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From: Francois du V. <fd...@us...> - 2006-12-01 18:48:54
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13865/metadata Modified Files: swaptionvolstructure.xml Added Files: smilesection.xml Log Message: generic interpolatedSmileSection exposed to excel new file dedicated to smile section added Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.85 retrieving revision 1.86 diff -C2 -d -r1.85 -r1.86 *** swaptionvolstructure.xml 27 Nov 2006 18:10:02 -0000 1.85 --- swaptionvolstructure.xml 1 Dec 2006 18:48:50 -0000 1.86 *************** *** 703,760 **** </ParameterList> </Constructor> - - <Constructor name='qlSmileSection'> - <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='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual/360)</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> - </Parameters> - </ParameterList> - </Constructor> - - <Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'> - <description>Return the volatility from SmileSection</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> - </Functions> </Category> --- 703,706 ---- --- NEW FILE: smilesection.xml --- <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 Francois du Vignaud </copyright> <Functions> <Constructor name='qlSmileSection'> <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='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual/360)</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> </Parameters> </ParameterList> </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>--> <Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'> <description>Return the volatility from SmileSection</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> </Functions> </Category> |
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From: Francois du V. <fd...@us...> - 2006-12-01 18:48:54
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13865/config Modified Files: config.xml Log Message: generic interpolatedSmileSection exposed to excel new file dedicated to smile section added Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** config.xml 17 Oct 2006 09:23:19 -0000 1.36 --- config.xml 1 Dec 2006 18:48:49 -0000 1.37 *************** *** 50,53 **** --- 50,54 ---- <categoryName>vanillaswap</categoryName> <categoryName>volatilities</categoryName> + <categoryName>smilesection</categoryName> </categoryNames> |
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From: Francois du V. <fd...@us...> - 2006-12-01 18:48:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13823/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Added Files: smilesection.cpp smilesection.hpp Log Message: generic interpolatedSmileSection exposed to excel new file dedicated to smile section added Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** swaptionvolstructure.cpp 24 Nov 2006 14:17:36 -0000 1.45 --- swaptionvolstructure.cpp 1 Dec 2006 18:48:38 -0000 1.46 *************** *** 235,266 **** } - - InterpolatedSmileSection::InterpolatedSmileSection( - const QuantLib::Date& optionDate, - const QuantLib::DayCounter& dc, - const std::vector<QuantLib::Rate>& s, - const std::vector<QuantLib::Volatility>& v) { - - if (s.size()==1 && v.size()==1) { - std::vector<QuantLib::Rate> strikes(2, 0.0); - strikes[1]=1.0; - std::vector<QuantLib::Volatility> vols(2, v[0]); - libraryObject_ = boost::shared_ptr< - QuantLib::SmileSectionInterface>(new - QuantLib::InterpolatedSmileSection(optionDate, - dc, - strikes, - vols)); - } else { - libraryObject_ = boost::shared_ptr< - QuantLib::SmileSectionInterface>(new - QuantLib::InterpolatedSmileSection(optionDate, - dc, - s, - v)); - } - } - - SmileSectionByCube::SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, --- 235,238 ---- Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** swaptionvolstructure.hpp 27 Nov 2006 18:10:03 -0000 1.42 --- swaptionvolstructure.hpp 1 Dec 2006 18:48:38 -0000 1.43 *************** *** 27,30 **** --- 27,32 ---- #include <ql/Volatilities/swaptionvolcubebysabr.hpp> #include <ql/Volatilities/swaptionvolmatrix.hpp> + #include <ql/Volatilities/smilesection.hpp> + #include <qlo/smilesection.hpp> #include <qlo/index.hpp> *************** *** 92,105 **** }; ! class SmileSectionInterface : public ObjHandler::LibraryObject<QuantLib::SmileSectionInterface> { ! }; ! ! class InterpolatedSmileSection : public SmileSectionInterface { ! public: ! InterpolatedSmileSection(const QuantLib::Date& optionDate, ! const QuantLib::DayCounter& dc, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Volatility>& v); ! }; class SmileSectionByCube : public SmileSectionInterface { --- 94,98 ---- }; ! class SmileSectionByCube : public SmileSectionInterface { --- NEW FILE: smilesection.cpp --- (This appears to be a binary file; contents omitted.) --- NEW FILE: smilesection.hpp --- (This appears to be a binary file; contents omitted.) |
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From: Francois du V. <fd...@us...> - 2006-12-01 18:48:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13823/gensrc Modified Files: Makefile.vc qlgensrc_vc8.vcproj Log Message: generic interpolatedSmileSection exposed to excel new file dedicated to smile section added Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** Makefile.vc 19 Nov 2006 13:08:47 -0000 1.34 --- Makefile.vc 1 Dec 2006 18:48:38 -0000 1.35 *************** *** 48,52 **** metadata\utilities.xml \ metadata\vanillaswap.xml \ ! metadata\volatilities.xml CONFIG=config\config.xml \ --- 48,53 ---- metadata\utilities.xml \ metadata\vanillaswap.xml \ ! metadata\volatilities.xml \ ! metadata\smilesection.xml \ CONFIG=config\config.xml \ Index: qlgensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/qlgensrc_vc8.vcproj,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** qlgensrc_vc8.vcproj 19 Oct 2006 15:05:40 -0000 1.5 --- qlgensrc_vc8.vcproj 1 Dec 2006 18:48:38 -0000 1.6 *************** *** 188,191 **** --- 188,195 ---- </File> <File + RelativePath=".\metadata\smilesection.xml" + > + </File> + <File RelativePath=".\metadata\statistics.xml" > |
