetswap.hpp 11 Dec 2006 09:40:04 -0000 1.4 *************** *** 29,33 **** const QuantLib::Real bondCleanPrice, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Spread spread, const QuantLib::DayCounter& floatingDayCount, --- 29,33 ---- const QuantLib::Real bondCleanPrice, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Spread spread, const QuantLib::DayCounter& floatingDayCount, Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** couponvectors.hpp 5 Dec 2006 10:20:21 -0000 1.32 --- couponvectors.hpp 11 Dec 2006 09:40:04 -0000 1.33 *************** *** 69,73 **** const std::vector<double>& nominals, const std::vector<QuantLib::Real>& gearings, ! const boost::shared_ptr<QuantLib::Xibor>& index, const std::vector<QuantLib::Spread>& spreads); }; --- 69,73 ---- const std::vector<double>& nominals, const std::vector<QuantLib::Real>& gearings, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const std::vector<QuantLib::Spread>& spreads); }; Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** couponvectors.cpp 24 Nov 2006 09:17:24 -0000 1.43 --- couponvectors.cpp 11 Dec 2006 09:40:04 -0000 1.44 *************** *** 85,89 **** const std::vector<double>& nominals, const std::vector<QuantLib::Real>& gearings, ! const boost::shared_ptr<QuantLib::Xibor>& index, const std::vector<QuantLib::Spread>& spreads) { cashFlowVector_ = --- 85,89 ---- const std::vector<double>& nominals, const std::vector<QuantLib::Real>& gearings, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const std::vector<QuantLib::Spread>& spreads) { cashFlowVector_ = Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** index.cpp 2 Nov 2006 08:35:31 -0000 1.17 --- index.cpp 11 Dec 2006 09:40:04 -0000 1.18 *************** *** 28,32 **** namespace QuantLibAddin { ! Xibor::Xibor(const std::string& indexName, const QuantLib::Period& p, const long fixingDays, --- 28,32 ---- namespace QuantLibAddin { ! IborIndex::IborIndex(const std::string& indexName, const QuantLib::Period& p, const long fixingDays, *************** *** 39,47 **** { libraryObject_ = boost::shared_ptr<QuantLib::Index>(new ! QuantLib::Xibor(indexName, ! p, ! fixingDays, crr, calendar, ! fltBDC, endOfMonth, fltDayCounter, ! hYTS)); } --- 39,47 ---- { libraryObject_ = boost::shared_ptr<QuantLib::Index>(new ! QuantLib::IborIndex(indexName, ! p, ! fixingDays, crr, calendar, ! fltBDC, endOfMonth, fltDayCounter, ! hYTS)); } *************** *** 51,63 **** QuantLib::Currency& crr, const QuantLib::Calendar& calendar, ! QuantLib::Frequency fixedLegFreq, QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index) { libraryObject_ = boost::shared_ptr<QuantLib::Index>(new QuantLib::SwapIndex(familyName, p, fixingDays, crr, calendar, ! fixedLegFreq, fixedLegBDC, fixedLegDayCounter, index)); } --- 51,63 ---- QuantLib::Currency& crr, const QuantLib::Calendar& calendar, ! const QuantLib::Period& fixedLegTenor, QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::IborIndex>& index) { libraryObject_ = boost::shared_ptr<QuantLib::Index>(new QuantLib::SwapIndex(familyName, p, fixingDays, crr, calendar, ! fixedLegTenor, fixedLegBDC, fixedLegDayCounter, index)); } Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** capfloor.cpp 25 Oct 2006 09:42:47 -0000 1.12 --- capfloor.cpp 11 Dec 2006 09:40:04 -0000 1.13 *************** *** 42,46 **** CapFloor::CapFloor(QuantLib::CapFloor::Type capFloorType, const QuantLib::Period& capFloorTenor, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Rate strike, const QuantLib::Period& forwardStart, --- 42,46 ---- CapFloor::CapFloor(QuantLib::CapFloor::Type capFloorType, const QuantLib::Period& capFloorTenor, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Rate strike, const QuantLib::Period& forwardStart, Index: assetswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/assetswap.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** assetswap.cpp 31 Aug 2006 15:44:02 -0000 1.2 --- assetswap.cpp 11 Dec 2006 09:40:04 -0000 1.3 *************** *** 30,34 **** const QuantLib::Real bondCleanPrice, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Spread spread, const QuantLib::DayCounter& floatingDayCount, --- 30,34 ---- const QuantLib::Real bondCleanPrice, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Spread spread, const QuantLib::DayCounter& floatingDayCount, Index: capletvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** capletvolstructure.cpp 5 Dec 2006 10:20:20 -0000 1.9 --- capletvolstructure.cpp 11 Dec 2006 09:40:04 -0000 1.10 *************** *** 39,43 **** const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, --- 39,43 ---- const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, *************** *** 56,60 **** const std::vector<QuantLib::Rate>& strikes, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, --- 56,60 ---- const std::vector<QuantLib::Rate>& strikes, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** vanillaswap.hpp 24 Oct 2006 13:07:26 -0000 1.15 --- vanillaswap.hpp 11 Dec 2006 09:40:05 -0000 1.16 *************** *** 34,38 **** const QuantLib::DayCounter& fixDayCounter, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Spread spread, const QuantLib::DayCounter& floatDayCounter, --- 34,38 ---- const QuantLib::DayCounter& fixDayCounter, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Spread spread, const QuantLib::DayCounter& floatDayCounter, *************** *** 40,44 **** VanillaSwap( const QuantLib::Period& swapTenor, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Rate fixedRate, const QuantLib::Period& forwardStart); --- 40,44 ---- VanillaSwap( const QuantLib::Period& swapTenor, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Rate fixedRate, const QuantLib::Period& forwardStart); Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** vanillaswap.cpp 25 Oct 2006 09:42:47 -0000 1.13 --- vanillaswap.cpp 11 Dec 2006 09:40:05 -0000 1.14 *************** *** 37,41 **** const QuantLib::DayCounter& fixDayCounter, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Spread spread, const QuantLib::DayCounter& floatDayCounter, --- 37,41 ---- const QuantLib::DayCounter& fixDayCounter, const boost::shared_ptr<QuantLib::Schedule>& floatSchedule, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Spread spread, const QuantLib::DayCounter& floatDayCounter, *************** *** 57,61 **** VanillaSwap::VanillaSwap( const QuantLib::Period& swapTenor, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Rate fixedRate, const QuantLib::Period& forwardStart) { --- 57,61 ---- VanillaSwap::VanillaSwap( const QuantLib::Period& swapTenor, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Rate fixedRate, const QuantLib::Period& forwardStart) { Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** bonds.hpp 28 Sep 2006 15:57:07 -0000 1.11 --- bonds.hpp 11 Dec 2006 09:40:04 -0000 1.12 *************** *** 24,28 **** #include <qlo/baseinstruments.hpp> #include <qlo/index.hpp> ! #include <ql/Indexes/xibor.hpp> namespace QuantLibAddin { --- 24,28 ---- #include <qlo/baseinstruments.hpp> #include <qlo/index.hpp> ! #include <ql/Indexes/iborindex.hpp> namespace QuantLibAddin { *************** *** 76,80 **** const QuantLib::Date& maturityDate, QuantLib::Integer settlementDays, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Integer fixingDays, const std::vector<QuantLib::Real>& gearings, --- 76,80 ---- const QuantLib::Date& maturityDate, QuantLib::Integer settlementDays, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Integer fixingDays, const std::vector<QuantLib::Real>& gearings, Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** capfloor.hpp 25 Oct 2006 09:42:47 -0000 1.11 --- capfloor.hpp 11 Dec 2006 09:40:04 -0000 1.12 *************** *** 35,39 **** CapFloor(QuantLib::CapFloor::Type capFloorType, const QuantLib::Period& capFloorTenor, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Rate strike, const QuantLib::Period& forwardStart, --- 35,39 ---- CapFloor(QuantLib::CapFloor::Type capFloorType, const QuantLib::Period& capFloorTenor, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Rate strike, const QuantLib::Period& forwardStart, Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** index.hpp 31 Oct 2006 11:54:17 -0000 1.14 --- index.hpp 11 Dec 2006 09:40:04 -0000 1.15 *************** *** 23,27 **** #include <oh/objhandler.hpp> ! #include <ql/Indexes/xibor.hpp> #include <ql/handle.hpp> #include <ql/yieldtermstructure.hpp> --- 23,27 ---- #include <oh/objhandler.hpp> ! #include <ql/Indexes/iborindex.hpp> #include <ql/handle.hpp> #include <ql/yieldtermstructure.hpp> *************** *** 33,39 **** class InterestRateIndex : public Index {}; ! class Xibor : public InterestRateIndex { public: ! Xibor(const std::string& indexName, const QuantLib::Period& p, const long fixingDays, --- 33,39 ---- class InterestRateIndex : public Index {}; ! class IborIndex : public InterestRateIndex { public: ! IborIndex(const std::string& indexName, const QuantLib::Period& p, const long fixingDays, *************** *** 53,60 **** QuantLib::Currency& crr, const QuantLib::Calendar& calendar, ! QuantLib::Frequency fixedLegFreq, QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index); }; --- 53,60 ---- QuantLib::Currency& crr, const QuantLib::Calendar& calendar, ! const QuantLib::Period& fixedLegTenor, QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::IborIndex>& index); }; Index: quotes.