quantlibaddin-cvs Mailing List for QuantLibAddin (Page 10)
Brought to you by:
ericehlers,
nando
Menu
▾
▴
quantlibaddin-cvs — High-traffic list for automated CVS check-in messages.
You can subscribe to this list here.
| 2006 |
Jan
|
Feb
|
Mar
|
Apr
|
May
(51) |
Jun
(320) |
Jul
(210) |
Aug
(272) |
Sep
(169) |
Oct
(232) |
Nov
(138) |
Dec
(109) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 |
Jan
(101) |
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
|
From: Ferdinando A. <na...@us...> - 2006-11-27 18:10:08
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15302/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: added discretized Swaption Vol structure (intermediate) class Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.84 retrieving revision 1.85 diff -C2 -d -r1.84 -r1.85 *** swaptionvolstructure.xml 24 Nov 2006 16:01:18 -0000 1.84 --- swaptionvolstructure.xml 27 Nov 2006 18:10:02 -0000 1.85 *************** *** 40,44 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 40,44 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 76,80 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 76,80 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 88,93 **** </ReturnValue> </Member> ! <!--Member name='qlSwaptionVTSBlackVariance' libraryClass='SwaptionVolatilityStructure' loopParameter='strike'--> ! <Member name='qlSwaptionVTSBlackVariance' handleToLib='SwaptionVolatilityStructure'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>blackVariance</libraryFunction> --- 88,93 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSBlackVariance' handleToLib='SwaptionVolatilityStructure' loopParameter='optionDate'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>blackVariance</libraryFunction> *************** *** 99,103 **** <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> --- 99,103 ---- <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> *************** *** 112,116 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 112,116 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 121,129 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlSwaptionVTSBlackVariance2' handleToLib='SwaptionVolatilityStructure'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given option tenor.</description> <libraryFunction>blackVariance</libraryFunction> --- 121,129 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlSwaptionVTSBlackVariance2' handleToLib='SwaptionVolatilityStructure' loopParameter='optionTenor'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given option tenor.</description> <libraryFunction>blackVariance</libraryFunction> *************** *** 135,139 **** <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>scalar</tensorRank> <description>swaption option tenor</description> </Parameter> --- 135,139 ---- <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>vector</tensorRank> <description>swaption option tenor</description> </Parameter> *************** *** 148,152 **** <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 148,152 ---- <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 157,176 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMaxOptionDate' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the latest option date for which the term structure can return vols.</description> ! <libraryFunction>maxOptionDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 157,161 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> *************** *** 220,226 **** </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSBDConv' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the Business Day Convention.</description> <libraryFunction>businessDayConvention</libraryFunction> <SupportedPlatforms> --- 205,211 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSBusinessDayConvention' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the business day convention used for option date calculation.</description> <libraryFunction>businessDayConvention</libraryFunction> <SupportedPlatforms> *************** *** 236,239 **** --- 221,246 ---- </ReturnValue> </Member> + + <Member name='qlSwaptionVTSOptionDateFromTenor' handleToLib='SwaptionVolatilityStructure' loopParameter='optionTenor'> + <description>Returns the option date corresponding to a given option tenor, taking calendar and business day convention into account.</description> + <libraryFunction>optionDateFromTenor</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionTenor' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>swaption option tenor</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <!-- Handle<SwaptionVolatilityStructure> --> <Constructor name='qlHandleSwaptionVolatilityStructure'> *************** *** 342,347 **** </Constructor> ! <!-- SwaptionVolatilityMatrix interface --> ! <Member name='qlSwaptionVTSMatrixOptionDates' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of swaption exercise dates.</description> <libraryFunction>optionDates</libraryFunction> --- 349,354 ---- </Constructor> ! <!-- SwaptionVolatilityDiscrete interface --> ! <Member name='qlSwaptionVTSMatrixOptionDates' libraryClass='SwaptionVolatilityDiscrete'> <description>Returns the vector of swaption exercise dates.</description> <libraryFunction>optionDates</libraryFunction> *************** *** 358,362 **** </Member> ! <Member name='qlSwaptionVTSMatrixSwapTenors' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of underlying swap tenors.</description> <libraryFunction>swapTenors</libraryFunction> --- 365,384 ---- </Member> ! <Member name='qlSwaptionVTSMatrixOptionTenors' libraryClass='SwaptionVolatilityDiscrete'> ! <description>Returns the vector of swaption exercise tenors.</description> ! <libraryFunction>optionTenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixSwapTenors' libraryClass='SwaptionVolatilityDiscrete'> <description>Returns the vector of underlying swap tenors.</description> <libraryFunction>swapTenors</libraryFunction> *************** *** 373,376 **** --- 395,399 ---- </Member> + <!-- SwaptionVolatilityMatrix interface --> <Member name='qlSwaptionVTSMatrixLocate' objectClass='SwaptionVolatilityMatrix'> <description>Returns the lower indexes of sourrounding volatility matrix corners.</description> *************** *** 450,484 **** <!-- SwaptionVolatilityCube interface --> ! <Member name='qlSwaptionVTSCubeOptionDates' libraryClass='SwaptionVolatilityCube'> ! <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>optionDates</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSCubeSwapTenors' libraryClass='SwaptionVolatilityCube'> ! <description>Returns the vector of underlying swap tenors.</description> ! <libraryFunction>swapTenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> --- 473,477 ---- <!-- SwaptionVolatilityCube interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube' loopParameter='optionDate'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> *************** *** 490,494 **** <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> --- 483,487 ---- <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> *************** *** 500,510 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlSwaptionVTSatmStrike2' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given option tenor and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> --- 493,503 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlSwaptionVTSatmStrike2' libraryClass='SwaptionVolatilityCube' loopParameter='optionTenor'> <description>Returns the atm swaption strike for a given option tenor and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> *************** *** 516,521 **** <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>swaption option tenor</description> </Parameter> <Parameter name='swapTenor' libraryType='QuantLib::Period'> --- 509,514 ---- <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>swaption's option tenor</description> </Parameter> <Parameter name='swapTenor' libraryType='QuantLib::Period'> *************** *** 526,532 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 519,525 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
|
From: Ferdinando A. <na...@us...> - 2006-11-27 18:10:08
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15302/qlo Modified Files: swaptionvolstructure.hpp Log Message: added discretized Swaption Vol structure (intermediate) class Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** swaptionvolstructure.hpp 24 Nov 2006 16:12:22 -0000 1.41 --- swaptionvolstructure.hpp 27 Nov 2006 18:10:03 -0000 1.42 *************** *** 40,44 **** }; ! class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, --- 40,46 ---- }; ! class SwaptionVolatilityDiscrete : public SwaptionVolatilityStructure {}; ! ! class SwaptionVolatilityMatrix : public SwaptionVolatilityDiscrete { public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, *************** *** 53,57 **** ! class SwaptionVolatilityCube : public SwaptionVolatilityStructure { }; --- 55,59 ---- ! class SwaptionVolatilityCube : public SwaptionVolatilityDiscrete { }; |