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From: Francois du V. <fd...@us...> - 2006-12-01 18:48:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13798 Modified Files: QuantLibObjects_vc8.vcproj Log Message: generic interpolatedSmileSection exposed to excel new file dedicated to smile section added Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.55 retrieving revision 1.56 diff -C2 -d -r1.55 -r1.56 *** QuantLibObjects_vc8.vcproj 28 Nov 2006 19:54:22 -0000 1.55 --- QuantLibObjects_vc8.vcproj 1 Dec 2006 18:48:26 -0000 1.56 *************** *** 546,549 **** --- 546,557 ---- </File> <File + RelativePath=".\qlo\ValueObjects\vo_smilesection.cpp" + > + </File> + <File + RelativePath=".\qlo\ValueObjects\vo_smilesection.hpp" + > + </File> + <File RelativePath=".\qlo\ValueObjects\vo_statistics.cpp" > *************** *** 914,917 **** --- 922,933 ---- </File> <File + RelativePath=".\qlo\smilesection.cpp" + > + </File> + <File + RelativePath=".\qlo\smilesection.hpp" + > + </File> + <File RelativePath="qlo\swaptionvolstructure.cpp" > |
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From: Francois du V. <fd...@us...> - 2006-12-01 18:48:21
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13747 Modified Files: QuantLibObjects.vcproj Log Message: generic interpolatedSmileSection exposed to excel new file dedicated to smile section added Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.46 retrieving revision 1.47 diff -C2 -d -r1.46 -r1.47 *** QuantLibObjects.vcproj 28 Nov 2006 19:54:21 -0000 1.46 --- QuantLibObjects.vcproj 1 Dec 2006 18:48:15 -0000 1.47 *************** *** 766,769 **** --- 766,775 ---- </File> <File + RelativePath=".\qlo\smilesection.cpp"> + </File> + <File + RelativePath=".\qlo\smilesection.hpp"> + </File> + <File RelativePath="qlo\swaptionvolstructure.cpp"> </File> |
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From: Francois du V. <fd...@us...> - 2006-12-01 16:49:15
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25838 Modified Files: enumclassctors.hpp Log Message: comment changed Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** enumclassctors.hpp 21 Nov 2006 08:11:40 -0000 1.28 --- enumclassctors.hpp 1 Dec 2006 16:49:11 -0000 1.29 *************** *** 91,95 **** boost::shared_ptr<QuantLib::PricingEngine> TRI_Engine(const long& timeSteps); ! /* *** Interpolation *** */ boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); --- 91,95 ---- boost::shared_ptr<QuantLib::PricingEngine> TRI_Engine(const long& timeSteps); ! /* *** Linear 1D Interpolations *** */ boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); |
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From: Giorgio F. <gi...@us...> - 2006-12-01 14:33:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv806 Modified Files: todonando.txt Log Message: update Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.58 retrieving revision 1.59 diff -C2 -d -r1.58 -r1.59 *** todonando.txt 1 Dec 2006 14:29:52 -0000 1.58 --- todonando.txt 1 Dec 2006 14:33:49 -0000 1.59 *************** *** 55,61 **** - RtUpdate and FormulaArray in Reuters QuoteFeed xls D cms put-call parity in Excel (per deal) ! - SwaptionVolCube observability and lazyness D automatizzare calibrazioni ! - SwaptionVolChecks wbks Chiara --- 55,61 ---- - RtUpdate and FormulaArray in Reuters QuoteFeed xls D cms put-call parity in Excel (per deal) ! D SwaptionVolCube observability and lazyness D automatizzare calibrazioni ! D SwaptionVolChecks wbks Chiara |
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From: Marco B. <mar...@us...> - 2006-12-01 14:29:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32139 Modified Files: todonando.txt Log Message: task "Mx yield curve bootstrapping" completed Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.57 retrieving revision 1.58 diff -C2 -d -r1.57 -r1.58 *** todonando.txt 1 Dec 2006 08:49:42 -0000 1.57 --- todonando.txt 1 Dec 2006 14:29:52 -0000 1.58 *************** *** 68,72 **** Marco ! - Mx YC action D wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates - add new flag: depo only to cover First Future stub period --- 68,72 ---- Marco ! D Mx YC action D wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates - add new flag: depo only to cover First Future stub period |
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From: Cristina D. <cdu...@us...> - 2006-12-01 08:49:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1384 Modified Files: todonando.txt Log Message: D for "done" Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.56 retrieving revision 1.57 diff -C2 -d -r1.56 -r1.57 *** todonando.txt 30 Nov 2006 18:51:44 -0000 1.56 --- todonando.txt 1 Dec 2006 08:49:42 -0000 1.57 *************** *** 45,51 **** Cristina ! - dismettere qlSwap in favore di qlSwap2 - test Mx sul 29/9 ! - update schedule wbk - capped/floored floating leg coupon and bond - foglio swaption per De Nuccio / Murex --- 45,51 ---- Cristina ! D dismettere qlSwap in favore di qlSwap2 - test Mx sul 29/9 ! D update schedule wbk - capped/floored floating leg coupon and bond - foglio swaption per De Nuccio / Murex *************** *** 54,60 **** * manual import of BGM book - RtUpdate and FormulaArray in Reuters QuoteFeed xls ! - cms put-call parity in Excel (per deal) - SwaptionVolCube observability and lazyness ! - automatizzare calibrazioni - SwaptionVolChecks wbks --- 54,60 ---- * manual import of BGM book - RtUpdate and FormulaArray in Reuters QuoteFeed xls ! D cms put-call parity in Excel (per deal) - SwaptionVolCube observability and lazyness ! D automatizzare calibrazioni - SwaptionVolChecks wbks *************** *** 69,73 **** Marco - Mx YC action ! - wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates - add new flag: depo only to cover First Future stub period - drop-down menu on enumeration --- 69,73 ---- Marco - Mx YC action ! D wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates - add new flag: depo only to cover First Future stub period - drop-down menu on enumeration |