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quotes.cpp 7 Dec 2006 13:09:17 -0000 1.1 --- quotes.cpp 11 Dec 2006 09:40:05 -0000 1.2 *************** *** 23,27 **** ForwardValueQuote::ForwardValueQuote( ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Date& fixingDate){ libraryObject_ = boost::shared_ptr<QuantLib::ForwardValueQuote>(new --- 23,27 ---- ForwardValueQuote::ForwardValueQuote( ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Date& fixingDate){ libraryObject_ = boost::shared_ptr<QuantLib::ForwardValueQuote>(new *************** *** 29,41 **** }; ! ImpliedStdevQuote::ImpliedStdevQuote(const QuantLib::Option::Type& optionType, ! const QuantLib::Handle<QuantLib::Quote>& forward, ! const QuantLib::Handle<QuantLib::Quote>& price, ! QuantLib::Real strike, ! QuantLib::Real guess, ! QuantLib::Real accuracy){ ! libraryObject_ = boost::shared_ptr<QuantLib::ImpliedStdevQuote>(new ! QuantLib::ImpliedStdevQuote(optionType, forward, price, strike, ! guess,accuracy)); } } --- 29,42 ---- }; ! ImpliedStdDevQuote::ImpliedStdDevQuote( ! const QuantLib::Option::Type& optionType, ! const QuantLib::Handle<QuantLib::Quote>& forward, ! const QuantLib::Handle<QuantLib::Quote>& price, ! QuantLib::Real strike, ! QuantLib::Real guess, ! QuantLib::Real accuracy) { ! libraryObject_ = boost::shared_ptr<QuantLib::ImpliedStdDevQuote>(new ! QuantLib::ImpliedStdDevQuote(optionType, forward, price, strike, ! guess, accuracy)); } } Index: capletvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** capletvolstructure.hpp 6 Dec 2006 18:25:20 -0000 1.10 --- capletvolstructure.hpp 11 Dec 2006 09:40:04 -0000 1.11 *************** *** 40,44 **** const std::vector<QuantLib::Rate>& strikes, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, --- 40,44 ---- const std::vector<QuantLib::Rate>& strikes, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, *************** *** 49,53 **** const std::vector<QuantLib::Rate>& strikes, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, --- 49,53 ---- const std::vector<QuantLib::Rate>& strikes, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, const QuantLib::DayCounter& dayCounter, Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** bonds.cpp 28 Sep 2006 15:57:07 -0000 1.11 --- bonds.cpp 11 Dec 2006 09:40:04 -0000 1.12 *************** *** 110,114 **** const QuantLib::Date& maturityDate, QuantLib::Integer settlementDays, ! const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Integer fixingDays, const std::vector<QuantLib::Spread>& gearings, --- 110,114 ---- const QuantLib::Date& maturityDate, QuantLib::Integer settlementDays, ! const boost::shared_ptr<QuantLib::IborIndex>& index, QuantLib::Integer fixingDays, const std::vector<QuantLib::Spread>& gearings, Index: quotes.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quotes.hpp 7 Dec 2006 13:09:18 -0000 1.1 --- quotes.hpp 11 Dec 2006 09:40:05 -0000 1.2 *************** *** 19,26 **** #define qla_quotes_hpp #include <oh/object.hpp> #include <qlo/termstructures.hpp> #include <ql/Quotes/derivedquote.hpp> - #include <qlo/index.hpp> --- 19,26 ---- #define qla_quotes_hpp + #include <qlo/index.hpp> #include <oh/object.hpp> #include <qlo/termstructures.hpp> #include <ql/Quotes/derivedquote.hpp> *************** *** 30,46 **** class ForwardValueQuote : public Quote { ! public: ! ForwardValueQuote(const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Date& fixingDate); }; ! class ImpliedStdevQuote : public Quote { ! public: ! ImpliedStdevQuote(const QuantLib::Option::Type& optionType, ! const QuantLib::Handle<QuantLib::Quote>& forward, ! const QuantLib::Handle<QuantLib::Quote>& price, ! QuantLib::Real strike, ! QuantLib::Real guess, ! QuantLib::Real accuracy = 1.0e-6); }; --- 30,47 ---- class ForwardValueQuote : public Quote { ! public: ! ForwardValueQuote( ! const boost::shared_ptr<QuantLib::IborIndex>& index, ! const QuantLib::Date& fixingDate); }; ! class ImpliedStdDevQuote : public Quote { ! public: ! ImpliedStdDevQuote(const QuantLib::Option::Type& optionType, ! const QuantLib::Handle<QuantLib::Quote>& forward, ! const QuantLib::Handle<QuantLib::Quote>& price, ! QuantLib::Real strike, ! QuantLib::Real guess, ! QuantLib::Real accuracy); }; Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** ratehelpers.hpp 11 Oct 2006 11:46:32 -0000 1.6 --- ratehelpers.hpp 11 Dec 2006 09:40:05 -0000 1.7 *************** *** 22,26 **** #define qla_ratehelpers_hpp ! #include <ql/Indexes/xibor.hpp> #include <ql/TermStructures/ratehelpers.hpp> --- 22,26 ---- #define qla_ratehelpers_hpp ! #include <ql/Indexes/iborindex.hpp> #include <ql/TermStructures/ratehelpers.hpp> *************** *** 70,74 **** const QuantLib::BusinessDayConvention& fixedConvention, const QuantLib::DayCounter& fixedDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index); }; --- 70,74 ---- const QuantLib::BusinessDayConvention& fixedConvention, const QuantLib::DayCounter& fixedDayCounter, ! const boost::shared_ptr<QuantLib::IborIndex>& index); }; Index: forwardrateagreement.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** forwardrateagreement.hpp 5 Dec 2006 10:20:21 -0000 1.9 --- forwardrateagreement.hpp 11 Dec 2006 09:40:04 -0000 1.10 *************** *** 35,39 **** QuantLib::Rate strike, double notional, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); }; --- 35,39 ---- QuantLib::Rate strike, double notional, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); }; Index: forwardrateagreement.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** forwardrateagreement.cpp 5 Dec 2006 10:20:21 -0000 1.8 --- forwardrateagreement.cpp 11 Dec 2006 09:40:04 -0000 1.9 *************** *** 33,37 **** QuantLib::Rate strike, double notional, ! const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { --- 33,37 ---- QuantLib::Rate strike, double notional, ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** ratehelpers.cpp 2 Nov 2006 08:35:31 -0000 1.11 --- ratehelpers.cpp 11 Dec 2006 09:40:05 -0000 1.12 *************** *** 82,86 **** const QuantLib::BusinessDayConvention& fixedConvention, const QuantLib::DayCounter& fixedDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index) { quoteHandle_ = quote; --- 82,86 ---- const QuantLib::BusinessDayConvention& fixedConvention, const QuantLib::DayCounter& fixedDayCounter, ! const boost::shared_ptr<QuantLib::IborIndex>& index) { quoteHandle_ = quote; |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17391/gensrc/metadata Modified Files: assetswap.xml bonds.xml calendar.xml capfloor.xml capletvolstructure.xml cmsmarket.xml couponvectors.xml date.xml forwardrateagreement.xml index.xml instruments.xml interpolation.xml mathf.xml ohfunctions.xml optimization.xml payoffs.xml pricingengines.xml quotes.xml ratehelpers.xml schedule.xml sequencestatistics.xml statistics.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml utilities.xml vanillaswap.xml Log Message: 1) RENAMED many functions!!! 2) moving abcd into Volatilities folder 3) renaming ImpliedStdevQuote into ImpliedStdDevQuote 4) deprecating SwapIndex::fixedLegFrequency in favor of SwapIndex::fixedLegTenor 5) renamed Xibor as IborIndex Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** vanillaswap.xml 22 Nov 2006 13:34:14 -0000 1.35 --- vanillaswap.xml 11 Dec 2006 09:40:04 -0000 1.36 *************** *** 51,58 **** <description>floating leg schedule object ID</description> </Parameter> ! <Parameter name='index' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg Xibor index object ID</description> </Parameter> <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> --- 51,58 ---- <description>floating leg schedule object ID</description> </Parameter> ! <Parameter name='index' libraryClass='IborIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg IborIndex index object ID</description> </Parameter> <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> *************** *** 87,94 **** <description>swap tenor period</description> </Parameter> ! <Parameter name='index' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating Xibor index object ID</description> </Parameter> <Parameter name='fixedRate' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'> --- 87,94 ---- <description>swap tenor period</description> </Parameter> ! <Parameter name='index' libraryClass='IborIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating IborIndex index object ID</description> </Parameter> <Parameter name='fixedRate' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'> *************** *** 112,116 **** <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>returns the BPS of the fixed rate leg</description> <libraryFunction>fixedLegBPS</libraryFunction> <SupportedPlatforms> --- 112,116 ---- <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>returns the BPS of the fixed rate leg for the given VanillaSwap object</description> <libraryFunction>fixedLegBPS</libraryFunction> <SupportedPlatforms> *************** *** 127,131 **** <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>returns the NPV of the fixed rate leg</description> <libraryFunction>fixedLegNPV</libraryFunction> <SupportedPlatforms> --- 127,131 ---- <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>returns the NPV of the fixed rate leg for the given VanillaSwap object</description> <libraryFunction>fixedLegNPV</libraryFunction> <SupportedPlatforms> *************** *** 142,146 **** <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>returns the fair fixed rate which would zero the swap NPV</description> <libraryFunction>fairRate</libraryFunction> <SupportedPlatforms> --- 142,146 ---- <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>returns the fair fixed rate which would zero the swap NPV for the given VanillaSwap object</description> <libraryFunction>fairRate</libraryFunction> <SupportedPlatforms> *************** *** 157,161 **** <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> ! <description>returns the BPS of the floating rate leg</description> <libraryFunction>floatingLegBPS</libraryFunction> <SupportedPlatforms> --- 157,161 ---- <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> ! <description>returns the BPS of the floating rate leg for the given VanillaSwap object</description> <libraryFunction>floatingLegBPS</libraryFunction> <SupportedPlatforms> *************** *** 172,176 **** <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>returns the NPV of the floating rate leg</description> <libraryFunction>floatingLegNPV</libraryFunction> <SupportedPlatforms> --- 172,176 ---- <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>returns the NPV of the floating rate leg for the given VanillaSwap object</description> <libraryFunction>floatingLegNPV</libraryFunction> <SupportedPlatforms> *************** *** 187,191 **** <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>returns the fair spread over the floating rate which would zero the swap NPV</description> <libraryFunction>fairSpread</libraryFunction> <SupportedPlatforms> --- 187,191 ---- <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>returns the fair spread over the floating rate which would zero the swap NPV for the given VanillaSwap object</description> <libraryFunction>fairSpread</libraryFunction> <SupportedPlatforms> *************** *** 202,206 **** <Member name='qlVanillaSwapFixedRate' libraryClass='VanillaSwap'> ! <description>returns the fixed rate</description> <libraryFunction>fixedRate</libraryFunction> <SupportedPlatforms> --- 202,206 ---- <Member name='qlVanillaSwapFixedRate' libraryClass='VanillaSwap'> ! <description>returns the fixed rate for the given VanillaSwap object</description> <libraryFunction>fixedRate</libraryFunction> <SupportedPlatforms> *************** *** 217,221 **** <Member name='qlVanillaSwapSpread' libraryClass='VanillaSwap'> ! <description>returns the spread over floating rate</description> <libraryFunction>spread</libraryFunction> <SupportedPlatforms> --- 217,221 ---- <Member name='qlVanillaSwapSpread' libraryClass='VanillaSwap'> ! <description>returns