|
From: Eric E. <eri...@us...> - 2006-11-27 16:10:33
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25805/gensrc/metadata Modified Files: marketmodels.xml Log Message: restore support for null references :-( Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.60 retrieving revision 1.61 diff -C2 -d -r1.60 -r1.61 *** marketmodels.xml 27 Nov 2006 11:19:09 -0000 1.60 --- marketmodels.xml 27 Nov 2006 16:10:26 -0000 1.61 *************** *** 1090,1098 **** <description>Reference time for the above Black vol vector.</description> </Parameter> - <!-- NULL REFERENCES NO LONGER SUPPORTED - <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'--> <!-- the way it should work --> <!--<Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='boost::shared_ptr<QuantLib::OptimizationMethod>()'>--> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod'> <type>string</type> <tensorRank>scalar</tensorRank> --- 1090,1096 ---- <description>Reference time for the above Black vol vector.</description> </Parameter> <!-- the way it should work --> <!--<Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='boost::shared_ptr<QuantLib::OptimizationMethod>()'>--> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> |
|
From: Marco B. <mar...@us...> - 2006-11-27 15:09:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29489/gensrc/metadata Modified Files: forwardrateagreement.xml Log Message: Exported method qlFRAisExpired Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** forwardrateagreement.xml 27 Nov 2006 14:12:29 -0000 1.23 --- forwardrateagreement.xml 27 Nov 2006 15:09:38 -0000 1.24 *************** *** 1,4 **** <Category name='forwardrateagreement'> ! <description>functions to construct and use ForwardRateAgreement objects</description> <displayName>Forward Rate Agreement</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> --- 1,4 ---- <Category name='forwardrateagreement'> ! <description>Functions to construct and use ForwardRateAgreement objects</description> <displayName>Forward Rate Agreement</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> *************** *** 101,104 **** --- 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> |
|
From: Marco B. <mar...@us...> - 2006-11-27 14:12:33
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1796/gensrc/metadata Modified Files: forwardrateagreement.xml Log Message: Vary small adjustments in comments Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** forwardrateagreement.xml 22 Nov 2006 13:34:14 -0000 1.22 --- forwardrateagreement.xml 27 Nov 2006 14:12:29 -0000 1.23 *************** *** 20,54 **** <type>long</type> <tensorRank>scalar</tensorRank> ! <description>value date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>maturity date</description> </Parameter> <Parameter name='position' enumeration='QuantLib::Position::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>instrument position (Long for a purchase, Short for a sale)</description> </Parameter> <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>strike rate</description> </Parameter> <Parameter name='notional'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Notional Amount</description> </Parameter> <Parameter name="index" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>underlying index object ID</description> </Parameter> <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> </Parameters> --- 20,54 ---- <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Value date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Maturity date</description> </Parameter> <Parameter name='position' enumeration='QuantLib::Position::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Instrument position (Long = purchase, Short = sale)</description> </Parameter> <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Strike rate</description> </Parameter> <Parameter name='notional'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Notional amount</description> </Parameter> <Parameter name="index" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Underlying index object ID</description> </Parameter> <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Discounting yield term structure object ID</description> </Parameter> </Parameters> |
|
From: Katiuscia M. <kma...@us...> - 2006-11-27 11:19:33
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19607/gensrc/metadata Modified Files: marketmodels.xml Log Message: REFERENCES NO LONGER SUPPORTED -> remedy suggested to optimizationMethod Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.59 retrieving revision 1.60 diff -C2 -d -r1.59 -r1.60 *** marketmodels.xml 22 Nov 2006 21:37:25 -0000 1.59 --- marketmodels.xml 27 Nov 2006 11:19:09 -0000 1.60 *************** *** 4,7 **** --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> + <include>ql/Optimization/method.hpp</include> <include>ql/MarketModels/swapforwardconversionmatrix.hpp</include> <include>ql/MarketModels/swapforwardmappings.hpp</include> *************** *** 1091,1094 **** --- 1092,1097 ---- <!-- NULL REFERENCES NO LONGER SUPPORTED <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'--> + <!-- the way it should work --> + <!--<Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='boost::shared_ptr<QuantLib::OptimizationMethod>()'>--> <Parameter name='optimizationMethod' libraryClass='OptimizationMethod'> <type>string</type> |
|
From: Ferdinando A. <na...@us...> - 2006-11-24 20:31:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32305 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.52 retrieving revision 1.53 diff -C2 -d -r1.52 -r1.53 *** todonando.txt 22 Nov 2006 21:37:24 -0000 1.52 --- todonando.txt 24 Nov 2006 20:31:41 -0000 1.53 *************** *** 60,64 **** Eric ! - auto_open - reutersFeed performances - DONE date NA --- 60,64 ---- Eric ! - InterestRateQuoteFeed.xls: Auto_Open - reutersFeed performances - DONE date NA *************** *** 71,75 **** - DONE coerce between YieldTermStructure, SwaptionVolStructure, etc -> TermStructure - DONE QuantLibXL menu before windows ! - CANCELLED? ohparse as François VBA split - sensitivity --- 71,75 ---- - DONE coerce between YieldTermStructure, SwaptionVolStructure, etc -> TermStructure - DONE QuantLibXL menu before windows ! - ohParse as VBA Split, plus additional index parameter - sensitivity *************** *** 144,148 **** QUANTLIBADDIN ! - capped/fllored floating leg bond - RSG factory - export ImpliedCurve --- 144,148 ---- QUANTLIBADDIN ! - capped/floored floating leg bond - RSG factory - export ImpliedCurve |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 16:12:26
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19471/qlo Modified Files: swaptionvolstructure.hpp Log Message: Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** swaptionvolstructure.hpp 24 Nov 2006 14:17:36 -0000 1.40 --- swaptionvolstructure.hpp 24 Nov 2006 16:12:22 -0000 1.41 *************** *** 106,114 **** const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& optionTenors, ! const QuantLib::Period& length); SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& optionDate, ! const QuantLib::Period& length); }; } --- 106,114 ---- const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& optionTenors, ! const QuantLib::Period& swapTenors); SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& optionDate, ! const QuantLib::Period& swapTenors); }; } |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 16:01:26
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14506/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.83 retrieving revision 1.84 diff -C2 -d -r1.83 -r1.84 *** swaptionvolstructure.xml 24 Nov 2006 14:17:36 -0000 1.83 --- swaptionvolstructure.xml 24 Nov 2006 16:01:18 -0000 1.84 *************** *** 220,224 **** </ReturnValue> </Member> ! <!-- Handle<SwaptionVolatilityStructure> --> <Constructor name='qlHandleSwaptionVolatilityStructure'> --- 220,239 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSBDConv' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the Business Day Convention.</description> ! <libraryFunction>businessDayConvention</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! </Parameters> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> <!-- Handle<SwaptionVolatilityStructure> --> <Constructor name='qlHandleSwaptionVolatilityStructure'> *************** *** 435,438 **** --- 450,483 ---- <!-- SwaptionVolatilityCube interface --> + <Member name='qlSwaptionVTSCubeOptionDates' libraryClass='SwaptionVolatilityCube'> + <description>Returns the vector of swaption exercise dates.</description> + <libraryFunction>optionDates</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwaptionVTSCubeSwapTenors' libraryClass='SwaptionVolatilityCube'> + <description>Returns the vector of underlying swap tenors.</description> + <libraryFunction>swapTenors</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> |