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From: Katiuscia M. <kma...@us...> - 2006-11-30 18:51:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8411 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.55 retrieving revision 1.56 diff -C2 -d -r1.55 -r1.56 *** todonando.txt 29 Nov 2006 16:13:50 -0000 1.55 --- todonando.txt 30 Nov 2006 18:51:44 -0000 1.56 *************** *** 27,36 **** - demo Munari (mergeLeg, addLeg) - EURYC->HYTSEUR, EURYC2->EURYTS, EURYCMX2->EURYTSMX ! - abcd per tenore, displacement - add abcd interpolation - test new NSIS 2.22 ! - new end of day live feed snapshot procedure + vol cube + mean rev - Launcher: Static Data checkbox - RtUpdate and FormulaArray in Reuters QuoteFeed xls François --- 27,39 ---- - demo Munari (mergeLeg, addLeg) - EURYC->HYTSEUR, EURYC2->EURYTS, EURYCMX2->EURYTSMX ! - DONE abcd for swap tenor ! - test abcd (swap tenor) with new optimization code ! - abcd for displacement - add abcd interpolation - test new NSIS 2.22 ! - new end of day live feed snapshot procedure + vol cube + mean rev + all environments - Launcher: Static Data checkbox - RtUpdate and FormulaArray in Reuters QuoteFeed xls + - DONE enhance IR derivatives workbooks (share auto-open macro + triggers) François |
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From: Ferdinando A. <na...@us...> - 2006-11-29 18:06:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27074/gensrc/metadata Modified Files: optimization.xml Log Message: 1) major (even if only partial) refactoring of the Optimization framework (LevenbergMarquardt has never been in the framework and it is not yet) 2) SABR refactoring Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** optimization.xml 26 Oct 2006 08:49:28 -0000 1.17 --- optimization.xml 29 Nov 2006 18:06:47 -0000 1.18 *************** *** 21,33 **** <ParameterList> <Parameters> ! <Parameter name='mxIterations'> <type>long</type> <tensorRank>scalar</tensorRank> <description>max number of iterations</description> </Parameter> ! <Parameter name='epsilon'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>tolerance (e.g. 1e-8)</description> </Parameter> </Parameters> --- 21,38 ---- <ParameterList> <Parameters> ! <Parameter name='mxIterations' default='1000'> <type>long</type> <tensorRank>scalar</tensorRank> <description>max number of iterations</description> </Parameter> ! <Parameter name='functionEpsilon' default='1e-8'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>tolerance on the function value (e.g. 1e-8)</description> ! </Parameter> ! <Parameter name='gradientEpsilon' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>tolerance on the function gradient (e.g. 1e-8)</description> </Parameter> </Parameters> *************** *** 56,62 **** </Member> ! <Member name='qlEndCriteriaCriteria' libraryClass='EndCriteria'> <description>Return the end criteria</description> ! <libraryFunction>criteria</libraryFunction> <SupportedPlatforms> <Excel/> --- 61,67 ---- </Member> ! <Member name='qlEndCriteriaType' libraryClass='EndCriteria'> <description>Return the end criteria</description> ! <libraryFunction>type</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 71,74 **** --- 76,124 ---- </Member> + <Member name='qlEndCriteriaMaxIteration' libraryClass='EndCriteria'> + <description>Return the max interation</description> + <libraryFunction>maxIteration</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Size'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEndCriteriaFunctionEpsilon' libraryClass='EndCriteria'> + <description>Return the function epsilon</description> + <libraryFunction>functionEpsilon</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEndCriteriaGradientEpsilon' libraryClass='EndCriteria'> + <description>Return the function epsilon</description> + <libraryFunction>gradientEpsilon</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <!-- OptimizationMethod base class interface --> *************** *** 117,122 **** <!-- OptimizationMethod derived classes' constructors --> ! <Constructor name='qlConjugateGradient'> ! <libraryFunction>ConjugateGradient</libraryFunction> <SupportedPlatforms> <Excel/> --- 167,172 ---- <!-- OptimizationMethod derived classes' constructors --> ! <Constructor name='qlSimplex'> ! <libraryFunction>Simplex</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 124,131 **** <ParameterList> <Parameters> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> </Parameter> <Parameter name="initialValue" libraryType='QuantLib::Array'> --- 174,181 ---- <ParameterList> <Parameters> ! <Parameter name="lambda"> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>lambda</description> </Parameter> <Parameter name="initialValue" libraryType='QuantLib::Array'> *************** *** 134,141 **** <description>initial value (i.e. initial guess)</description> </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>LineSearch object ID</description> </Parameter> </Parameters> --- 184,191 ---- <description>initial value (i.e. initial guess)</description> </Parameter> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> </Parameter> </Parameters> *************** *** 149,158 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> ! <Constructor name='qlSimplex'> ! <libraryFunction>Simplex</libraryFunction> <SupportedPlatforms> <Excel/> --- 199,244 ---- </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name="epsfcn" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>epsfcn</description> ! </Parameter> ! <Parameter name="ftol" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>ftol</description> ! </Parameter> ! <Parameter name="xtol" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>xtol</description> ! </Parameter> ! <Parameter name="gtol" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>gtol</description> ! </Parameter> ! <Parameter name="maxfev" libraryType="QuantLib::Size" defaul="400"> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maxfev</description> ! </Parameter> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>initial value (i.e. initial guess)</description> ! </Parameter> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlConjugateGradient'> ! <libraryFunction>ConjugateGradient</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 160,172 **** <ParameterList> <Parameters> ! <Parameter name="lambda"> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>lambda</description> </Parameter> ! <Parameter name="tol"> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>tol</description> </Parameter> </Parameters> --- 246,263 ---- <ParameterList> <Parameters> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> <type>double</type> + <tensorRank>vector</tensorRank> + <description>initial value (i.e. initial guess)</description> + </Parameter> + <Parameter name="endCriteria" underlyingClass='EndCriteria'> + <type>string</type> <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch' default='""'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>LineSearch object ID</description> </Parameter> </Parameters> *************** *** 180,184 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> --- 271,291 ---- </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>initial value (i.e. initial guess)</description> ! </Parameter> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> ! </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch' default='""'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>LineSearch object ID</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> |