the spread over floating rate for the given VanillaSwap object</description> <libraryFunction>spread</libraryFunction> <SupportedPlatforms> *************** *** 232,236 **** <Member name='qlVanillaSwapNominal' libraryClass='VanillaSwap'> ! <description>returns the swap nominal</description> <libraryFunction>nominal</libraryFunction> <SupportedPlatforms> --- 232,236 ---- <Member name='qlVanillaSwapNominal' libraryClass='VanillaSwap'> ! <description>returns the swap nominal for the given VanillaSwap object</description> <libraryFunction>nominal</libraryFunction> <SupportedPlatforms> *************** *** 247,251 **** <Member name='qlVanillaSwapType' libraryClass='VanillaSwap'> ! <description>returns the swap type (Payer or Receiver)</description> <libraryFunction>type</libraryFunction> <SupportedPlatforms> --- 247,251 ---- <Member name='qlVanillaSwapType' libraryClass='VanillaSwap'> ! <description>returns the swap type (Payer or Receiver) of the given VanillaSwap object</description> <libraryFunction>type</libraryFunction> <SupportedPlatforms> *************** *** 262,266 **** <Member name='qlVanillaSwapFixedLegAnalysis' objectClass='VanillaSwap'> ! <description>returns the fixed rate leg cash flow analysis</description> <libraryFunction>fixedLegAnalysis</libraryFunction> <SupportedPlatforms> --- 262,266 ---- <Member name='qlVanillaSwapFixedLegAnalysis' objectClass='VanillaSwap'> ! <description>returns the fixed rate leg cash flow analysis of the given VanillaSwap object</description> <libraryFunction>fixedLegAnalysis</libraryFunction> <SupportedPlatforms> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** ratehelpers.xml 22 Nov 2006 13:34:14 -0000 1.35 --- ratehelpers.xml 11 Dec 2006 09:40:04 -0000 1.36 *************** *** 17,21 **** <Member name='qlEarliestDate' libraryClass='RateHelper'> ! <description>retrieve a RateHelper's earliest date</description> <libraryFunction>earliestDate</libraryFunction> <SupportedPlatforms> --- 17,21 ---- <Member name='qlEarliestDate' libraryClass='RateHelper'> ! <description>returns the earliest date for the given RateHelper object</description> <libraryFunction>earliestDate</libraryFunction> <SupportedPlatforms> *************** *** 32,36 **** <Member name='qlLatestDate' libraryClass='RateHelper'> ! <description>retrieve a RateHelper's latest date</description> <libraryFunction>latestDate</libraryFunction> <SupportedPlatforms> --- 32,36 ---- <Member name='qlLatestDate' libraryClass='RateHelper'> ! <description>returns the latest date for the given RateHelper object</description> <libraryFunction>latestDate</libraryFunction> <SupportedPlatforms> *************** *** 47,51 **** <Member name='qlReferenceQuote' libraryClass='RateHelper'> ! <description>retrieve a RateHelper's reference quote</description> <libraryFunction>referenceQuote</libraryFunction> <SupportedPlatforms> --- 47,51 ---- <Member name='qlReferenceQuote' libraryClass='RateHelper'> ! <description>returns the reference quote for the given RateHelper object</description> <libraryFunction>referenceQuote</libraryFunction> <SupportedPlatforms> *************** *** 145,149 **** <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="index" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 145,149 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="index" libraryClass='IborIndex'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 155,159 **** <Member name='qlConvexityAdjustment' libraryClass='FuturesRateHelper'> ! <description>get convexity adjustment of existing FuturesRateHelper object</description> <libraryFunction>convexityAdjustment</libraryFunction> <SupportedPlatforms> --- 155,159 ---- <Member name='qlConvexityAdjustment' libraryClass='FuturesRateHelper'> ! <description>returns the convexity adjustment for the given FuturesRateHelper object</description> <libraryFunction>convexityAdjustment</libraryFunction> <SupportedPlatforms> *************** *** 216,220 **** <Procedure name='qlRateHelperSelection'> ! <description>select rate helpers for bootstrapping</description> <SupportedPlatforms> <Excel/> --- 216,220 ---- <Procedure name='qlRateHelperSelection'> ! <description>selects rate helpers for bootstrapping</description> <SupportedPlatforms> <Excel/> Index: assetswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/assetswap.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** assetswap.xml 29 Nov 2006 16:14:40 -0000 1.16 --- assetswap.xml 11 Dec 2006 09:40:03 -0000 1.17 *************** *** 41,45 **** <description>floating leg schedule object ID</description> </Parameter> ! <Parameter name='index' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 41,45 ---- <description>floating leg schedule object ID</description> </Parameter> ! <Parameter name='index' libraryClass='IborIndex'> <type>string</type> <tensorRank>scalar</tensorRank> Index: statistics.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/statistics.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** statistics.xml 26 Oct 2006 08:49:29 -0000 1.8 --- statistics.xml 11 Dec 2006 09:40:04 -0000 1.9 *************** *** 13,17 **** <Member name='qlStatisticsSamples' libraryClass='Statistics'> ! <description>Returns the number of samples collected</description> <libraryFunction>samples</libraryFunction> <SupportedPlatforms> --- 13,17 ---- <Member name='qlStatisticsSamples' libraryClass='Statistics'> ! <description>Returns the number of samples collected for the given Statistics object</description> <libraryFunction>samples</libraryFunction> <SupportedPlatforms> *************** *** 28,32 **** <Member name='qlStatisticsWeightSum' libraryClass='Statistics'> ! <description>Returns the sum of data weights</description> <libraryFunction>weightSum</libraryFunction> <SupportedPlatforms> --- 28,32 ---- <Member name='qlStatisticsWeightSum' libraryClass='Statistics'> ! <description>Returns the sum of data weights for the given Statistics object</description> <libraryFunction>weightSum</libraryFunction> <SupportedPlatforms> *************** *** 43,47 **** <Member name='qlStatisticsMean' libraryClass='Statistics'> ! <description>Returns the mean</description> <libraryFunction>mean</libraryFunction> <SupportedPlatforms> --- 43,47 ---- <Member name='qlStatisticsMean' libraryClass='Statistics'> ! <description>Returns the mean for the given Statistics object</description> <libraryFunction>mean</libraryFunction> <SupportedPlatforms> *************** *** 58,62 **** <Member name='qlStatisticsVariance' libraryClass='Statistics'> ! <description>Returns the variance</description> <libraryFunction>variance</libraryFunction> <SupportedPlatforms> --- 58,62 ---- <Member name='qlStatisticsVariance' libraryClass='Statistics'> ! <description>Returns the variance for the given Statistics object</description> <libraryFunction>variance</libraryFunction> <SupportedPlatforms> *************** *** 73,77 **** <Member name='qlStatisticsStandardDeviation' libraryClass='Statistics'> ! <description>Returns the the standard deviation</description> <libraryFunction>standardDeviation</libraryFunction> <SupportedPlatforms> --- 73,77 ---- <Member name='qlStatisticsStandardDeviation' libraryClass='Statistics'> ! <description>Returns the the standard deviation for the given Statistics object</description> <libraryFunction>standardDeviation</libraryFunction> <SupportedPlatforms> *************** *** 88,92 **** <Member name='qlStatisticsErrorEstimate' libraryClass='Statistics'> ! <description>Returns the error estimate on the mean value</description> <libraryFunction>errorEstimate</libraryFunction> <SupportedPlatforms> --- 88,92 ---- <Member name='qlStatisticsErrorEstimate' libraryClass='Statistics'> ! <description>Returns the error estimate on the mean value for the given Statistics object</description> <libraryFunction>errorEstimate</libraryFunction> <SupportedPlatforms> *************** *** 103,107 **** <Member name='qlStatisticsSkewness' libraryClass='Statistics'> ! <description>Returns the skewness</description> <libraryFunction>skewness</libraryFunction> <SupportedPlatforms> --- 103,107 ---- <Member name='qlStatisticsSkewness' libraryClass='Statistics'> ! <description>Returns the skewness for the given Statistics object</description> <libraryFunction>skewness</libraryFunction> <SupportedPlatforms> *************** *** 118,122 **** <Member name='qlStatisticsKurtosis' libraryClass='Statistics'> ! <description>Returns the excess kurtosis</description> <libraryFunction>kurtosis</libraryFunction> <SupportedPlatforms> --- 118,122 ---- <Member name='qlStatisticsKurtosis' libraryClass='Statistics'> ! <description>Returns the excess kurtosis for the given Statistics object</description> <libraryFunction>kurtosis</libraryFunction> <SupportedPlatforms> *************** *** 133,137 **** <Member name='qlStatisticsMin' libraryClass='Statistics'> ! <description>Returns the minimum sample value</description> <libraryFunction>min</libraryFunction> <SupportedPlatforms> --- 133,137 ---- <Member name='qlStatisticsMin' libraryClass='Statistics'> ! <description>Returns the minimum sample value for the given Statistics object</description> <libraryFunction>min</libraryFunction> <SupportedPlatforms> *************** *** 148,152 **** <Member name='qlStatisticsMax' libraryClass='Statistics'> ! <description>Returns the maximum sample value</description> <libraryFunction>max</libraryFunction> <SupportedPlatforms> --- 148,152 ---- <Member name='qlStatisticsMax' libraryClass='Statistics'> ! <description>Returns the maximum sample value for the given Statistics object</description> <libraryFunction>max</libraryFunction> <SupportedPlatforms> *************** *** 163,167 **** <Member name='qlStatisticsPercentile' libraryClass='Statistics'> ! <description>Returns the x-th percentile</description> <libraryFunction>percentile</libraryFunction> <SupportedPlatforms> --- 163,167 ---- <Member name='qlStatisticsPercentile' libraryClass='Statistics'> ! <description>Returns the x-th percentile for the given Statistics object</description> <libraryFunction>percentile</libraryFunction> <SupportedPlatforms> *************** *** 184,188 **** <Member name='qlStatisticsTopPercentile' libraryClass='Statistics'> ! <description>Returns the x-th top percentile.</description> <libraryFunction>topPercentile</libraryFunction> <SupportedPlatforms> --- 184,188 ---- <Member name='qlStatisticsTopPercentile' libraryClass='Statistics'> ! <description>Returns the x-th top percentile for the given Statistics object.</description> <libraryFunction>topPercentile</libraryFunction> <SupportedPlatforms> *************** *** 207,211 **** <Member name='qlStatisticsGaussianDownsideVariance' libraryClass='Statistics'> ! <description>Returns the variance of observations below 0.0 .