|
From: Eric E. <eri...@us...> - 2006-11-24 15:46:32
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7975/qlo/Conversions Modified Files: coercecurve.hpp coercehandle.hpp coerceindex.hpp Log Message: Index: coerceindex.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions/coerceindex.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** coerceindex.hpp 22 Nov 2006 21:37:25 -0000 1.1 --- coerceindex.hpp 24 Nov 2006 15:46:25 -0000 1.2 *************** *** 16,21 **** */ ! #ifndef qlo_conversions_enumorobject_hpp ! #define qlo_conversions_enumorobject_hpp #include <oh/Conversions/coerce.hpp> --- 16,21 ---- */ ! #ifndef qlo_conversions_coerceindex_hpp ! #define qlo_conversions_coerceindex_hpp #include <oh/Conversions/coerce.hpp> Index: coercecurve.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions/coercecurve.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** coercecurve.hpp 22 Nov 2006 21:37:25 -0000 1.1 --- coercecurve.hpp 24 Nov 2006 15:46:25 -0000 1.2 *************** *** 16,21 **** */ ! #ifndef qlo_conversions_handletoobject_hpp ! #define qlo_conversions_handletoobject_hpp #include <oh/Conversions/coerce.hpp> --- 16,21 ---- */ ! #ifndef qlo_conversions_coercecurve_hpp ! #define qlo_conversions_coercecurve_hpp #include <oh/Conversions/coerce.hpp> Index: coercehandle.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions/coercehandle.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** coercehandle.hpp 22 Nov 2006 21:37:25 -0000 1.1 --- coercehandle.hpp 24 Nov 2006 15:46:25 -0000 1.2 *************** *** 16,21 **** */ ! #ifndef qlo_conversions_objecttohandle_hpp ! #define qlo_conversions_objecttohandle_hpp #include <oh/Conversions/coerce.hpp> --- 16,21 ---- */ ! #ifndef qlo_conversions_coercehandle_hpp ! #define qlo_conversions_coercehandle_hpp #include <oh/Conversions/coerce.hpp> |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 14:17:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1302/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.82 retrieving revision 1.83 diff -C2 -d -r1.82 -r1.83 *** swaptionvolstructure.xml 24 Nov 2006 10:11:43 -0000 1.82 --- swaptionvolstructure.xml 24 Nov 2006 14:17:36 -0000 1.83 *************** *** 17,21 **** <!-- SwaptionVolatilityStructure interface--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='expiry'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> --- 17,21 ---- <!-- SwaptionVolatilityStructure interface--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='optionDate'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> *************** *** 25,34 **** <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 25,34 ---- <ParameterList> <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 66,70 **** <description>swaption option tenor</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 66,70 ---- <description>swaption option tenor</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 97,106 **** <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='length' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 97,106 ---- <ParameterList> <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 138,142 **** <description>swaption option tenor</description> </Parameter> ! <Parameter name='length' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 138,142 ---- <description>swaption option tenor</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 161,167 **** </Member> ! <Member name='qlSwaptionVTSMaxExpiry' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the latest start date for which the term structure can return vols.</description> ! <libraryFunction>maxStartDate</libraryFunction> <SupportedPlatforms> <Excel/> --- 161,167 ---- </Member> ! <Member name='qlSwaptionVTSMaxOptionDate' handleToLib='SwaptionVolatilityStructure'> ! <description>Returns the latest option date for which the term structure can return vols.</description> ! <libraryFunction>maxOptionDate</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 176,182 **** </Member> ! <Member name='qlSwaptionVTSMaxSwapLength' handleToLib='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxLength</libraryFunction> <SupportedPlatforms> <Excel/> --- 176,182 ---- </Member> ! <Member name='qlSwaptionVTSMaxSwapTenor' handleToLib='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxSwapTenor</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 328,334 **** <!-- SwaptionVolatilityMatrix interface --> ! <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>exerciseDates</libraryFunction> <SupportedPlatforms> <Excel/> --- 328,334 ---- <!-- SwaptionVolatilityMatrix interface --> ! <Member name='qlSwaptionVTSMatrixOptionDates' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>optionDates</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 343,349 **** </Member> ! <Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of underlying swap lengths.</description> ! <libraryFunction>lengths</libraryFunction> <SupportedPlatforms> <Excel/> --- 343,349 ---- </Member> ! <Member name='qlSwaptionVTSMatrixSwapTenors' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of underlying swap tenors.</description> ! <libraryFunction>swapTenors</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 367,376 **** <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 367,376 ---- <ParameterList> <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 400,409 **** <description>At-the-money volatility structure</description> </Parameter> ! <Parameter name='expiries' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>smile cube's expiries as periods</description> </Parameter> ! <Parameter name='swapLengths' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> --- 400,409 ---- <description>At-the-money volatility structure</description> </Parameter> ! <Parameter name='optionTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>smile cube's expiries as periods</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> *************** *** 443,452 **** <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 443,452 ---- <ParameterList> <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 474,478 **** <description>swaption option tenor</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 474,478 ---- <description>swaption option tenor</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 501,510 **** <description>At-the-money volatility structure</description> </Parameter> ! <Parameter name='expiries' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>smile cube's expiries as periods</description> </Parameter> ! <Parameter name='swapLengths' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> --- 501,510 ---- <description>At-the-money volatility structure</description> </Parameter> ! <Parameter name='optionTenors' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>smile cube's expiries as periods</description> </Parameter> ! <Parameter name='swapTenors' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> *************** *** 625,634 **** <description>Swaption volatility cube object ID</description> </Parameter> ! <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>smile's expiry as date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 625,634 ---- <description>Swaption volatility cube object ID</description> </Parameter> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>smile's expiry as date</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 652,661 **** <description>Swaption volatility cube object ID</description> </Parameter> ! <Parameter name='expiry' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> <description>smile's expiry as period</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 652,661 ---- <description>Swaption volatility cube object ID</description> </Parameter> ! <Parameter name='optionDate' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> <description>smile's expiry as period</description> </Parameter> ! <Parameter name='swapTenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 674,678 **** <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> --- 674,678 ---- <ParameterList> <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 14:17:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1302/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.44 