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From: Ferdinando A. <na...@us...> - 2006-11-29 18:06:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27074/qlo Modified Files: optimization.cpp optimization.hpp Log Message: 1) major (even if only partial) refactoring of the Optimization framework (LevenbergMarquardt has never been in the framework and it is not yet) 2) SABR refactoring Index: optimization.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** optimization.hpp 28 Aug 2006 15:56:17 -0000 1.4 --- optimization.hpp 29 Nov 2006 18:06:47 -0000 1.5 *************** *** 25,76 **** namespace QuantLibAddin { ! class EndCriteria : public ObjHandler::LibraryObject< ! QuantLib::EndCriteria> ! { public: EndCriteria(QuantLib::Size maxIteration, ! double epsilon); }; ! class OptimizationMethod : public ObjHandler::LibraryObject< ! QuantLib::OptimizationMethod> {}; ! class ConjugateGradient : public OptimizationMethod ! { public: ! ConjugateGradient(const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch); }; ! class LevenbergMarquardt : public OptimizationMethod ! { public: ! LevenbergMarquardt(); }; ! class Simplex : public OptimizationMethod ! { public: ! Simplex(double lambda, ! double tol); }; ! class SteepestDescent : public OptimizationMethod ! { public: ! SteepestDescent(); }; - - class LineSearch : public ObjHandler::LibraryObject< - QuantLib::LineSearch> {}; ! class ArmijoLineSearch : public LineSearch ! { public: ! ArmijoLineSearch(double eps, ! double alpha, ! double beta); }; } --- 25,83 ---- namespace QuantLibAddin { ! class EndCriteria : ! public ObjHandler::LibraryObject<QuantLib::EndCriteria> { public: EndCriteria(QuantLib::Size maxIteration, ! QuantLib::Real functionEpsilon, ! QuantLib::Real gradientEpsilon); }; ! class OptimizationMethod : ! public ObjHandler::LibraryObject<QuantLib::OptimizationMethod> {}; ! class Simplex : public OptimizationMethod { public: ! Simplex(QuantLib::Real lambda, ! const QuantLib::Array& initialValue, ! const QuantLib::EndCriteria& endCriteria); }; ! class LevenbergMarquardt : public OptimizationMethod { public: ! LevenbergMarquardt(QuantLib::Real epsfcn, ! QuantLib::Real ftol, ! QuantLib::Real xtol, ! QuantLib::Real gtol, ! QuantLib::Size maxfev, ! const QuantLib::Array& initialValue, ! const QuantLib::EndCriteria& endCriteria); }; + + class LineSearch : + public ObjHandler::LibraryObject<QuantLib::LineSearch> {}; ! class ArmijoLineSearch : public LineSearch { public: ! ArmijoLineSearch(QuantLib::Real eps, ! QuantLib::Real alpha, ! QuantLib::Real beta); }; ! class LineSearchBasedMethod : public OptimizationMethod {}; ! ! class ConjugateGradient : public LineSearchBasedMethod { public: ! ConjugateGradient(const QuantLib::Array& initialValue, ! const QuantLib::EndCriteria& endCriteria, ! const boost::shared_ptr<QuantLib::LineSearch>&); }; ! class SteepestDescent : public LineSearchBasedMethod { public: ! SteepestDescent(const QuantLib::Array& initialValue, ! const QuantLib::EndCriteria& endCriteria, ! const boost::shared_ptr<QuantLib::LineSearch>&); }; + } Index: optimization.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** optimization.cpp 28 Aug 2006 15:56:17 -0000 1.6 --- optimization.cpp 29 Nov 2006 18:06:47 -0000 1.7 *************** *** 20,23 **** --- 20,24 ---- #endif #include <qlo/optimization.hpp> + #include <ql/Optimization/armijo.hpp> #include <ql/Optimization/conjugategradient.hpp> #include <ql/Optimization/levenbergmarquardt.hpp> *************** *** 28,75 **** EndCriteria::EndCriteria(QuantLib::Size maxIteration, ! double epsilon) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::EndCriteria>( ! new QuantLib::EndCriteria(maxIteration, ! epsilon)); } ! ConjugateGradient::ConjugateGradient( ! const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::ConjugateGradient(endCriteria, ! initialValue, ! lineSearch)); } ! LevenbergMarquardt::LevenbergMarquardt() { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::LevenbergMarquardt()); } ! Simplex::Simplex(double lambda, double tol) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::Simplex(lambda, tol)); } ! SteepestDescent::SteepestDescent() { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::SteepestDescent()); } ! ! ArmijoLineSearch::ArmijoLineSearch( ! double eps, ! double alpha, ! double beta) { ! libraryObject_ = boost::shared_ptr<QuantLib::LineSearch>( ! new QuantLib::ArmijoLineSearch(eps, alpha, beta)); } } --- 29,87 ---- EndCriteria::EndCriteria(QuantLib::Size maxIteration, ! QuantLib::Real functionEpsilon, ! QuantLib::Real gradientEpsilon) { ! libraryObject_ = boost::shared_ptr<QuantLib::EndCriteria>(new ! QuantLib::EndCriteria(maxIteration, ! functionEpsilon, ! gradientEpsilon)); } ! Simplex::Simplex(QuantLib::Real lambda, ! const QuantLib::Array& initVal, ! const QuantLib::EndCriteria& endC) { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new ! QuantLib::Simplex(lambda, initVal, endC)); } ! LevenbergMarquardt::LevenbergMarquardt(QuantLib::Real epsfcn, ! QuantLib::Real ftol, ! QuantLib::Real xtol, ! QuantLib::Real gtol, ! QuantLib::Size maxfev, ! const QuantLib::Array& initVal, ! const QuantLib::EndCriteria& endC) { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new ! QuantLib::LevenbergMarquardt(epsfcn, ftol, xtol, gtol, maxfev, ! initVal, endC)); } ! ArmijoLineSearch::ArmijoLineSearch(QuantLib::Real eps, ! QuantLib::Real alpha, ! QuantLib::Real beta) { ! libraryObject_ = boost::shared_ptr<QuantLib::LineSearch>(new ! QuantLib::ArmijoLineSearch(eps, alpha, beta)); } ! ConjugateGradient::ConjugateGradient( ! const QuantLib::Array& initVal, ! const QuantLib::EndCriteria& endC, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new ! QuantLib::ConjugateGradient(initVal, endC, lineSearch)); } ! ! ! ! SteepestDescent::SteepestDescent( ! const QuantLib::Array& initVal, ! const QuantLib::EndCriteria& endC, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new ! QuantLib::SteepestDescent(initVal, endC, lineSearch)); } + } |