</description> <libraryFunction>gaussianDownsideVariance</libraryFunction> <SupportedPlatforms> --- 207,211 ---- <Member name='qlStatisticsGaussianDownsideVariance' libraryClass='Statistics'> ! <description>Returns the variance of observations below zero for the given Statistics object.</description> <libraryFunction>gaussianDownsideVariance</libraryFunction> <SupportedPlatforms> *************** *** 222,226 **** <Member name='qlStatisticsGaussianDownsideDeviation' libraryClass='Statistics'> ! <description>Returns the square root of the downside variance.</description> <libraryFunction>gaussianDownsideDeviation</libraryFunction> <SupportedPlatforms> --- 222,226 ---- <Member name='qlStatisticsGaussianDownsideDeviation' libraryClass='Statistics'> ! <description>Returns the square root of the downside variance for the given Statistics object.</description> <libraryFunction>gaussianDownsideDeviation</libraryFunction> <SupportedPlatforms> *************** *** 237,241 **** <Member name='qlStatisticsGaussianRegret' libraryClass='Statistics'> ! <description>Returns the variance of observations below the target.</description> <libraryFunction>gaussianRegret</libraryFunction> <SupportedPlatforms> --- 237,241 ---- <Member name='qlStatisticsGaussianRegret' libraryClass='Statistics'> ! <description>Returns the variance of observations below the target for the given Statistics object.</description> <libraryFunction>gaussianRegret</libraryFunction> <SupportedPlatforms> *************** *** 258,262 **** <Member name='qlStatisticsGaussianPercentile' libraryClass='Statistics'> ! <description>Returns the x-th percentile.</description> <libraryFunction>gaussianPercentile</libraryFunction> <SupportedPlatforms> --- 258,262 ---- <Member name='qlStatisticsGaussianPercentile' libraryClass='Statistics'> ! <description>Returns the x-th percentile for the given Statistics object.</description> <libraryFunction>gaussianPercentile</libraryFunction> <SupportedPlatforms> *************** *** 279,283 **** <Member name='qlStatisticsGaussianTopPercentile' libraryClass='Statistics'> ! <description>Returns the x-th top percentile.</description> <libraryFunction>gaussianTopPercentile</libraryFunction> <SupportedPlatforms> --- 279,283 ---- <Member name='qlStatisticsGaussianTopPercentile' libraryClass='Statistics'> ! <description>Returns the x-th top percentile for the given Statistics object.</description> <libraryFunction>gaussianTopPercentile</libraryFunction> <SupportedPlatforms> *************** *** 300,304 **** <Member name='qlStatisticsGaussianPotentialUpside' libraryClass='Statistics'> ! <description>Returns the reciprocal of VAR at a given percentile.</description> <libraryFunction>gaussianPotentialUpside</libraryFunction> <SupportedPlatforms> --- 300,304 ---- <Member name='qlStatisticsGaussianPotentialUpside' libraryClass='Statistics'> ! <description>Returns the reciprocal of VAR at a given percentile for the given Statistics object.</description> <libraryFunction>gaussianPotentialUpside</libraryFunction> <SupportedPlatforms> *************** *** 321,325 **** <Member name='qlStatisticsGaussianValueAtRisk' libraryClass='Statistics'> ! <description>Returns the value-at-risk at a given percentile.</description> <libraryFunction>gaussianValueAtRisk</libraryFunction> <SupportedPlatforms> --- 321,325 ---- <Member name='qlStatisticsGaussianValueAtRisk' libraryClass='Statistics'> ! <description>Returns the value-at-risk at a given percentile for the given Statistics object.</description> <libraryFunction>gaussianValueAtRisk</libraryFunction> <SupportedPlatforms> *************** *** 342,346 **** <Member name='qlStatisticsGaussianExpectedShortfall' libraryClass='Statistics'> ! <description>Returns the expected loss in case that the loss exceeded a VaR threshold.</description> <libraryFunction>gaussianExpectedShortfall</libraryFunction> <SupportedPlatforms> --- 342,346 ---- <Member name='qlStatisticsGaussianExpectedShortfall' libraryClass='Statistics'> ! <description>Returns the expected loss in case that the loss exceeded a VaR threshold for the given Statistics object.</description> <libraryFunction>gaussianExpectedShortfall</libraryFunction> <SupportedPlatforms> *************** *** 363,367 **** <Member name='qlStatisticsGaussianShortfall' libraryClass='Statistics'> ! <description>Returns the probability of missing the given target.</description> <libraryFunction>gaussianShortfall</libraryFunction> <SupportedPlatforms> --- 363,367 ---- <Member name='qlStatisticsGaussianShortfall' libraryClass='Statistics'> ! <description>Returns the probability of missing the given target for the given Statistics object.</description> <libraryFunction>gaussianShortfall</libraryFunction> <SupportedPlatforms> *************** *** 384,388 **** <Member name='qlStatisticsGaussianAverageShortfall' libraryClass='Statistics'> ! <description>Returns the averaged shortfallness.</description> <libraryFunction>gaussianAverageShortfall</libraryFunction> <SupportedPlatforms> --- 384,388 ---- <Member name='qlStatisticsGaussianAverageShortfall' libraryClass='Statistics'> ! <description>Returns the averaged shortfallness for the given Statistics object.</description> <libraryFunction>gaussianAverageShortfall</libraryFunction> <SupportedPlatforms> *************** *** 407,411 **** <Member name='qlStatisticsSemiVariance' libraryClass='Statistics'> ! <description>Returns the variance of observations below the mean.</description> <libraryFunction>semiVariance</libraryFunction> <SupportedPlatforms> --- 407,411 ---- <Member name='qlStatisticsSemiVariance' libraryClass='Statistics'> ! <description>Returns the variance of observations below the mean for the given Statistics object.</description> <libraryFunction>semiVariance</libraryFunction> <SupportedPlatforms> *************** *** 422,426 **** <Member name='qlStatisticsSemiDeviation' libraryClass='Statistics'> ! <description>Returns the square root of the semivariance.</description> <libraryFunction>semiDeviation</libraryFunction> <SupportedPlatforms> --- 422,426 ---- <Member name='qlStatisticsSemiDeviation' libraryClass='Statistics'> ! <description>Returns the square root of the semivariance for the given Statistics object.</description> <libraryFunction>semiDeviation</libraryFunction> <SupportedPlatforms> *************** *** 437,441 **** <Member name='qlStatisticsDownsideVariance' libraryClass='Statistics'> ! <description>Returns the variance of observations below 0.0 .</description> <libraryFunction>downsideVariance</libraryFunction> <SupportedPlatforms> --- 437,441 ---- <Member name='qlStatisticsDownsideVariance' libraryClass='Statistics'> ! <description>Returns the variance of observations below zero for the given Statistics object.</description> <libraryFunction>downsideVariance</libraryFunction> <SupportedPlatforms> *************** *** 452,456 **** <Member name='qlStatisticsDownsideDeviation' libraryClass='Statistics'> ! <description>Returns the square root of the downside variance.</description> <libraryFunction>downsideDeviation</libraryFunction> <SupportedPlatforms> --- 452,456 ---- <Member name='qlStatisticsDownsideDeviation' libraryClass='Statistics'> ! <description>Returns the square root of the downside variance for the given Statistics object.</description> <libraryFunction>downsideDeviation</libraryFunction> <SupportedPlatforms> *************** *** 467,471 **** <Member name='qlStatisticsRegret' libraryClass='Statistics'> ! <description>Returns the variance of observations below target.</description> <libraryFunction>regret</libraryFunction> <SupportedPlatforms> --- 467,471 ---- <Member name='qlStatisticsRegret' libraryClass='Statistics'> ! <description>Returns the variance of observations below target for the given Statistics object.</description> <libraryFunction>regret</libraryFunction> <SupportedPlatforms> *************** *** 488,492 **** <Member name='qlStatisticsPotentialUpside' libraryClass='Statistics'> ! <description>Returns the reciprocal of VAR at a given percentile.</description> <libraryFunction>potentialUpside</libraryFunction> <SupportedPlatforms> --- 488,492 ---- <Member name='qlStatisticsPotentialUpside' libraryClass='Statistics'> ! <description>Returns the reciprocal of VAR at a given percentile for the given Statistics object.</description> <libraryFunction>potentialUpside</libraryFunction> <SupportedPlatforms> *************** *** 509,513 **** <Member name='qlStatisticsValueAtRisk' libraryClass='Statistics'> ! <description>Returns the value-at-risk at a given percentile.</description> <libraryFunction>valueAtRisk</libraryFunction> <SupportedPlatforms> --- 509,513 ---- <Member name='qlStatisticsValueAtRisk' libraryClass='Statistics'> ! <description>Returns the value-at-risk at a given percentile for the given Statistics object.</description> <libraryFunction>valueAtRisk</libraryFunction> <SupportedPlatforms> *************** *** 530,534 **** <Member name='qlStatisticsExpectedShortfall' libraryClass='Statistics'> ! <description>Returns the expected loss in case that the loss exceeded a VaR threshold.</description> <libraryFunction>expectedShortfall</libraryFunction> <SupportedPlatforms> --- 530,534 ---- <Member name='qlStatisticsExpectedShortfall' libraryClass='Statistics'> ! <description>Returns the expected loss in case that the loss exceeded a VaR threshold for the given Statistics object.</description> <libraryFunction>expectedShortfall</libraryFunction> <SupportedPlatforms> *************** *** 551,555 **** <Member name='qlStatisticsShortfall' libraryClass='Statistics'> ! <description>Returns the probability of missing the given target.</description> <libraryFunction>shortfall</libraryFunction> <SupportedPlatforms> --- 551,555 ---- <Member name='qlStatisticsShortfall' libraryClass='Statistics'> ! <description>Returns the probability of missing the given target for the given Statistics object.</description> <libraryFunction>shortfall</libraryFunction> <SupportedPlatforms> *************** *** 572,576 **** <Member name='qlStatisticsAverageShortfall' libraryClass='Statistics'> ! <description>Returns the averaged shortfallness.</description> <libraryFunction>averageShortfall</libraryFunction> <SupportedPlatforms> --- 572,576 ---- <Member name='qlStatisticsAverageShortfall' libraryClass='Statistics'> ! <description>Returns the averaged shortfallness for the given Statistics object.</description> <libraryFunction>averageShortfall</libraryFunction> <SupportedPlatforms> *************** *** 622,626 **** <Procedure name='qlGaussianDownsideVariance'> ! <description>Returns the variance of observations below 0.0 .