retrieving revision 1.45 diff -C2 -d -r1.44 -r1.45 *** swaptionvolstructure.cpp 24 Nov 2006 10:11:43 -0000 1.44 --- swaptionvolstructure.cpp 24 Nov 2006 14:17:36 -0000 1.45 *************** *** 46,51 **** SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, const QuantLib::DayCounter& dayCounter, --- 46,51 ---- SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, const QuantLib::DayCounter& dayCounter, *************** *** 53,58 **** libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityMatrix(calendar, ! expiries, ! tenors, vols, dayCounter, --- 53,58 ---- libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityMatrix(calendar, ! optionTenors, ! swapTenors, vols, dayCounter, *************** *** 74,79 **** SwaptionVolatilityCubeByLinear::SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 74,79 ---- SwaptionVolatilityCubeByLinear::SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 84,89 **** libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeByLinear(atmVol, ! expiries, ! lengths, strikeSpreads, volSpreads, --- 84,89 ---- libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeByLinear(atmVol, ! optionTenors, ! swapTenors, strikeSpreads, volSpreads, *************** *** 94,99 **** SwaptionVolatilityCubeBySabr::SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 94,99 ---- SwaptionVolatilityCubeBySabr::SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 107,112 **** libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, ! expiries, ! lengths, strikeSpreads, volSpreads, --- 107,112 ---- libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, ! optionTenors, ! swapTenors, strikeSpreads, volSpreads, *************** *** 235,251 **** } - SmileSectionByCube::SmileSectionByCube( - const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, - const QuantLib::Period& expiry, - const QuantLib::Period& length){ - libraryObject_ = cube->smileSection(expiry,length); - } - - SmileSectionByCube::SmileSectionByCube( - const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, - const QuantLib::Date& expiry, - const QuantLib::Period& length){ - libraryObject_ = cube->smileSection(expiry,length); - } InterpolatedSmileSection::InterpolatedSmileSection( --- 235,238 ---- *************** *** 275,277 **** --- 262,279 ---- } + + SmileSectionByCube::SmileSectionByCube( + const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, + const QuantLib::Period& optionTenor, + const QuantLib::Period& swapTenors){ + libraryObject_ = cube->smileSection(optionTenor,swapTenors); + } + + SmileSectionByCube::SmileSectionByCube( + const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, + const QuantLib::Date& optionDate, + const QuantLib::Period& swapTenors){ + libraryObject_ = cube->smileSection(optionDate,swapTenors); + } + } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** swaptionvolstructure.hpp 24 Nov 2006 10:11:43 -0000 1.39 --- swaptionvolstructure.hpp 24 Nov 2006 14:17:36 -0000 1.40 *************** *** 43,47 **** public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, --- 43,47 ---- public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& optionTenors, const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, *************** *** 60,65 **** SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 60,65 ---- SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 75,80 **** SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 75,80 ---- SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 105,113 **** SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Period& expiry, const QuantLib::Period& length); SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Date& expiry, const QuantLib::Period& length); }; --- 105,113 ---- SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Period& optionTenors, const QuantLib::Period& length); SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Date& optionDate, const QuantLib::Period& length); }; |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 10:11:46
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21677/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** swaptionvolstructure.cpp 24 Nov 2006 09:17:24 -0000 1.43 --- swaptionvolstructure.cpp 24 Nov 2006 10:11:43 -0000 1.44 *************** *** 235,239 **** } ! SabrSmileSection::SabrSmileSection( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& expiry, --- 235,239 ---- } ! SmileSectionByCube::SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& expiry, *************** *** 242,246 **** } ! SabrSmileSection::SabrSmileSection( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& expiry, --- 242,246 ---- } ! SmileSectionByCube::SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& expiry, Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** swaptionvolstructure.hpp 24 Nov 2006 09:17:24 -0000 1.38 --- swaptionvolstructure.hpp 24 Nov 2006 10:11:43 -0000 1.39 *************** *** 101,111 **** }; ! class SabrSmileSection : public SmileSectionInterface { public: ! SabrSmileSection( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& expiry, const QuantLib::Period& length); ! SabrSmileSection( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& expiry, --- 101,111 ---- }; ! class SmileSectionByCube : public SmileSectionInterface { public: ! SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& expiry, const QuantLib::Period& length); ! SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& expiry, |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 10:11:46
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21677/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.81 retrieving revision 1.82 diff -C2 -d -r1.81 -r1.82 *** swaptionvolstructure.xml 24 Nov 2006 09:17:24 -0000 1.81 --- swaptionvolstructure.xml 24 Nov 2006 10:11:43 -0000 1.82 *************** *** 613,617 **** <!-- SmileSectionInteface constructors --> <Constructor name='qlSmileSectionByCube'> ! <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 613,617 ---- <!-- SmileSectionInteface constructors --> <Constructor name='qlSmileSectionByCube'> ! <libraryFunction>SmileSectionByCube</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 620,627 **** <ParameterList> <Parameters> ! <Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCubeBySabr'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube by Sabr object ID</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Date'> --- 620,627 ---- <ParameterList> <Parameters> ! <Parameter name='volCube' libraryClass='SwaptionVolatilityCube'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube object ID</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Date'> *************** *** 640,644 **** <Constructor name='qlSmileSectionByCube2'> ! <libraryFunction>SabrSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> --- 640,644 ---- <Constructor name='qlSmileSectionByCube2'> ! <libraryFunction>SmileSectionByCube</libraryFunction> <functionCategory>QuantLib</functionCategory> <SupportedPlatforms> *************** *** 647,654 **** <ParameterList> <Parameters> ! <Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCube'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube by Sabr object ID</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Period'> --- 647,654 ---- <ParameterList> <Parameters> ! <Parameter name='volCube' libraryClass='SwaptionVolatilityCube'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube object ID</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Period'> |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 09:17:28