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From: Ferdinando A. <na...@us...> - 2006-11-29 16:14:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9487/gensrc/metadata Modified Files: assetswap.xml Log Message: Index: assetswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/assetswap.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** assetswap.xml 22 Nov 2006 13:34:14 -0000 1.15 --- assetswap.xml 29 Nov 2006 16:14:40 -0000 1.16 *************** *** 140,143 **** --- 140,144 ---- </ReturnValue> </Member> + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-11-29 16:13:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9042 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.54 retrieving revision 1.55 diff -C2 -d -r1.54 -r1.55 *** todonando.txt 28 Nov 2006 19:54:32 -0000 1.54 --- todonando.txt 29 Nov 2006 16:13:50 -0000 1.55 *************** *** 1,30 **** - nome dei parametri nel wizard * remove obsolete drafts * move all test in the Test folder Nando - bloomberg, Menabeni, Rinaldo - demo Munari (mergeLeg, addLeg) - 0.3.14 wbk - alternative calibrations with null rho - - ripristinare generalità for SABR - make BlackCalculator observer/observable, make it lazy - - K - contratti - trimestrale ! - risposta DRM ! - eliminare today() dal CMS ! - trigger nei pricers ! - EURYC->EURYCH, EURYC2->EURYC, EURYCMX2->EURYCMX ! - revise index wbks - abcd per tenore, displacement - add abcd interpolation - test new NSIS 2.22 ! - new end of day live feed snapshot procedure François ! - DONE safe snapshot (check live feed == TRUE, else disable button) ! - consolidare tutti i multistep in un'unico test - use MakeCapFloor in Excel test wkb - include future options in vol cap stripping --- 1,41 ---- + - GREEKS + - from LMM -> QL::INSTRUMENT -> EXCEL + - LMM calibrations + - FRA-based MM swaption pricing + - drift for SWAP-based MM + - nome dei parametri nel wizard * remove obsolete drafts * move all test in the Test folder + Nando + - rename old functions + - Reuters new session + - complete SABR, Optimizer + - TermStrucure bug - bloomberg, Menabeni, Rinaldo - demo Munari (mergeLeg, addLeg) - 0.3.14 wbk - alternative calibrations with null rho - make BlackCalculator observer/observable, make it lazy - contratti - trimestrale ! ! K ! * ratchet Instrument ! - demo Munari (mergeLeg, addLeg) ! - EURYC->HYTSEUR, EURYC2->EURYTS, EURYCMX2->EURYTSMX - abcd per tenore, displacement - add abcd interpolation - test new NSIS 2.22 ! - new end of day live feed snapshot procedure + vol cube + mean rev ! - Launcher: Static Data checkbox ! - RtUpdate and FormulaArray in Reuters QuoteFeed xls François ! - revise Levemberg Marquard ! - consolidate tutti i multistep in un'unico test ! - MultiStepSwaption - use MakeCapFloor in Excel test wkb - include future options in vol cap stripping *************** *** 34,50 **** - test Mx sul 29/9 - update schedule wbk ! - cap/floor coupon - foglio swaption per De Nuccio / Murex Giorgio ! - cms put-call parity in Excel - SwaptionVolCube observability and lazyness - - ripristinare controlli su fit sabr - - esporre metodi swaption con tenor - - cmsspreadhelper ??? - - esporre costruttore CMS pricer ad excel (con vol, model, conundrum, reversion) - automatizzare calibrazioni Chiara - bond (cms) - futures conv adj and pricing of swaps not included in bootstrapping --- 45,61 ---- - test Mx sul 29/9 - update schedule wbk ! - capped/floored floating leg coupon and bond - foglio swaption per De Nuccio / Murex Giorgio ! * manual import of BGM book ! - RtUpdate and FormulaArray in Reuters QuoteFeed xls ! - cms put-call parity in Excel (per deal) - SwaptionVolCube observability and lazyness - automatizzare calibrazioni + - SwaptionVolChecks wbks Chiara + - fix Gap and SuperShare payoffs (see Wilmott, Dewyne, etc.) - bond (cms) - futures conv adj and pricing of swaps not included in bootstrapping *************** *** 53,57 **** - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? ! M. - wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates - add new flag: depo only to cover First Future stub period --- 64,69 ---- - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? ! Marco ! - Mx YC action - wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates - add new flag: depo only to cover First Future stub period *************** *** 60,97 **** Eric ! - InterestRateQuoteFeed.xls: Auto_Open - reutersFeed performances - - DONE date NA - - DONE network launcher: can't create the framework, Workbooks, Docs, and xll folders - - DONE network launcher: actions are disabled in pre-defined environments - - DONE network launcher: add AddinDocs() - - DONE coerce between double and Quote - - DONE coerce between Handle<T> and T - - DONE coerce between period->date - - DONE coerce between YieldTermStructure, SwaptionVolStructure, etc -> TermStructure - - DONE QuantLibXL menu before windows - ohParse as VBA Split, plus additional index parameter ! - sensitivity - - discount factors output is not col/row enabled - increment version number - - network launcher: how to edit Laucher Actions, in synch with the Action menu - - esporre ad excel i metodi commentati in payoff.xml - visitor pattern per 3rd parameter dei payoff ! QuantLib ! * ratchet instrument ! - use atmRate for fixed rate equivalent of a given NPV, and create similar ! iborFloatingSpread function - clean up index fixing calendar - - use atmrate where possible - - swaptionvolcube as observer/observable, lazy - cash rebate è multistep? - aggiungere Forward all'enumeration Call/Put - - fissare Gap, SuperShare, etc - fix convertible faceamount bug - deprecate swaptionvol time