</description> <alias>QuantLibAddin::gaussianDownsideVariance</alias> <SupportedPlatforms> --- 622,626 ---- <Procedure name='qlGaussianDownsideVariance'> ! <description>Returns the variance of observations below zero.</description> <alias>QuantLibAddin::gaussianDownsideVariance</alias> <SupportedPlatforms> Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** payoffs.xml 13 Nov 2006 09:44:31 -0000 1.10 --- payoffs.xml 11 Dec 2006 09:40:04 -0000 1.11 *************** *** 11,15 **** <Member name='qlPayoffType' libraryClass='Payoff'> ! <description>returns the payoff type (e.g. Vanilla, PercentageStrike, AssetOrNothing, CashOrNothing, Gap, SuperShare).</description> <libraryFunction>type</libraryFunction> <SupportedPlatforms> --- 11,15 ---- <Member name='qlPayoffType' libraryClass='Payoff'> ! <description>returns the type (e.g. Vanilla, CashOrNothing, etc.) for the given Payoff object.</description> <libraryFunction>type</libraryFunction> <SupportedPlatforms> *************** *** 26,30 **** <Member name='qlPayoffDescription' libraryClass='Payoff'> ! <description>returns the payoff description (e.g. CashOrNothing, strike 32.2, cash payoff 2.5).</description> <libraryFunction>description</libraryFunction> <SupportedPlatforms> --- 26,30 ---- <Member name='qlPayoffDescription' libraryClass='Payoff'> ! <description>returns the description (e.g. CashOrNothing, strike 32.2, cash payoff 2.5) for the given Payoff object.</description> <libraryFunction>description</libraryFunction> <SupportedPlatforms> *************** *** 41,45 **** <Member name='qlPayoffValue' libraryClass='Payoff'> ! <description>returns the payoff value given an underlying reference level.</description> <libraryFunction>operator()</libraryFunction> <SupportedPlatforms> --- 41,45 ---- <Member name='qlPayoffValue' libraryClass='Payoff'> ! <description>returns the payoff value given an underlying reference level for the given Payoff object.</description> <libraryFunction>operator()</libraryFunction> <SupportedPlatforms> *************** *** 62,66 **** <Member name='qlPayoffOptionType' libraryClass='TypePayoff'> ! <description>returns the payoff option type (e.g. Call, Put).</description> <libraryFunction>optionType</libraryFunction> <SupportedPlatforms> --- 62,66 ---- <Member name='qlPayoffOptionType' libraryClass='TypePayoff'> ! <description>returns the option-type (e.g. Call, Put) for the given Payoff object.</description> <libraryFunction>optionType</libraryFunction> <SupportedPlatforms> *************** *** 77,81 **** <Member name='qlPayoffStrike' libraryClass='StrikedTypePayoff'> ! <description>returns the payoff strike.</description> <libraryFunction>strike</libraryFunction> <SupportedPlatforms> --- 77,81 ---- <Member name='qlPayoffStrike' libraryClass='StrikedTypePayoff'> ! <description>returns the strike for the given Payoff object.</description> <libraryFunction>strike</libraryFunction> <SupportedPlatforms> *************** *** 92,96 **** <!--<Member name='qlPayoffCashPayoff' libraryClass='CashOrNothingPayoff'> ! <description>returns the cash payoff of CashOrNothing payoff.</description> <libraryFunction>cashPayoff</libraryFunction> <SupportedPlatforms> --- 92,96 ---- <!--<Member name='qlPayoffCashPayoff' libraryClass='CashOrNothingPayoff'> ! <description>returns the cash payoff of the given CashOrNothingPayoff object.</description> <libraryFunction>cashPayoff</libraryFunction> <SupportedPlatforms> *************** *** 107,111 **** <Member name='qlPayoffStrikePayoff' libraryClass='GapPayoff'> ! <description>returns the strike payoff of Gap payoff.</description> <libraryFunction>strikePayoff</libraryFunction> <SupportedPlatforms> --- 107,111 ---- <Member name='qlPayoffStrikePayoff' libraryClass='GapPayoff'> ! <description>returns the strike payoff of the given GapPayoff object.</description> <libraryFunction>strikePayoff</libraryFunction> <SupportedPlatforms> *************** *** 122,126 **** <Member name='qlPayoffStrikeIncrement' libraryClass='SuperSharePayoff'> ! <description>returns the strike increment of SuperShare payoff.</description> <libraryFunction>strikeIncrement</libraryFunction> <SupportedPlatforms> --- 122,126 ---- <Member name='qlPayoffStrikeIncrement' libraryClass='SuperSharePayoff'> ! <description>returns the strike increment of the given SuperSharePayoff object.</description> <libraryFunction>strikeIncrement</libraryFunction> <SupportedPlatforms> *************** *** 137,141 **** <Member name='qlPayoffThirdParameter' objectClass='StrikedTypePayoff'> ! <description>returns the third parametet of a StrikedType payoff.</description> <libraryFunction>thirdParameter</libraryFunction> <SupportedPlatforms> --- 137,141 ---- <Member name='qlPayoffThirdParameter' objectClass='StrikedTypePayoff'> ! <description>returns the third parametet of teh given StrikedTypePayoff object.</description> <libraryFunction>thirdParameter</libraryFunction> <SupportedPlatforms> *************** *** 151,155 **** </Member> ! <Constructor name='qlPayoff'> <libraryFunction>StrikedTypePayoff</libraryFunction> <SupportedPlatforms> --- 151,155 ---- </Member> ! <Constructor name='qlStrikedTypePayoff'> <libraryFunction>StrikedTypePayoff</libraryFunction> <SupportedPlatforms> Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.50 retrieving revision 1.51 diff -C2 -d -r1.50 -r1.51 *** index.xml 28 Nov 2006 19:52:22 -0000 1.50 --- index.xml 11 Dec 2006 09:40:03 -0000 1.51 *************** *** 18,22 **** <Member name='qlIndexName' libraryClass='Index'> ! <description>retrive the name for the given Index object</description> <libraryFunction>name</libraryFunction> <SupportedPlatforms> --- 18,22 ---- <Member name='qlIndexName' libraryClass='Index'> ! <description>Returns the name for the given Index object</description> <libraryFunction>name</libraryFunction> <SupportedPlatforms> *************** *** 33,37 **** <Member name='qlIndexIsValidFixingDate' libraryClass='Index' loopParameter='fixingDate'> ! <description>Returns TRUE if the fixing date is a valid one</description> <libraryFunction>isValidFixingDate</libraryFunction> <SupportedPlatforms> --- 33,37 ---- <Member name='qlIndexIsValidFixingDate' libraryClass='Index' loopParameter='fixingDate'> ! <description>Returns TRUE if the fixing date is a valid one for the given Index object</description> <libraryFunction>isValidFixingDate</libraryFunction> <SupportedPlatforms> *************** *** 80,84 **** <Member name='qlIndexAddFixings' libraryClass='Index'> ! <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> <SupportedPlatforms> --- 80,84 ---- <Member name='qlIndexAddFixings' libraryClass='Index'> ! <description>Adds fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> <SupportedPlatforms> *************** *** 108,112 **** <Member name='qlInterestRateIndexFamilyName' libraryClass='InterestRateIndex'> ! <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> <SupportedPlatforms> --- 108,112 ---- <Member name='qlInterestRateIndexFamilyName' libraryClass='InterestRateIndex'> ! <description>Returns the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> <SupportedPlatforms> *************** *** 123,127 **** <Member name='qlInterestRateIndexTenor' libraryClass='InterestRateIndex'> ! <description>retrieve the tenor for the given Index (e.g. 6m)</description> <libraryFunction>tenor</libraryFunction> <SupportedPlatforms> --- 123,127 ---- <Member name='qlInterestRateIndexTenor' libraryClass='InterestRateIndex'> ! <description>Returns the tenor (i.e. length) for the given Index (e.g. 6M, 10Y)</description> <libraryFunction>tenor</libraryFunction> <SupportedPlatforms> *************** *** 138,142 **** <Member name='qlInterestRateIndexSettlementDays' libraryClass='InterestRateIndex'> ! <description>retrieve the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> <SupportedPlatforms> --- 138,142 ---- <Member name='qlInterestRateIndexSettlementDays' libraryClass='InterestRateIndex'> ! <description>Returns the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> <SupportedPlatforms> *************** *** 153,157 **** <Member name='qlInterestRateIndexCurrency' libraryClass='InterestRateIndex'> ! <description>retrieve the currency for the given Index (e.g. EUR)</description> <libraryFunction>currency</libraryFunction> <SupportedPlatforms> --- 153,157 ---- <Member name='qlInterestRateIndexCurrency' libraryClass='InterestRateIndex'> ! <description>Returns the currency for the given Index object (e.g. EUR)</description> <libraryFunction>currency</libraryFunction> <SupportedPlatforms> *************** *** 168,172 **** <Member name='qlInterestRateIndexCalendar' libraryClass='InterestRateIndex'> ! <description>retrieve the calendar for the given Index (e.g. TARGET)</description> <libraryFunction>calendar</libraryFunction> <SupportedPlatforms> --- 168,172 ---- <Member name='qlInterestRateIndexCalendar' libraryClass='InterestRateIndex'> ! <description>Returns the calendar for the given Index object (e.g. TARGET)</description> <libraryFunction>calendar</libraryFunction> <SupportedPlatforms> *************** *** 183,187 **** <Member name='qlInterestRateIndexDayCounter' libraryClass='InterestRateIndex'> ! <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> <libraryFunction>dayCounter</libraryFunction> <SupportedPlatforms> --- 183,187 ---- <Member name='qlInterestRateIndexDayCounter' libraryClass='InterestRateIndex'> ! <description>Returns the DayCounter for the given Index object (e.g. Actual/360)</description> <libraryFunction>dayCounter</libraryFunction> <SupportedPlatforms> *************** *** 198,202 **** <Member name='qlInterestRateIndexForecastFixing' libraryClass='InterestRateIndex' loopParameter='fixingDate'> ! <description>Returns the forecasted fixing for the given Index object. The fixing is forecasted even if avaible in the actual one is available in the time series.</description> <libraryFunction>forecastFixing</libraryFunction> <SupportedPlatforms> --- 198,202 ---- <Member name='qlInterestRateIndexForecastFixing' libraryClass='InterestRateIndex' loopParameter='fixingDate'> ! <description>Returns the forecasted fixing for the given Index object. Today's fixing is forecasted even if the actual one is available in the time series.