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31111/qlo Modified Files: couponvectors.cpp couponvectors.hpp swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** couponvectors.hpp 21 Nov 2006 08:11:40 -0000 1.30 --- couponvectors.hpp 24 Nov 2006 09:17:24 -0000 1.31 *************** *** 74,86 **** class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { ! public: VanillaCMSCouponPricer(const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion); ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() ! { ! return libraryObject_; ! } }; --- 74,85 ---- class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { ! public: VanillaCMSCouponPricer(const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string& typeOfVanillaCMSCouponPricer, ! QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion); ! //boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() { ! // return libraryObject_; ! //} }; Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** couponvectors.cpp 21 Nov 2006 08:11:40 -0000 1.42 --- couponvectors.cpp 24 Nov 2006 09:17:24 -0000 1.43 *************** *** 69,78 **** FixedRateCouponVector::FixedRateCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! const QuantLib::BusinessDayConvention& convention, ! const std::vector<double>& nominals, ! const std::vector<double>& couponRates, ! const QuantLib::DayCounter& dayCount) ! { cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule, convention, --- 69,77 ---- FixedRateCouponVector::FixedRateCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! const QuantLib::BusinessDayConvention& convention, ! const std::vector<double>& nominals, ! const std::vector<double>& couponRates, ! const QuantLib::DayCounter& dayCount) { cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule, convention, *************** *** 83,93 **** FloatingRateCouponVector::FloatingRateCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! 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_ = QuantLib::FloatingRateCouponVector(*schedule, index->businessDayConvention(), --- 82,91 ---- FloatingRateCouponVector::FloatingRateCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! 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_ = QuantLib::FloatingRateCouponVector(*schedule, index->businessDayConvention(), *************** *** 100,110 **** VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion) ! { libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! (typeOfVanillaCMSCouponPricer,vol,modelOfYieldCurve, meanReversion); } --- 98,107 ---- VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& v, ! const std::string& typeOfVanillaCMSCouponPricer, ! QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion) { libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! (typeOfVanillaCMSCouponPricer, v, modelOfYieldCurve, meanReversion); } Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** swaptionvolstructure.cpp 22 Nov 2006 10:58:43 -0000 1.42 --- swaptionvolstructure.cpp 24 Nov 2006 09:17:24 -0000 1.43 *************** *** 35,45 **** SwaptionConstantVolatility::SwaptionConstantVolatility( const QuantLib::Date& referenceDate, ! const double volatility, const QuantLib::DayCounter& dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionConstantVolatility(referenceDate, ! volatility, ! dayCounter)); } --- 35,45 ---- SwaptionConstantVolatility::SwaptionConstantVolatility( const QuantLib::Date& referenceDate, ! const QuantLib::Handle<QuantLib::Quote>& vol, const QuantLib::DayCounter& dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SwaptionConstantVolatility(referenceDate, ! vol, ! dayCounter)); } *************** *** 51,66 **** const QuantLib::DayCounter& dayCounter, const QuantLib::BusinessDayConvention bdc) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityMatrix(calendar, ! expiries, ! tenors, ! vols, ! dayCounter, ! bdc)); } std::vector<long> SwaptionVolatilityMatrix::locate( ! const QuantLib::Date& d, const QuantLib::Period& p) ! { std::pair<QuantLib::Size, QuantLib::Size> indexes = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityMatrix>( --- 51,66 ---- const QuantLib::DayCounter& dayCounter, const QuantLib::BusinessDayConvention bdc) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SwaptionVolatilityMatrix(calendar, ! expiries, ! tenors, ! vols, ! dayCounter, ! bdc)); } std::vector<long> SwaptionVolatilityMatrix::locate( ! const QuantLib::Date& d, ! const QuantLib::Period& p) { std::pair<QuantLib::Size, QuantLib::Size> indexes = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityMatrix>( *************** *** 101,108 **** bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, ! std::vector<bool> isParameterFixed, bool isAtmCalibrated) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, --- 101,108 ---- bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, ! const std::vector<bool>& isParameterFixed, bool isAtmCalibrated) { ! QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything"); libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, *************** *** 116,127 **** isParameterFixed, isAtmCalibrated)); ! ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> ! volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! sparseSabrParameters_ = volCube->sparseSabrParameters(); ! denseSabrParameters_ = volCube->denseSabrParameters(); ! marketVolCube_ = volCube->marketVolCube(); ! volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); } --- 116,152 ---- isParameterFixed, isAtmCalibrated)); ! } ! ! std::vector<std::vector<boost::any> > ! SwaptionVolatilityCubeBySabr::getSparseSabrParameters() { ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& ! volCube = boost::dynamic_pointer_cast< ! QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! return getSabrParameters(volCube->sparseSabrParameters()); ! } ! ! std::vector<std::vector<boost::any> > ! SwaptionVolatilityCubeBySabr::getDenseSabrParameters() { ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& ! volCube = boost::dynamic_pointer_cast< ! QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! return getSabrParameters(volCube->denseSabrParameters()); ! } ! ! std::vector<std::vector<boost::any> > ! SwaptionVolatilityCubeBySabr::getMarketVolCube() { ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& ! volCube = boost::dynamic_pointer_cast< ! QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! return getVolCube(volCube->marketVolCube()); ! } ! ! std::vector<std::vector<boost::any> > ! SwaptionVolatilityCubeBySabr::getVolCubeAtmCalibrated() { ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& ! volCube = boost::dynamic_pointer_cast< ! QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! return getVolCube(volCube->volCubeAtmCalibrated()); } *************** *** 225,250 **** InterpolatedSmileSection::InterpolatedSmileSection( ! double expiryTime, ! const std::vector<double>& strikes, ! const std::vector<double>& volatilities){ ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>( ! new QuantLib::InterpolatedSmileSection(expiryTime, ! strikes, ! volatilities)); ! } ! InterpolatedSmileSection::InterpolatedSmileSection( ! double expiryTime, ! double flatVolatility){ ! int n = 5; ! std::vector<double> fictitiousStrikes; ! for(int i=0; i<n; i++){ ! fictitiousStrikes.push_back(.01+.001*i); ! } ! const std::vector<double> volatilities = std::vector<double>(n, flatVolatility); ! libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>( ! new QuantLib::InterpolatedSmileSection(expiryTime, ! fictitiousStrikes, ! volatilities)); } --- 250,276 ---- 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)); ! } } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** swaptionvolstructure.hpp 22 Nov 2006 10:58:43 -0000 1.37 --- swaptionvolstructure.hpp 24 Nov 2006 09:17:24 -0000 1.38 *************** *** 36,41 **** public: SwaptionConstantVolatility(const QuantLib::Date& referenceDate, ! const double volatility, ! const QuantLib::DayCounter& dayCounter); }; --- 36,41 ---- public: SwaptionConstantVolatility(const QuantLib::Date& referenceDate, ! const QuantLib::Handle<QuantLib::Quote>&, ! const QuantLib::DayCounter& dayCounter); }; *************** *** 82,109 **** bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, ! std::vector<bool> isParameterFixed, bool isAtmCalibrated); ! ! const std::vector<std::vector<boost::any> > getSparseSabrParameters() ! { ! return getSabrParameters(sparseSabrParameters_); ! } ! const std::vector<std::vector<boost::any> > getDenseSabrParameters() ! { ! return getSabrParameters(denseSabrParameters_); ! } ! const std::vector<std::vector<boost::any> > getMarketVolCube() ! { ! return getVolCube(marketVolCube_); ! } ! const std::vector<std::vector<boost::any> > getVolCubeAtmCalibrated() ! { ! return getVolCube(volCubeAtmCalibrated_); ! } ! protected: ! QuantLib::Matrix sparseSabrParameters_; ! QuantLib::Matrix denseSabrParameters_; ! QuantLib::Matrix marketVolCube_; ! QuantLib::Matrix volCubeAtmCalibrated_; }; --- 82,91 ---- bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, ! const std::vector<bool>& isParameterFixed, bool isAtmCalibrated); ! std::vector<std::vector<boost::any> > getSparseSabrParameters(); ! std::vector<std::vector<boost::any> > getDenseSabrParameters(); ! std::vector<std::vector<boost::any> > getMarketVolCube(); ! std::vector<std::vector<boost::any> > getVolCubeAtmCalibrated(); }; *************** *** 113,123 **** class InterpolatedSmileSection : public SmileSectionInterface { public: ! InterpolatedSmileSection( ! double expiryTime, ! const std::vector<double>& strikes, ! const std::vector<double>& volatilities); ! InterpolatedSmileSection( ! double expiryTime, ! double flatVolatility); }; --- 95,102 ---- 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); }; *************** *** 133,137 **** const QuantLib::Period& length); }; - } --- 112,115 ---- |
|
From: Giorgio F. <gi...@us...> - 2006-11-24 09:17:27