interface --- 72,94 ---- Eric ! - InterestRateQuoteFeed.xls: Auto_Open problem - reutersFeed performances - ohParse as VBA Split, plus additional index parameter ! - ohDependsOn() increase the counter whenever something change - sensitivity - discount factors output is not col/row enabled - increment version number - network launcher: how to edit Laucher Actions, in synch with the Action menu - esporre ad excel i metodi commentati in payoff.xml - visitor pattern per 3rd parameter dei payoff ! - RtUpdate like approach for effective Quote, in order to avoid setting the same quote ! - Handle coercio to SwaptionVolDiscrete ! - freeze, unfreeze objects QuantLib ! - Cashflows::iborSpread function - clean up index fixing calendar - cash rebate è multistep? - aggiungere Forward all'enumeration Call/Put - fix convertible faceamount bug - deprecate swaptionvol time interface *************** *** 115,118 **** --- 112,116 ---- QuantLib BOND + - use vector<Cashflow>?? QuantLib RATEHELPERS *************** *** 144,148 **** QUANTLIBADDIN - - capped/floored floating leg bond - RSG factory - export ImpliedCurve --- 142,145 ---- *************** *** 152,162 **** - export discount, loglinear selection - use QL folder structure - - type coercion - - freeze, unfreeze objects - port old QuantLibXL functionalities - esportare MultiStepOptionlets QUANTLIBXL WORKBOOKS - * manual import of BGM book - nel ControlPanel dare evidenza dei feed: CMS - Property example? --- 149,156 ---- |
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From: Ferdinando A. <na...@us...> - 2006-11-28 20:50:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27039/gensrc/metadata Modified Files: interpolation.xml Log Message: default to vegaWeighted = TRUE Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** interpolation.xml 28 Nov 2006 17:40:28 -0000 1.47 --- interpolation.xml 28 Nov 2006 20:50:46 -0000 1.48 *************** *** 347,351 **** <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> --- 347,351 ---- <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='true'> <type>bool</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-11-28 19:54:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3513 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.53 retrieving revision 1.54 diff -C2 -d -r1.53 -r1.54 *** todonando.txt 24 Nov 2006 20:31:41 -0000 1.53 --- todonando.txt 28 Nov 2006 19:54:32 -0000 1.54 *************** *** 10,15 **** - ripristinare generalità for SABR - make BlackCalculator observer/observable, make it lazy - - riordinare costruttore swap - - new end of day live feed snapshot procedure K --- 10,13 ---- *************** *** 23,26 **** --- 21,26 ---- - abcd per tenore, displacement - add abcd interpolation + - test new NSIS 2.22 + - new end of day live feed snapshot procedure François |
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From: Ferdinando A. <na...@us...> - 2006-11-28 19:54:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3458/qlo Modified Files: date.hpp Added Files: date.cpp Log Message: added QuantLibAddin::qlNextIMMdates for calculating a strip of IMM dates --- NEW FILE: date.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #include <qlo/date.hpp> namespace QuantLibAddin { std::vector<QuantLib::Date> qlNextIMMdates( const QuantLib::Date& d, const std::vector<bool>& mainCycle) { QuantLib::Size n = mainCycle.size(); std::vector<QuantLib::Date> results(n); results[0] = QuantLib::Date::nextIMMdate(d, mainCycle[0]); for (QuantLib::Size i=1; i<n; ++i) results[i] = QuantLib::Date::nextIMMdate( results[i-1]+1*QuantLib::Days, mainCycle[i]); return results; } } Index: date.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/date.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** date.hpp 4 Sep 2006 16:06:38 -0000 1.2 --- date.hpp 28 Nov 2006 19:54:22 -0000 1.3 *************** *** 21,24 **** --- 21,25 ---- #include <oh/object.hpp> #include <ql/period.hpp> + #include <ql/date.hpp> namespace QuantLibAddin { *************** *** 31,34 **** --- 32,38 ---- return p.frequency(); } + + std::vector<QuantLib::Date> qlNextIMMdates(const QuantLib::Date& d, + const std::vector<bool>& mainCycle); } |
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From: Ferdinando A. <na...@us...> - 2006-11-28 19:54:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3458 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: added QuantLibAddin::qlNextIMMdates for calculating a strip of IMM dates Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.54 retrieving revision 1.55 diff -C2 -d -r1.54 -r1.55 *** QuantLibObjects_vc8.vcproj 22 Nov 2006 21:37:24 -0000 1.54 --- QuantLibObjects_vc8.vcproj 28 Nov 2006 19:54:22 -0000 1.55 *************** *** 1019,1022 **** --- 1019,1026 ---- </File> <File + RelativePath=".\qlo\date.cpp" + > + </File> + <File RelativePath=".\qlo\date.hpp" > Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** QuantLibObjects.vcproj 22 Nov 2006 21:37:24 -0000 1.45 --- QuantLibObjects.vcproj 28 Nov 2006 19:54:21 -0000 1.46 *************** *** 864,867 **** --- 864,870 ---- </File> <File + RelativePath=".\qlo\date.cpp"> + </File> + <File RelativePath=".\qlo\date.hpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-11-28 19:54:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3458/gensrc/metadata Modified Files: date.xml Log Message: added QuantLibAddin::qlNextIMMdates for calculating a strip of IMM dates Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** date.xml 2 Nov 2006 08:35:31 -0000 1.19 --- date.xml 28 Nov 2006 19:54:22 -0000 1.20 *************** *** 208,212 **** </Procedure> ! <Procedure name='qlIsIMMdate'> <description>returns whether or not the given date is an IMM date.</description> <alias>QuantLib::Date::isIMMdate</alias> --- 208,212 ---- </Procedure> ! <Procedure name='qlIsIMMdate' loopParameter='date'> <description>returns whether or not the given date is an IMM date.</description> <alias>QuantLib::Date::isIMMdate</alias> *************** *** 218,222 **** <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>date</description> </Parameter> --- 218,222 ---- <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>date</description> </Parameter> *************** *** 230,240 **** <ReturnValue> <type>bool</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> ! <Procedure name='qlNextIMMdate'> ! <description>returns the 1st delivery date for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.