</description> <libraryFunction>forecastFixing</libraryFunction> <SupportedPlatforms> *************** *** 219,223 **** <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex' loopParameter='fixingDate'> ! <description>retrieve the value date for Index object</description> <libraryFunction>valueDate</libraryFunction> <SupportedPlatforms> --- 219,223 ---- <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex' loopParameter='fixingDate'> ! <description>Returns the value date for the given fixing date for the given Index object</description> <libraryFunction>valueDate</libraryFunction> <SupportedPlatforms> *************** *** 240,244 **** <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex' loopParameter='valueDate'> ! <description>retrieve the maturity date for Index object</description> <libraryFunction>maturityDate</libraryFunction> <SupportedPlatforms> --- 240,244 ---- <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex' loopParameter='valueDate'> ! <description>Returns the maturity date for the given value date for the given Index object</description> <libraryFunction>maturityDate</libraryFunction> <SupportedPlatforms> *************** *** 260,282 **** </Member> ! <!-- Xibor interface --> ! ! <Member name='qlXiborIndexIsAdjusted' libraryClass='Xibor'> ! <description>returns TRUE if business day convention is of type adjusted and FALSE otherwise.</description> ! <libraryFunction>isAdjusted</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlXiborIndexBusinessDayConv' libraryClass='Xibor'> ! <description>retrieve the business day convention for the given Index (e.g. Modified Following)</description> <libraryFunction>businessDayConvention</libraryFunction> <SupportedPlatforms> --- 260,267 ---- </Member> ! <!-- IborIndex interface --> ! <Member name='qlIborIndexBusinessDayConv' libraryClass='IborIndex'> ! <description>Returns the business day convention for the given IborIndex object (e.g. Modified Following)</description> <libraryFunction>businessDayConvention</libraryFunction> <SupportedPlatforms> *************** *** 292,297 **** </Member> ! <Member name='qlXiborIndexEndOfMonth' libraryClass='Xibor'> ! <description>Returns TRUE if the index follow the 'end of month' convention</description> <libraryFunction>endOfMonth</libraryFunction> <SupportedPlatforms> --- 277,282 ---- </Member> ! <Member name='qlIborIndexEndOfMonth' libraryClass='IborIndex'> ! <description>Returns TRUE if the given IborIndex object follows the 'end of month' convention</description> <libraryFunction>endOfMonth</libraryFunction> <SupportedPlatforms> *************** *** 307,312 **** </Member> ! <!--<Member name='qlIndexTermStructure' libraryClass='Xibor'> ! <description>retrieve the term structure for the given Index (e.g. EURYC)</description> <libraryFunction>termStructure</libraryFunction> <SupportedPlatforms> --- 292,297 ---- </Member> ! <!--<Member name='qlIborIndexTermStructure' libraryClass='IborIndex'> ! <description>Returns the term structure for the given IborIndex (e.g. EURYC)</description> <libraryFunction>termStructure</libraryFunction> <SupportedPlatforms> *************** *** 322,329 **** </Member>--> ! <!-- Xibor constructor --> ! <Constructor name='qlXibor'> ! <libraryFunction>Xibor</libraryFunction> <SupportedPlatforms> <Excel/> --- 307,314 ---- </Member>--> ! <!-- IborIndex constructor --> ! <Constructor name='qlIborIndex'> ! <libraryFunction>IborIndex</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 331,335 **** <ParameterList> <Parameters> ! <Parameter name='FamilyName'> <type>string</type> <tensorRank>scalar</tensorRank> --- 316,320 ---- <ParameterList> <Parameters> ! <Parameter name='familyName'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 383,387 **** <Procedure name='qlSetEuriborTermStructure'> ! <description>set the yield term structure which is linked to by the handle shared by all enumerated Euribor objects</description> <alias>QuantLibAddin::EuriborHandle::instance().linkEuriborHandle</alias> <SupportedPlatforms> --- 368,372 ---- <Procedure name='qlSetEuriborTermStructure'> ! <description>Sets the yield term structure which is linked to by the handle shared by all enumerated Euribor objects</description> <alias>QuantLibAddin::EuriborHandle::instance().linkEuriborHandle</alias> <SupportedPlatforms> *************** *** 405,411 **** <!-- SwapIndex interface --> ! <Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> ! <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> ! <libraryFunction>fixedLegFrequency</libraryFunction> <SupportedPlatforms> <Excel/> --- 390,396 ---- <!-- SwapIndex interface --> ! <Member name='qlSwapIndexFixedLegTenor' libraryClass='SwapIndex'> ! <description>Returns the fixed leg tenor for the given SwapIndex object (e.g. 1Y)</description> ! <libraryFunction>fixedLegTenor</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 414,418 **** <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> --- 399,403 ---- <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 421,425 **** <Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> ! <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> <libraryFunction>fixedLegConvention</libraryFunction> <SupportedPlatforms> --- 406,410 ---- <Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> ! <description>Returns the business day convention for the given SwapIndex object (e.g. Modified Following)</description> <libraryFunction>fixedLegConvention</libraryFunction> <SupportedPlatforms> *************** *** 436,440 **** <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> ! <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> <libraryFunction>iborIndex</libraryFunction> <SupportedPlatforms> --- 421,425 ---- <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> ! <description>Returns the underlying IborIndex for the given SwapIndex object (e.g. EURIBOR6M)</description> <libraryFunction>iborIndex</libraryFunction> <SupportedPlatforms> *************** *** 463,467 **** <ParameterList> <Parameters> ! <Parameter name='FamilyName'> <type>string</type> <tensorRank>scalar</tensorRank> --- 448,452 ---- <ParameterList> <Parameters> ! <Parameter name='familyName'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 488,495 **** <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='fixedLegFrequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency of the underlying swap's fixed leg (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> <Parameter name='fixedLegBDC' enumeration='QuantLib::BusinessDayConvention'> --- 473,480 ---- <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='fixedLegTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>tenor of the underlying swap's fixed leg (e.g. 6M, 1Y, 3M)</description> </Parameter> <Parameter name='fixedLegBDC' enumeration='QuantLib::BusinessDayConvention'> *************** *** 503,510 **** <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> </Parameter> ! <Parameter name='index' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap's floating index object ID</description> </Parameter> </Parameters> --- 488,495 ---- <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> </Parameter> ! <Parameter name='index' libraryClass='IborIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap's floating ibor index object ID</description> </Parameter> </Parameters> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** bonds.xml 22 Nov 2006 13:34:14 -0000 1.42 --- bonds.xml 11 Dec 2006 09:40:03 -0000 1.43 *************** *** 21,25 **** <Member name='qlBondFlowAnalysis' objectClass='Bond'> ! <description>Cash flow analysis.</description> <libraryFunction>flowAnalysis</libraryFunction> <SupportedPlatforms> --- 21,25 ---- <Member name='qlBondFlowAnalysis' objectClass='Bond'> ! <description>Returns the bond cash flow analysis.</description> <libraryFunction>flowAnalysis</libraryFunction> <SupportedPlatforms> *************** *** 51,55 **** <Member name='qlBondFirstCouponDate' libraryClass='Bond'> ! <description>Retrieves the first coupon date of the bond.</description> <libraryFunction>firstCouponDate</libraryFunction> <SupportedPlatforms> --- 51,55 ---- <Member name='qlBondFirstCouponDate' libraryClass='Bond'> ! <description>Returns the first coupon date of the bond.</description> <libraryFunction>firstCouponDate</libraryFunction> <SupportedPlatforms> *************** *** 66,70 **** <Member name='qlBondMaturityDate' libraryClass='Bond'> ! <description>Retrieves the maturity date of the bond.</description> <libraryFunction>maturityDate</libraryFunction> <SupportedPlatforms> --- 66,70 ---- <Member name='qlBondMaturityDate' libraryClass='Bond'> ! <description>Returns the maturity date of the bond.</description> <libraryFunction>maturityDate</libraryFunction> <SupportedPlatforms> *************** *** 96,100 **** <Member name='qlBondAccrualBDC' libraryClass='Bond'> ! <description>Retrieves the accrual business day convention for the given Bond, e.g. Unadjusted.</description> <libraryFunction>accrualConvention</libraryFunction> <SupportedPlatforms> --- 96,100 ---- <Member name='qlBondAccrualBDC' libraryClass='Bond'> ! <description>Returns the accrual business day convention for the given Bond, e.g. Unadjusted.</description> <libraryFunction>accrualConvention</libraryFunction> <SupportedPlatforms> *************** *** 111,115 **** <Member name='qlBondPaymentBDC' libraryClass='Bond'> ! <description>Retrieves the accrual business day convention for the given Bond, e.g. Unadjusted.</description> <libraryFunction>paymentConvention</libraryFunction> <SupportedPlatforms> --- 111,115 ---- <Member name='qlBondPaymentBDC' libraryClass='Bond'> ! <description>Returns the accrual business day convention for the given Bond, e.g. Unadjusted.</description> <libraryFunction>paymentConvention</libraryFunction> <SupportedPlatforms> *************** *** 125,130 **** </Member> ! <Member name='qlBondDayCount' libraryClass='Bond'> ! <description>Retrieves the day count fraction for the given Bond, e.g. Act/Act.</description> <libraryFunction>dayCounter</libraryFunction> <SupportedPlatforms> --- 125,130 ---- </Member> ! <Member name='qlBondDayCounter' libraryClass='Bond'> ! <description>Returns the DayCounter convention for the given Bond, e.g. Actual360.</description> <libraryFunction>dayCounter</libraryFunction> <SupportedPlatforms> *************** *** 141,145 **** <Member name='qlBondFrequency' libraryClass='Bond'> ! <description>Retrieves the frequency for the given Bond, e.g. Annual.</description> <libraryFunction>frequency</libraryFunction> <SupportedPlatforms> --- 141,145 ---- <Member name='qlBondFrequency' libraryClass='Bond'> ! <description>Returns the frequency for the given Bond, e.g. Annual.