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31111/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.80 retrieving revision 1.81 diff -C2 -d -r1.80 -r1.81 *** swaptionvolstructure.xml 22 Nov 2006 13:34:14 -0000 1.80 --- swaptionvolstructure.xml 24 Nov 2006 09:17:24 -0000 1.81 *************** *** 272,279 **** <description>reference date</description> </Parameter> ! <Parameter name='volatility' libraryType='QuantLib::Volatility'> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>swaption constant volatilities </description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> --- 272,279 ---- <description>reference date</description> </Parameter> ! <Parameter name='volatility' libToHandle='Quote'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>vol quotes</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> *************** *** 318,322 **** <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> --- 318,322 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention' default='"Following"'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 674,681 **** <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Time'> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>expiry</description> </Parameter> <Parameter name='strikes' libraryType='QuantLib::Rate'> --- 674,686 ---- <ParameterList> <Parameters> ! <Parameter name='expiry' 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'> *************** *** 693,718 **** </Constructor> - <Constructor name='qlFictitiousSmileSection'> - <libraryFunction>InterpolatedSmileSection</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='expiry' libraryType='QuantLib::Time'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>expiry</description> - </Parameter> - <Parameter name='flatVolatility' libraryType='QuantLib::Volatility'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>flat Volatility</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <Member name='qlVolatilityFromSmile' libraryClass='SmileSectionInterface'> <description>Return the volatility from SmileSection</description> --- 698,701 ---- |
|
From: Eric E. <eri...@us...> - 2006-11-22 21:38:51
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16424/qlo/Conversions Added Files: conversions.cpp conversions.hpp Log Message: support for coercion --- NEW FILE: conversions.cpp --- /* Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers 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. */ #if defined(HAVE_CONFIG_H) // Dynamically created by configure #include <qlo/config.hpp> #endif #include <qlo/Conversions/conversions.hpp> namespace ObjHandler { double libraryToScalar(const QuantLib::InterestRate &i) { return i.rate(); } double libraryToScalar(const QuantLib::Rate &r) { return r; } long libraryToScalar(const QuantLib::Date &d) { return d.serialNumber(); } std::string libraryToScalar(const QuantLib::Period &period) { std::ostringstream s; s << period; return s.str(); } std::vector<std::string> libraryToVector(const std::vector<QuantLib::Period> &v) { std::vector<std::string> ret; for (std::vector<QuantLib::Period>::const_iterator i = v.begin(); i != v.end(); i++) ret.push_back(libraryToScalar(*i)); return ret; } std::vector<long> libraryToVector(const std::vector<QuantLib::Date> &v) { std::vector<long> ret; for (std::vector<QuantLib::Date>::const_iterator i = v.begin(); i != v.end(); i++) ret.push_back(i->serialNumber()); return ret; } std::vector<long> libraryToVector(const std::vector<QuantLib::Size> &v) { std::vector<long> ret; for (std::vector<QuantLib::Size>::const_iterator i = v.begin(); i != v.end(); i++) ret.push_back(*i); return ret; } } --- NEW FILE: conversions.hpp --- /* Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers 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 qlo_conversions_hpp #define qlo_conversions_hpp #include <qlo/qladdindefines.hpp> #include <ql/date.hpp> #include <ql/calendar.hpp> #include <ql/interestrate.hpp> #include <vector> namespace ObjHandler { double libraryToScalar(const QuantLib::InterestRate&); double libraryToScalar(const QuantLib::Rate&); long libraryToScalar(const QuantLib::Date&); std::string libraryToScalar(const QuantLib::Period&); std::vector<long> libraryToVector(const std::vector<QuantLib::Date>&); std::vector<long> libraryToVector(const std::vector<QuantLib::Size>&); std::vector<std::string> libraryToVector(const std::vector<QuantLib::Period>&); } #endif |
|
From: Eric E. <eri...@us...> - 2006-11-22 21:37:29
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15842/qlo/Conversions Modified Files: all.hpp Added Files: coercecurve.cpp coercecurve.hpp coercehandle.hpp coerceindex.hpp coerceobject.hpp Removed Files: conversions.cpp conversions.hpp enumorobject.hpp handletoobject.hpp objecttohandle.hpp Log Message: support for coercion Index: all.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions/all.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** all.hpp 19 Nov 2006 13:08:48 -0000 1.1 --- all.hpp 22 Nov 2006 21:37:25 -0000 1.2 *************** *** 21,27 **** #include <oh/Conversions/coerce.hpp> #include <qlo/Conversions/conversions.hpp> ! #include <qlo/Conversions/enumorobject.hpp> ! #include <qlo/Conversions/handletoobject.hpp> ! #include <qlo/Conversions/objecttohandle.hpp> #endif --- 21,28 ---- #include <oh/Conversions/coerce.hpp> #include <qlo/Conversions/conversions.hpp> ! #include <qlo/Conversions/coerceobject.hpp> ! #include <qlo/Conversions/coercehandle.hpp> ! #include <qlo/Conversions/coerceindex.hpp> ! #include <qlo/Conversions/coercecurve.hpp> #endif --- NEW FILE: coerceindex.hpp --- /* Copyright (C) 2006 Eric Ehlers 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 qlo_conversions_enumorobject_hpp #define qlo_conversions_enumorobject_hpp #include <oh/Conversions/coerce.hpp> #include <oh/exception.hpp> #include <qlo/typefactory.hpp> namespace ObjHandler { // CoerceIndexVector - accept a string which is the ID of either // and Enumerated Class or an object in the repository, // and return the appropriate index object template <class enumClass, class qlClass> bool indexFromRegistry( const std::string &in, boost::shared_ptr<qlClass> &out) { if (!QuantLibAddin::Create<boost::shared_ptr<QuantLib::Index> >().checkType(in)) return false; boost::shared_ptr<QuantLib::Index> indexPointer = QuantLibAddin::Create<boost::shared_ptr<QuantLib::Index> >()(in); out = boost::dynamic_pointer_cast<qlClass>(indexPointer); OH_REQUIRE(out, "Unable to convert enumerated class with ID " << in << " to class " << typeid(qlClass).name()); return true; } template <class qloClass, class qlClass> bool indexFromRepository( const std::string &in, boost::shared_ptr<qlClass> &out) { OH_GET_REFERENCE(ret, in, qloClass, qlClass) out = ret; return true; } template <class qloClass, class qlClass> class CoerceIndex : public ObjHandler::Coerce< const std::string, boost::shared_ptr<qlClass> > { Conversion *getConversions() { static Conversion conversions[] = { indexFromRegistry<qlClass>, indexFromRepository<qloClass, qlClass>, 0 }; return conversions; }; }; template <class qloClass, class qlClass> inline std::vector<boost::shared_ptr<qlClass> > CoerceIndexVector( const std::vector<std::string> &ids) { std::vector<boost::shared_ptr<qlClass> > ret; std::vector<std::string>::const_iterator i; for (i = ids.begin(); i != ids.end(); i++) ret.push_back(CoerceIndex<qloClass, qlClass>()(*i)); return ret; } } #endif --- conversions.hpp DELETED --- --- NEW FILE: coercehandle.hpp --- /* Copyright (C) 2006 Eric Ehlers 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 qlo_conversions_objecttohandle_hpp #define qlo_conversions_objecttohandle_hpp #include <oh/Conversions/coerce.hpp> #include <oh/exception.hpp> #include <qlo/handle.hpp> namespace ObjHandler { // Accept an id of an Object in the Repository and return a QuantLib::Handle<qlClass>. // 1) If the id is an empty string then return an empty handle // 2) If the Object is of class QuantLibAddin::Handle then return the contained QuantLib::Handle<qlClass> // 3) If the Object is of class QuantLibAddin::qloClass then convert it to a QuantLib::Handle<qlClass> // 4) Otherwise the Object is of an unexpected class so raise an exception template <class qlClass> bool objectToHandle( const boost::shared_ptr<ObjHandler::Object> &in, QuantLib::Handle<qlClass> &out) { boost::shared_ptr<QuantLibAddin::Handle<qlClass> > handlePointer = boost::dynamic_pointer_cast<QuantLibAddin::Handle<qlClass> >(in); if (handlePointer) { out = handlePointer->getHandle(); return true; } else { return false; } } template <class qloClass, class qlClass> bool wrapObject( const boost::shared_ptr<ObjHandler::Object> &in, QuantLib::Handle<qlClass> &out) { boost::shared_ptr<qloClass> qloPointer = boost::dynamic_pointer_cast<qloClass>(in); if (qloPointer) { boost::shared_ptr<qlClass> ret; qloPointer->getLibraryObject(ret); out.linkTo(ret); return true; } else { return false; } } template <class qloClass, class qlClass> class CoerceHandle : public ObjHandler::Coerce< boost::shared_ptr<ObjHandler::Object>, QuantLib::Handle<qlClass> > { Conversion *getConversions() { static Conversion conversions[] = { objectToHandle<qlClass>, wrapObject<qloClass, qlClass>, 0 }; return conversions; }; }; } #endif --- NEW FILE: coercecurve.hpp --- /* Copyright (C) 2006 Eric Ehlers 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 qlo_conversions_handletoobject_hpp #define qlo_conversions_handletoobject_hpp #include <oh/Conversions/coerce.hpp> #include <oh/exception.hpp> #include <qlo/handle.hpp> #include <ql/yieldtermstructure.hpp> #include <ql/swaptionvolstructure.hpp> namespace ObjHandler { bool curveFromObject( const boost::shared_ptr<ObjHandler::Object> &in, boost::shared_ptr<QuantLib::TermStructure> &out); template <class CurveHandle> bool curveFromHandle( const boost::shared_ptr<ObjHandler::Object> &in, boost::shared_ptr<QuantLib::TermStructure> &out) { boost::shared_ptr<QuantLibAddin::Handle<CurveHandle> > handleCurve = boost::dynamic_pointer_cast< QuantLibAddin::Handle<CurveHandle> >(in); if (!handleCurve) return false; OH_REQUIRE(!handleCurve->getHandle().empty(), "handle contains null reference"); boost::shared_ptr<CurveHandle> pointerCurve = handleCurve->getHandle().currentLink(); OH_REQUIRE(pointerCurve, "unable to retrieve reference" << " contained in handle"); out = boost::dynamic_pointer_cast<QuantLib::TermStructure>(pointerCurve); OH_REQUIRE(out, "unable to convert reference from " << typeid(CurveHandle).name() << " to QuantLib::TermStructure"); return true; } class CoerceCurve : public ObjHandler::Coerce< boost::shared_ptr<ObjHandler::Object>, boost::shared_ptr<QuantLib::TermStructure> > { Conversion *getConversions() { static Conversion conversions[] = { curveFromObject, curveFromHandle<QuantLib::YieldTermStructure>, curveFromHandle<QuantLib::SwaptionVolatilityStructure>, 0 }; return conversions; }; }; } #endif --- NEW FILE: coercecurve.cpp --- /* Copyright (C) 2006 Eric Ehlers 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/Conversions/coercecurve.hpp> #include <qlo/termstructures.hpp> namespace ObjHandler { bool curveFromObject( const boost::shared_ptr<ObjHandler::Object> &in, boost::shared_ptr<QuantLib::TermStructure> &out) { boost::shared_ptr<QuantLibAddin::TermStructure> pointerTS = boost::dynamic_pointer_cast<QuantLibAddin::TermStructure>(in); if (pointerTS) { pointerTS->getLibraryObject(out); return true; } else { return false; } } } --- handletoobject.hpp DELETED --- --- conversions.cpp DELETED --- --- NEW FILE: coerceobject.hpp --- /* Copyright (C) 2006 Eric Ehlers 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 qlo_conversions_coerceobject_hpp #define qlo_conversions_coerceobject_hpp #include <oh/Conversions/coerce.hpp> #include <oh/exception.hpp> #include <qlo/handle.hpp> namespace ObjHandler { // Accept an id of an Object in the Repository and return a boost::shared_ptr<qlClass>. // 1) If the Object is of class QuantLibAddin::Handle then return the contained boost::shared_ptr<qlClass> // 2) If the Object is of class QuantLibAddin::qloClass then return the contained boost::shared_ptr<qlClass> // 3) Otherwise the Object is of an unexpected class so raise an exception template <class qloClass, class qlClass> bool referenceFromObject( const boost::shared_ptr<ObjHandler::Object> &in, boost::shared_ptr<qlClass> &out) { boost::shared_ptr<qloClass> qloPointer = boost::dynamic_pointer_cast<qloClass>(in); if (qloPointer) { qloPointer->getLibraryObject(out); return true; } else { return false; } } template <class qlClass> bool referenceFromHandle( const boost::shared_ptr<ObjHandler::Object> &in, boost::shared_ptr<qlClass> &out) { boost::shared_ptr<QuantLibAddin::Handle<qlClass> > handlePointer = boost::dynamic_pointer_cast<QuantLibAddin::Handle<qlClass> >(in); if (!handlePointer) return false; OH_REQUIRE(!handlePointer->getHandle().empty(), "handle contains null reference"); out = handlePointer->getHandle().currentLink(); OH_REQUIRE(out, "unable to retrieve reference" << " contained in handle"); return true; } template <class qloClass, class qlClass> class CoerceObject : public ObjHandler::Coerce< boost::shared_ptr<ObjHandler::Object>, boost::shared_ptr<qlClass> > { Conversion *getConversions() { static Conversion conversions[] = { referenceFromObject<qloClass, qlClass>, referenceFromHandle<qlClass>, 0 }; return conversions; }; }; } #endif --- objecttohandle.hpp DELETED --- --- enumorobject.hpp DELETED --- |
|
From: Eric E. <eri...@us...> - 2006-11-22 21:37:29
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15842/qlo Modified Files: handle.hpp Log Message: support for coercion Index: handle.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/handle.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** handle.hpp 16 Jun 2006 10:14:30 -0000 1.2 --- handle.hpp 22 Nov 2006 21:37:26 -0000 1.3 *************** *** 32,35 **** --- 32,37 ---- } void linkTo(const boost::shared_ptr<T> &observable) { + QL_REQUIRE(observable, "Error relinking handle of type " + << typeid(this).name() << " - input object is null"); handle_.linkTo(observable); } |
|
From: Eric E. <eri...@us...> - 2006-11-22 21:37:29
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15842 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj todonando.txt Log Message: support for coercion Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.51 retrieving revision 1.52 diff -C2 -d -r1.51 -r1.52 *** todonando.txt 22 Nov 2006 17:28:35 -0000 1.51 --- todonando.txt 22 Nov 2006 21:37:24 -0000 1.52 *************** *** 66,79 **** - DONE network launcher: actions are disabled in pre-defined environments - DONE network launcher: add AddinDocs() ! - coerce between double and Quote ! - coerce between Handle<T> and T ! - coerce between period->date ! - coerce between YieldTermStructure, SwaptionVolStructure, etc -> TermStructure - sensitivity - discount factors output is not col/row enabled - - ohparse as François VBA split - - QuantLibXL menu before windows - increment version number --- 66,79 ---- - 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 ! - CANCELLED? ohparse as François VBA split - sensitivity - discount factors output is not col/row enabled - increment version number Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.53 retrieving revision 1.54 diff -C2 -d -r1.53 -r1.54 *** QuantLibObjects_vc8.vcproj 19 Nov 2006 13:08:42 -0000 1.53 --- QuantLibObjects_vc8.vcproj 22 Nov 2006 21:37:24 -0000 1.54 *************** *** 986,1006 **** </File> <File ! RelativePath=".\qlo\Conversions\conversions.cpp" > </File> <File ! RelativePath=".\qlo\Conversions\conversions.hpp" > </File> <File ! RelativePath=".\qlo\Conversions\enumorobject.hpp" > </File> <File ! RelativePath=".\qlo\Conversions\handletoobject.hpp" > </File> <File ! RelativePath=".\qlo\Conversions\objecttohandle.hpp" > </File> --- 986,1014 ---- </File> <File ! RelativePath=".\qlo\Conversions\coercecurve.cpp" > </File> <File ! RelativePath=".\qlo\Conversions\coercecurve.hpp" > </File> <File ! RelativePath=".\qlo\Conversions\coercehandle.hpp" > </File> <File ! RelativePath=".\qlo\Conversions\coerceindex.hpp" > </File> <File ! RelativePath=".\qlo\Conversions\coerceobject.hpp" ! > ! </File> ! <File ! RelativePath=".\qlo\Conversions\conversions.cpp" ! > ! </File> ! <File ! RelativePath=".\qlo\Conversions\conversions.hpp" > </File> Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.44 retrieving revision 1.45 diff -C2 -d -r1.44 -r1.45 *** QuantLibObjects.vcproj 19 Nov 2006 13:08:41 -0000 1.44 --- QuantLibObjects.vcproj 22 Nov 2006 21:37:24 -0000 1.45 *************** *** 839,855 **** </File> <File ! RelativePath=".\qlo\Conversions\conversions.cpp"> </File> <File ! RelativePath=".\qlo\Conversions\conversions.hpp"> </File> <File ! RelativePath=".\qlo\Conversions\enumorobject.hpp"> </File> <File ! RelativePath=".\qlo\Conversions\handletoobject.hpp"> </File> <File ! RelativePath=".\qlo\Conversions\objecttohandle.hpp"> </File> </Filter> --- 839,861 ---- </File> <File ! RelativePath=".\qlo\Conversions\coercecurve.cpp"> </File> <File ! RelativePath=".\qlo\Conversions\coercecurve.hpp"> </File> <File ! RelativePath=".\qlo\Conversions\coercehandle.hpp"> </File> <File ! RelativePath=".\qlo\Conversions\coerceindex.hpp"> </File> <File ! RelativePath=".\qlo\Conversions\coerceobject.hpp"> ! </File> ! <File ! RelativePath=".\qlo\Conversions\conversions.cpp"> ! </File> ! <File ! RelativePath=".\qlo\Conversions\conversions.hpp"> </File> </Filter> |
|