</description> ! <alias>QuantLib::Date::nextIMMdate</alias> <SupportedPlatforms> <Excel/> --- 230,241 ---- <ReturnValue> <type>bool</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Procedure> ! <!--<Procedure name='qlIMMcode' loopParameter='IMMdate'>--> ! <Procedure name='qlIMMcode'> ! <description>returns the future code corresponding to a given IMM date (e.g. H6 for March 15th, 2006). It fails if the input date is not an IMM date.</description> ! <alias>QuantLib::Date::IMMcode</alias> <SupportedPlatforms> <Excel/> *************** *** 242,254 **** <ParameterList> <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>date with respect to which the next IMM date is calculated</description> </Parameter> ! <Parameter name='mainCycle' default='true'> ! <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>FALSE to consider all futures, not just the main H, M, U, Z cycle</description> </Parameter> </Parameters> --- 243,272 ---- <ParameterList> <Parameters> ! <Parameter name='IMMdate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>IMM date</description> </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! ! <!--<Procedure name='qlIMMdate' loopParameter='IMMcode'>--> ! <Procedure name='qlIMMdate'> ! <description>returns the IMM date corresponding to the given IMM code (e.g. March 15th, 2006 for H6).</description> ! <alias>QuantLib::Date::IMMdate</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='IMMcode'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>2 letter IMM code (e.q. \"H9\")</description> </Parameter> </Parameters> *************** *** 260,266 **** </Procedure> ! <Procedure name='qlIMMcode'> ! <description>returns the future code corresponding to a given IMM date (e.g. H6 for March 15th, 2006). It fails if the input date is not an IMM date.</description> ! <alias>QuantLib::Date::IMMcode</alias> <SupportedPlatforms> <Excel/> --- 278,284 ---- </Procedure> ! <Procedure name='qlNextIMMdate'> ! <description>returns the 1st delivery date for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.</description> ! <alias>QuantLib::Date::nextIMMdate</alias> <SupportedPlatforms> <Excel/> *************** *** 268,287 **** <ParameterList> <Parameters> ! <Parameter name='IMMdate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>IMM date</description> </Parameter> </Parameters> </ParameterList> ! <ReturnValue> ! <type>string</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> ! <Procedure name='qlIMMdate'> ! <description>returns the IMM date corresponding to the given IMM code (e.g. March 15th, 2006 for H6).</description> ! <alias>QuantLib::Date::IMMdate</alias> <SupportedPlatforms> <Excel/> --- 286,309 ---- <ParameterList> <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>date with respect to which the next IMM date is calculated</description> ! </Parameter> ! <Parameter name='mainCycle' default='true'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>FALSE to consider all futures, not just the main H, M, U, Z cycle</description> </Parameter> </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> ! <Procedure name='qlNextIMMdates'> ! <description>returns the delivery dates for next contracts listed in the International Money Market section of the Chicago Mercantile Exchange.</description> <SupportedPlatforms> <Excel/> *************** *** 289,296 **** <ParameterList> <Parameters> ! <Parameter name='IMMcode'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>2 letter IMM code (e.q. \"H9\")</description> </Parameter> </Parameters> --- 311,323 ---- <ParameterList> <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>date with respect to which the next IMM dates are calculated</description> ! </Parameter> ! <Parameter name='mainCycle'> ! <type>bool</type> ! <tensorRank>vector</tensorRank> ! <description>FALSE to consider all futures, not just the main H, M, U, Z cycle</description> </Parameter> </Parameters> *************** *** 298,302 **** <ReturnValue libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> --- 325,329 ---- <ReturnValue libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Procedure> |
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From: Ferdinando A. <na...@us...> - 2006-11-28 19:52:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2569/gensrc/metadata Modified Files: daycounter.xml index.xml Log Message: loopParameter(s) added Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** index.xml 22 Nov 2006 21:37:25 -0000 1.49 --- index.xml 28 Nov 2006 19:52:22 -0000 1.50 *************** *** 218,222 **** </Member> ! <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> <description>retrieve the value date for Index object</description> <libraryFunction>valueDate</libraryFunction> --- 218,222 ---- </Member> ! <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex' loopParameter='fixingDate'> <description>retrieve the value date for Index object</description> <libraryFunction>valueDate</libraryFunction> *************** *** 228,232 **** <Parameter name='fixingDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>fixing date</description> </Parameter> --- 228,232 ---- <Parameter name='fixingDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>fixing date</description> </Parameter> *************** *** 235,243 **** <ReturnValue libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> <description>retrieve the maturity date for Index object</description> <libraryFunction>maturityDate</libraryFunction> --- 235,243 ---- <ReturnValue libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex' loopParameter='valueDate'> <description>retrieve the maturity date for Index object</description> <libraryFunction>maturityDate</libraryFunction> *************** *** 249,253 **** <Parameter name='valueDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>value date</description> </Parameter> --- 249,253 ---- <Parameter name='valueDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>value date</description> </Parameter> *************** *** 256,260 **** <ReturnValue libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 256,260 ---- <ReturnValue libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> Index: daycounter.