</description> <libraryFunction>frequency</libraryFunction> <SupportedPlatforms> *************** *** 155,160 **** </Member> ! <Member name='qlBondThCleanPrice' libraryClass='Bond'> ! <description>Theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <SupportedPlatforms> --- 155,160 ---- </Member> ! <Member name='qlBondCleanPrice' libraryClass='Bond'> ! <description>Returns the clean price for the given bond. The default bond settlement date is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <SupportedPlatforms> *************** *** 170,175 **** </Member> ! <Member name='qlBondThDirtyPrice' libraryClass='Bond'> ! <description>Theoretical dirty price. The default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <SupportedPlatforms> --- 170,175 ---- </Member> ! <Member name='qlBondDirtyPrice' libraryClass='Bond'> ! <description>Returns the dirty price for the given bond. The default bond settlement date is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <SupportedPlatforms> *************** *** 185,190 **** </Member> ! <Member name='qlBondThYield' libraryClass='Bond'> ! <description>Theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> <SupportedPlatforms> --- 185,190 ---- </Member> ! <Member name='qlBondYield' libraryClass='Bond'> ! <description>Returns the yield for the given bond. The default bond settlement date is used for calculation.</description> <libraryFunction>yield</libraryFunction> <SupportedPlatforms> *************** *** 206,211 **** </Member> ! <Member name='qlBondCleanPrice' libraryClass='Bond'> ! <description>Clean price given a yield and settlement date. The default bond settlement is used if no date is given.</description> <libraryFunction>cleanPrice</libraryFunction> <SupportedPlatforms> --- 206,212 ---- </Member> ! <!--<Member name='qlBondCleanPrice2' libraryClass='Bond' loopParameter='yield'>--> ! <!--<Member name='qlBondCleanPrice2' libraryClass='Bond'> ! <description>Returns the clean price for the given bond corresponding to the given yield and settlement date. The default bond settlement is used if no... [truncated message content] |
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From: Ferdinando A. <na...@us...> - 2006-12-11 09:40:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17391 Modified Files: todonando.txt Log Message: 1) RENAMED many functions!!! 2) moving abcd into Volatilities folder 3) renaming ImpliedStdevQuote into ImpliedStdDevQuote 4) deprecating SwapIndex::fixedLegFrequency in favor of SwapIndex::fixedLegTenor 5) renamed Xibor as IborIndex Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.62 retrieving revision 1.63 diff -C2 -d -r1.62 -r1.63 *** todonando.txt 5 Dec 2006 10:20:22 -0000 1.62 --- todonando.txt 11 Dec 2006 09:40:05 -0000 1.63 *************** *** 1,2 **** --- 1,6 ---- + + coerce from Frequency to Period + conv bias implied quote + - GREEKS - from LMM -> QL::INSTRUMENT -> EXCEL |
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From: Francois du V. <fd...@us...> - 2006-12-07 13:09:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23039/metadata Added Files: quotes.xml Log Message: FowardValueQuote renamed into ForwardValueQuote ForwardValueQuote and ImpliedStdevQuote exposed to Excel --- NEW FILE: quotes.xml --- <Category name='quotes'> <description>quotes objects</description> <displayName>Quotes</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/quotes.hpp</include> </includes> <copyright> Copyright (C) 2006 Francois du Vignaud </copyright> <Functions> <!-- Quote, SimpleQuote, and HandleQuote --> <Constructor name='qlForwardValueQuote'> <libraryFunction>ForwardValueQuote</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> <Parameters> <Parameter name='index' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating index object ID</description> </Parameter> <Parameter name='fixingDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>Fixing Date</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlImpliedStdevQuote'> <libraryFunction>ImpliedStdevQuote</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> <Parameters> <Parameter name='optionType' enumeration='QuantLib::Option::Type'> <type>string</type> <tensorRank>scalar</tensorRank> <description>option type (Call or Put)</description> </Parameter> <Parameter name='forward' libToHandle='Quote'> <type>string</type> <tensorRank>scalar</tensorRank> <description>forward value of the underlying asset</description> </Parameter> <Parameter name='price' libToHandle='Quote'> <type>string</type> <tensorRank>scalar</tensorRank> <description>price of the option</description> </Parameter> <Parameter name="strike"> <type>double</type> <tensorRank>scalar</tensorRank> <description>option strike</description> </Parameter> <Parameter name="guess"> <type>double</type> <tensorRank>scalar</tensorRank> <description>iv guess</description> </Parameter> <Parameter name="accuracy"> <type>double</type> <tensorRank>scalar</tensorRank> <description>iv accuracy</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> |
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From: Francois du V. <fd...@us...> - 2006-12-07 13:09:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23039/config Modified Files: config.xml Log Message: FowardValueQuote renamed into ForwardValueQuote ForwardValueQuote and ImpliedStdevQuote exposed to Excel Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** config.xml 3 Dec 2006 11:50:23 -0000 1.38 --- config.xml 7 Dec 2006 13:09:34 -0000 1.39 *************** *** 51,54 **** --- 51,55 ---- <categoryName>vanillaswap</categoryName> <categoryName>volatilities</categoryName> + <categoryName>quotes</categoryName> </categoryNames> |
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From: Francois du V. <fd...@us...> - 2006-12-07 13:09:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22952/qlo Added Files: quotes.cpp quotes.hpp Log Message: FowardValueQuote renamed into ForwardValueQuote ForwardValueQuote and ImpliedStdevQuote exposed to Excel --- NEW FILE: quotes.cpp --- /* Copyright (C) 2006 Francois du Vignaud 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. */ #include <qlo/quotes.hpp> namespace QuantLibAddin { ForwardValueQuote::ForwardValueQuote( const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Date& fixingDate){ libraryObject_ = boost::shared_ptr<QuantLib::ForwardValueQuote>(new QuantLib::ForwardValueQuote(index, fixingDate)); }; ImpliedStdevQuote::ImpliedStdevQuote(const QuantLib::Option::Type& optionType, const QuantLib::Handle<QuantLib::Quote>& forward, const QuantLib::Handle<QuantLib::Quote>& price, QuantLib::Real strike, QuantLib::Real guess, QuantLib::Real accuracy){ libraryObject_ = boost::shared_ptr<QuantLib::ImpliedStdevQuote>(new QuantLib::ImpliedStdevQuote(optionType, forward, price, strike, guess,accuracy)); } } --- NEW FILE: quotes.hpp --- /* Copyright (C) 2006 Francois du Vignaud 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_quotes_hpp #define qla_quotes_hpp #include <oh/object.hpp> #include <qlo/termstructures.hpp> #include <ql/Quotes/derivedquote.hpp> #include <qlo/index.hpp> namespace QuantLibAddin { class ForwardValueQuote : public Quote { public: ForwardValueQuote(const boost::shared_ptr<QuantLib::Xibor>& index, const QuantLib::Date& fixingDate); }; class ImpliedStdevQuote : public Quote { public: ImpliedStdevQuote(const QuantLib::Option::Type& optionType, const QuantLib::Handle<QuantLib::Quote>& forward, const QuantLib::Handle<QuantLib::Quote>& price, QuantLib::Real strike, QuantLib::Real guess, QuantLib::Real accuracy = 1.0e-6); }; } #endif |
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From: Francois du V. <fd...@us...> - 2006-12-07 13:09:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22952/gensrc Modified Files: Makefile.vc qlgensrc.vcproj qlgensrc_vc8.vcproj Log Message: FowardValueQuote renamed into ForwardValueQuote ForwardValueQuote and ImpliedStdevQuote exposed to Excel Index: qlgensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/qlgensrc.vcproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** qlgensrc.vcproj 3 Dec 2006 11:50:23 -0000 1.3 --- qlgensrc.vcproj 7 Dec 2006 13:09:17 -0000 1.4 *************** *** 115,118 **** --- 115,121 ---- </File> <File + RelativePath=".\metadata\quotes.xml"> + </File> + <File RelativePath="metadata\randomsequencegenerator.xml"> </File> Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** Makefile.vc 1 Dec 2006 18:48:38 -0000 1.35 --- Makefile.vc 7 Dec 2006 13:09:17 -0000 1.36 *************** *** 50,54 **** metadata\volatilities.xml \ metadata\smilesection.xml \ ! CONFIG=config\config.xml \ config\excel.xml --- 50,55 ---- metadata\volatilities.xml \ metadata\smilesection.xml \ ! metadata\quotes.xml \ ! CONFIG=config\config.xml \ config\excel.xml Index: qlgensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/qlgensrc_vc8.vcproj,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** qlgensrc_vc8.vcproj 1 Dec 2006 18:48:38 -0000 1.6 --- qlgensrc_vc8.vcproj 7 Dec 2006 13:09:17 -0000 1.7 *************** *** 160,163 **** --- 160,167 ---- </File> <File + RelativePath=".\metadata\quotes.xml" + > + </File> + <File RelativePath="metadata\randomsequencegenerator.xml" > |
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From: Francois du V. <fd...@us...> - 2006-12-07 13:09:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22590 Modified Files: QuantLibObjects_vc8.vcproj Log Message: FowardValueQuote renamed into ForwardValueQuote ForwardValueQuote and ImpliedStdevQuote exposed to Excel Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.57 retrieving revision 1.58 diff -C2 -d -r1.57 -r1.58 *** QuantLibObjects_vc8.vcproj 3 Dec 2006 11:50:23 -0000 1.57 --- QuantLibObjects_vc8.vcproj 7 Dec 2006 13:08:57 -0000 1.58 *************** *** 5,8 **** --- 5,9 ---- Name="QuantLibObjects" ProjectGUID="{CAB8330C-6424-4455-9285-3654587EF71F}" + RootNamespace="QuantLibObjects" > <Platforms> *************** *** 498,501 **** --- 499,510 ---- </File> <File + RelativePath=".\qlo\ValueObjects\vo_quotes.cpp" + > + </File> + <File + RelativePath=".\qlo\ValueObjects\vo_quotes.hpp" + > + </File> + <File RelativePath=".\qlo\ValueObjects\vo_randomsequencegenerator.cpp" > *************** *** 1083,1086 **** --- 1092,1103 ---- </File> <File + RelativePath=".\qlo\quotes.cpp" + > + </File> + <File + RelativePath=".\qlo\quotes.hpp" + > + </File> + <File RelativePath="qlo\schedule.cpp" > |
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From: Francois du V. <fd...@us...> - 2006-12-07 13:08:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22519 Modified Files: QuantLibObjects.vcproj Log Message: FowardValueQuote renamed into ForwardValueQuote ForwardValueQuote and ImpliedStdevQuote exposed to Excel Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** QuantLibObjects.vcproj 3 Dec 2006 11:50:23 -0000 1.48 --- QuantLibObjects.vcproj 7 Dec 2006 13:08:46 -0000 1.49 *************** *** 462,465 **** --- 462,471 ---- </File> <File + RelativePath=".\qlo\ValueObjects\vo_quotes.cpp"> + </File> + <File + RelativePath=".\qlo\ValueObjects\vo_quotes.hpp"> + </File> + <File RelativePath=".\qlo\ValueObjects\vo_randomsequencegenerator.cpp"> </File> *************** *** 912,915 **** --- 918,927 ---- </File> <File + RelativePath=".\qlo\quotes.cpp"> + </File> + <File + RelativePath=".\qlo\quotes.hpp"> + </File> + <File RelativePath="qlo\schedule.cpp"> </File> |