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/daycounter.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** daycounter.xml 31 Oct 2006 18:15:25 -0000 1.11 --- daycounter.xml 28 Nov 2006 19:52:22 -0000 1.12 *************** *** 24,28 **** </EnumerationMember> ! <EnumerationMember name='qlDayCount' enumeration='QuantLib::DayCounter'> <description>calculate the number of days in a period according to a given day count convention</description> <libraryFunction>dayCount</libraryFunction> --- 24,28 ---- </EnumerationMember> ! <EnumerationMember name='qlDayCount' enumeration='QuantLib::DayCounter' loopParameter='endDate'> <description>calculate the number of days in a period according to a given day count convention</description> <libraryFunction>dayCount</libraryFunction> *************** *** 39,43 **** <Parameter name='endDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>end date</description> </Parameter> --- 39,43 ---- <Parameter name='endDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>end date</description> </Parameter> *************** *** 46,54 **** <ReturnValue> <type>long</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </EnumerationMember> ! <EnumerationMember name='qlYearFraction' enumeration='QuantLib::DayCounter'> <description>calculate a year fraction</description> <libraryFunction>yearFraction</libraryFunction> --- 46,54 ---- <ReturnValue> <type>long</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </EnumerationMember> ! <EnumerationMember name='qlYearFraction' enumeration='QuantLib::DayCounter' loopParameter='endDate'> <description>calculate a year fraction</description> <libraryFunction>yearFraction</libraryFunction> *************** *** 65,69 **** <Parameter name='endDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>end date</description> </Parameter> --- 65,69 ---- <Parameter name='endDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>end date</description> </Parameter> *************** *** 80,86 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </EnumerationMember> --- 80,86 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Time'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </EnumerationMember> |
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From: Marco B. <mar...@us...> - 2006-11-28 17:45:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11920/gensrc/metadata Modified Files: termstructures.xml Log Message: Improved description Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.50 retrieving revision 1.51 diff -C2 -d -r1.50 -r1.51 *** termstructures.xml 22 Nov 2006 21:37:25 -0000 1.50 --- termstructures.xml 28 Nov 2006 17:45:37 -0000 1.51 *************** *** 101,105 **** <Member name='qlForwardRate' handleToLib='YieldTermStructure' loopParameter='d2'> ! <description>Returns the implied forward interest rate</description> <libraryFunction>forwardRate</libraryFunction> <SupportedPlatforms> --- 101,105 ---- <Member name='qlForwardRate' handleToLib='YieldTermStructure' loopParameter='d2'> ! <description>Returns the implied forward interest rate (uses dates)</description> <libraryFunction>forwardRate</libraryFunction> <SupportedPlatforms> *************** *** 147,151 **** <Member name='qlForwardRate2' handleToLib='YieldTermStructure' loopParameter='date'> ! <description>Returns the implied forward interest rate</description> <libraryFunction>forwardRate</libraryFunction> <SupportedPlatforms> --- 147,151 ---- <Member name='qlForwardRate2' handleToLib='YieldTermStructure' loopParameter='date'> ! <description>Returns the implied forward interest rate (uses tenor)</description> <libraryFunction>forwardRate</libraryFunction> <SupportedPlatforms> |
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From: Katiuscia M. <kma...@us...> - 2006-11-28 17:40:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9833/gensrc/metadata Modified Files: interpolation.xml Log Message: added empty string to null oprimization method Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.46 retrieving revision 1.47 diff -C2 -d -r1.46 -r1.47 *** interpolation.xml 22 Nov 2006 21:37:25 -0000 1.46 --- interpolation.xml 28 Nov 2006 17:40:28 -0000 1.47 *************** *** 352,358 **** <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> </Parameter> ! <!-- NULL REFERENCES NO LONGER SUPPORTED ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'--> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod'> <type>string</type> <tensorRank>scalar</tensorRank> --- 352,357 ---- <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> </Parameter> ! <!-- NULL REFERENCES NO LONGER SUPPORTED--> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Giorgio F. <gi...@us...> - 2006-11-28 09:55:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28067/gensrc/metadata Modified Files: cmsmarket.xml Log Message: Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** cmsmarket.xml 22 Nov 2006 13:34:14 -0000 1.17 --- cmsmarket.xml 28 Nov 2006 09:54:58 -0000 1.18 *************** *** 110,113 **** --- 110,118 ---- <ParameterList> <Parameters> + <Parameter name='guess' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>initial guess</description> + </Parameter> <Parameter name='OptimMethod' enumeration='QuantLib::SmileAndCmsCalibrationBySabr::OptimMethod'> <type>string</type> |
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From: Ferdinando A. <na...@us...> - 2006-11-27 18:45:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30720/gensrc/metadata Modified Files: forwardrateagreement.xml Log Message: removing redundant function Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** forwardrateagreement.xml 27 Nov 2006 15:09:38 -0000 1.24 --- forwardrateagreement.xml 27 Nov 2006 18:45:20 -0000 1.25 *************** *** 101,119 **** </Member> - <Member name='qlFRAisExpired' libraryClass='ForwardRateAgreement'> - <description>Returns a boolean such that FALSE = FRA alive, TRUE = FRA expired.</description> - <libraryFunction>isExpired</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>bool</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - </Functions> </Category> --- 101,104 ---- |