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From: Marco B. <mar...@us...> - 2006-12-06 18:48:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7338/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp Log Message: Added enumerations for backwardFlat + forwardFlat linear interpolation Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** enumclassctors.cpp 6 Dec 2006 15:30:55 -0000 1.34 --- enumclassctors.cpp 6 Dec 2006 18:47:46 -0000 1.35 *************** *** 1,7 **** /* ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola This file is part of QuantLib, a free-software/open-source library --- 1,9 ---- /* ! Copyright (C) 2006 Marco Bianchetti ! Copyright (C) 2006 Giorgio Facchinetti Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola + Copyright (C) 2005 Plamen Neykov This file is part of QuantLib, a free-software/open-source library *************** *** 189,193 **** } ! /* *** Interpolation1D Linear *** */ boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { --- 191,195 ---- } ! /* *** Linear 1D Interpolation *** */ boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { *************** *** 233,236 **** --- 235,264 ---- /* *** YieldTermStructure *** */ //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::BackwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::ForwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 273,276 **** --- 301,330 ---- } //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::BackwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::ForwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 313,316 **** --- 367,396 ---- } //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::BackwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::ForwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( const long &nDays, Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** enumclassctors.hpp 6 Dec 2006 15:30:55 -0000 1.31 --- enumclassctors.hpp 6 Dec 2006 18:47:46 -0000 1.32 *************** *** 1,7 **** /* ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola This file is part of QuantLib, a free-software/open-source library --- 1,9 ---- /* ! Copyright (C) 2006 Marco Bianchetti ! Copyright (C) 2006 Giorgio Facchinetti Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola + Copyright (C) 2005 Plamen Neykov This file is part of QuantLib, a free-software/open-source library *************** *** 112,115 **** --- 114,127 ---- /* *** YieldTermStructure *** */ //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 128,131 **** --- 140,153 ---- const QuantLib::DayCounter &dayCounter); //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 144,147 **** --- 166,179 ---- const QuantLib::DayCounter &dayCounter); //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( const long &nDays, |
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From: Francois du V. <fd...@us...> - 2006-12-06 18:25:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29771 Modified Files: capletvolstructure.hpp Log Message: test code removed Index: capletvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** capletvolstructure.hpp 5 Dec 2006 10:20:20 -0000 1.9 --- capletvolstructure.hpp 6 Dec 2006 18:25:20 -0000 1.10 *************** *** 27,38 **** namespace QuantLibAddin { - inline double qltest (boost::shared_ptr<QuantLib::SmileSection> t){ - return QuantLib::test(t); - }; - - inline double qltest2(std::vector<boost::shared_ptr<QuantLib::SmileSection> > t){ - return QuantLib::test2(t); - }; - class CapletVolatilityStructure : public TermStructure {}; --- 27,30 ---- |
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From: Francois du V. <fd...@us...> - 2006-12-06 18:18:39
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26606 Modified Files: smilesection.cpp smilesection.hpp Log Message: interpolatedSmileSection takes a vector of Handle<Quote<Volatility> > instead of a vector of double Index: smilesection.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** smilesection.cpp 5 Dec 2006 10:20:21 -0000 1.5 --- smilesection.cpp 6 Dec 2006 18:18:35 -0000 1.6 *************** *** 27,37 **** InterpolatedSmileSection::InterpolatedSmileSection( ! const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& s, ! const std::vector<QuantLib::Volatility>& v, ! const QuantLib::DayCounter& dc) { ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>( ! new QuantLib::InterpolatedSmileSection<>(optionDate, s, v, dc)); } --- 27,36 ---- InterpolatedSmileSection::InterpolatedSmileSection( ! const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& s, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles, ! const QuantLib::DayCounter& dc) { libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>( ! new QuantLib::InterpolatedSmileSection<>(optionDate, s, volatilitiesHandles, dc)); } Index: smilesection.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** smilesection.hpp 5 Dec 2006 10:20:21 -0000 1.5 --- smilesection.hpp 6 Dec 2006 18:18:35 -0000 1.6 *************** *** 42,48 **** public: InterpolatedSmileSection(const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Volatility>& v, ! const QuantLib::DayCounter& dc); }; --- 42,48 ---- public: InterpolatedSmileSection(const QuantLib::Date& optionDate, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles, ! const QuantLib::DayCounter& dc); }; |
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From: Francois du V. <fd...@us...> - 2006-12-06 18:18:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26537 Modified Files: smilesection.xml Log Message: interpolatedSmileSection takes a vector of Handle<Quote<Volatility> > instead of a vector of double Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** smilesection.xml 5 Dec 2006 10:20:20 -0000 1.6 --- smilesection.xml 6 Dec 2006 18:18:22 -0000 1.7 *************** *** 1,126 **** <Category name='smilesection'> ! <description>functions to construct and use SmileSection objects</description> ! <displayName>Smile Section Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>ql/Volatilities/interpolatedsmilesection.hpp</include> ! <include>qlo/smilesection.hpp</include> ! <include>qlo/optimization.hpp</include> ! <include>ql/quote.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! <!-- SmileSection interface --> ! <Member name='qlSmileSectionVolatility' libraryClass='SmileSection'> ! <description>Returns the volatility at a given strike from the SmileSection object</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionVariance' libraryClass='SmileSection'> ! <description>Returns the variance at a given strike from the SmileSection object</description> ! <libraryFunction>variance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionExerciseDate' libraryClass='SmileSection'> ! <description>Returns the exercise date of the SmileSection object</description> ! <libraryFunction>exerciseDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionDayCounter' libraryClass='SmileSection'> ! <description>Returns the DayCounter of the SmileSection object</description> ! <libraryFunction>dayCounter</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlFlatSmileSection'> ! <libraryFunction>FlatSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='refDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>ref date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!--Constructor name='qlSabrSmileSection'> <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 1,126 ---- <Category name='smilesection'> ! <description>functions to construct and use SmileSection objects</description> ! <displayName>Smile Section Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>ql/Volatilities/interpolatedsmilesection.hpp</include> ! <include>qlo/smilesection.hpp</include> ! <include>qlo/optimization.hpp</include> ! <include>ql/quote.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! <!-- SmileSection interface --> ! <Member name='qlSmileSectionVolatility' libraryClass='SmileSection'> ! <description>Returns the volatility at a given strike from the SmileSection object</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionVariance' libraryClass='SmileSection'> ! <description>Returns the variance at a given strike from the SmileSection object</description> ! <libraryFunction>variance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionExerciseDate' libraryClass='SmileSection'> ! <description>Returns the exercise date of the SmileSection object</description> ! <libraryFunction>exerciseDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionDayCounter' libraryClass='SmileSection'> ! <description>Returns the DayCounter of the SmileSection object</description> ! <libraryFunction>dayCounter</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlFlatSmileSection'> ! <libraryFunction>FlatSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='refDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>ref date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!--Constructor name='qlSabrSmileSection'> <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 149,267 **** </Constructor--> ! <Constructor name='qlSabrSmileSection'> ! <libraryFunction>SabrSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionTime' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as time</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>cap volatilities.</description> ! </Parameter> ! <Parameter name='forward' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='method' libraryClass='OptimizationMethod'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Optimization Method</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlInterpolatedSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 149,267 ---- </Constructor--> ! <Constructor name='qlSabrSmileSection'> ! <libraryFunction>SabrSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionTime' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as time</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>volatilities.</description> ! </Parameter> ! <Parameter name='forward' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='method' libraryClass='OptimizationMethod'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Optimization Method</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlInterpolatedSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>volatilities.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> |