From: Eric E. <eri...@us...> - 2006-11-22 21:37:29
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15842/gensrc/metadata Modified Files: index.xml interpolation.xml marketmodels.xml termstructures.xml Log Message: support for coercion Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** index.xml 22 Nov 2006 13:34:14 -0000 1.48 --- index.xml 22 Nov 2006 21:37:25 -0000 1.49 *************** *** 371,375 **** <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> --- 371,377 ---- <description>day counter (e.g. Actual360)</description> </Parameter> ! <!-- NULL REFERENCES NO LONGER SUPPORTED ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure' default='""'--> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** interpolation.xml 22 Nov 2006 13:34:14 -0000 1.45 --- interpolation.xml 22 Nov 2006 21:37:25 -0000 1.46 *************** *** 352,356 **** <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> </Parameter> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> --- 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> Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.58 retrieving revision 1.59 diff -C2 -d -r1.58 -r1.59 *** marketmodels.xml 22 Nov 2006 13:34:14 -0000 1.58 --- marketmodels.xml 22 Nov 2006 21:37:25 -0000 1.59 *************** *** 1089,1093 **** <description>Reference time for the above Black vol vector.</description> </Parameter> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> --- 1089,1095 ---- <description>Reference time for the above Black vol vector.</description> </Parameter> ! <!-- NULL REFERENCES NO LONGER SUPPORTED ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='""'--> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod'> <type>string</type> <tensorRank>scalar</tensorRank> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** termstructures.xml 22 Nov 2006 16:31:22 -0000 1.49 --- termstructures.xml 22 Nov 2006 21:37:25 -0000 1.50 *************** *** 12,16 **** <!-- TermStructure interface --> ! <Member name='qlTermStructureReferenceDate' handleToLib='TermStructure' handleToLib2='YieldTermStructure'> <description>Returns the reference date for the given TermStructure object</description> <libraryFunction>referenceDate</libraryFunction> --- 12,16 ---- <!-- TermStructure interface --> ! <Member name='qlTermStructureReferenceDate' handleToLib='TermStructure'> <description>Returns the reference date for the given TermStructure object</description> <libraryFunction>referenceDate</libraryFunction> *************** *** 27,31 **** </Member> ! <Member name='qlTermStructureCalendar' handleToLib='TermStructure' handleToLib2='YieldTermStructure'> <description>Returns the calendar used by the given TermStructure object</description> <libraryFunction>calendar</libraryFunction> --- 27,31 ---- </Member> ! <Member name='qlTermStructureCalendar' handleToLib='TermStructure'> <description>Returns the calendar used by the given TermStructure object</description> <libraryFunction>calendar</libraryFunction> *************** *** 42,46 **** </Member> ! <Member name='qlTermStructureMaxDate' handleToLib='TermStructure' handleToLib2='YieldTermStructure'> <description>Returns the max date for the given TermStructure object</description> <libraryFunction>maxDate</libraryFunction> --- 42,46 ---- </Member> ! <Member name='qlTermStructureMaxDate' handleToLib='TermStructure'> <description>Returns the max date for the given TermStructure object</description> <libraryFunction>maxDate</libraryFunction> *************** *** 57,61 **** </Member> ! <Member name='qlTermStructureDayCounter' handleToLib='TermStructure' handleToLib2='YieldTermStructure'> <description>Returns the DayCounter used by the given TermStructure object</description> <libraryFunction>dayCounter</libraryFunction> --- 57,61 ---- </Member> ! <Member name='qlTermStructureDayCounter' handleToLib='TermStructure'> <description>Returns the DayCounter used by the given TermStructure object</description> <libraryFunction>dayCounter</libraryFunction> *************** *** 277,281 **** <ParameterList> <Parameters> ! <Parameter name='YieldCurve' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> --- 277,281 ---- <ParameterList> <Parameters> ! <Parameter name='YieldCurve' libraryClass='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> |
|
From: Ferdinando A. <na...@us...> - 2006-11-22 17:28:40
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7112 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.50 retrieving revision 1.51 diff -C2 -d -r1.50 -r1.51 *** todonando.txt 22 Nov 2006 13:34:15 -0000 1.50 --- todonando.txt 22 Nov 2006 17:28:35 -0000 1.51 *************** *** 11,15 **** - make BlackCalculator observer/observable, make it lazy - riordinare costruttore swap - - spostare YieldCurveMonitor in Tests - new end of day live feed snapshot procedure --- 11,14 ---- *************** *** 26,30 **** François ! - safe snapshot (check live feed == TRUE, else disable button) - consolidare tutti i multistep in un'unico test - use MakeCapFloor in Excel test wkb --- 25,29 ---- 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 |
|
From: Ferdinando A. <na...@us...> - 2006-11-22 16:31:30
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14284/gensrc/metadata Modified Files: termstructures.xml Log Message: added period based method Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** termstructures.xml 22 Nov 2006 13:34:14 -0000 1.48 --- termstructures.xml 22 Nov 2006 16:31:22 -0000 1.49 *************** *** 101,105 **** <Member name='qlForwardRate' handleToLib='YieldTermStructure' loopParameter='d2'> ! <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> <SupportedPlatforms> --- 101,105 ---- <Member name='qlForwardRate' handleToLib='YieldTermStructure' loopParameter='d2'> ! <description>Returns the implied forward interest rate</description> <libraryFunction>forwardRate</libraryFunction> <SupportedPlatforms> *************** *** 111,120 **** <type>long</type> <tensorRank>scalar</tensorRank> ! <description>date 1</description> </Parameter> <Parameter name='d2' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> ! <description>date 2</description> </Parameter> <Parameter name='resultDayCounter' enumeration='QuantLib::DayCounter'> --- 111,120 ---- <type>long</type> <tensorRank>scalar</tensorRank> ! <description>first date</description> </Parameter> <Parameter name='d2' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> ! <description>second date</description> </Parameter> <Parameter name='resultDayCounter' enumeration='QuantLib::DayCounter'> *************** *** 126,130 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> <Parameter name='frequency' enumeration='QuantLib::Frequency' default='"Annual"' const='False'> --- 126,176 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Interest rate compounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='frequency' enumeration='QuantLib::Frequency' default='"Annual"' const='False'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> ! </Parameter> ! <Parameter name='extrapolate' default='false' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>extrapolate</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::InterestRate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlForwardRate2' handleToLib='YieldTermStructure' loopParameter='date'> ! <description>Returns the implied forward interest rate</description> ! <libraryFunction>forwardRate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>first date</description> ! </Parameter> ! <Parameter name='Period' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Period (e.g. '7D', '3M', '1Y', etc)</description> ! </Parameter> ! <Parameter name='resultDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>result DayCounter</description> ! </Parameter> ! <Parameter name='compounding' enumeration='QuantLib::Compounding' const='False'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate compounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> <Parameter name='frequency' enumeration='QuantLib::Frequency' default='"Annual"' const='False'> |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32079/gensrc/metadata Modified Files: assetswap.xml bonds.xml capfloor.xml capletvolstructure.xml cmsmarket.xml couponvectors.xml enumclasses.xml forwardrateagreement.xml index.xml instruments.xml interpolation.xml marketmodels.xml options.xml pricingengines.xml ratehelpers.xml shortratemodels.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml vanillaswap.xml Log Message: homogeneous name/description when an object ID is required as input Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** vanillaswap.xml 6 Nov 2006 09:24:39 -0000 1.34 --- vanillaswap.xml 22 Nov 2006 13:34:14 -0000 1.35 *************** *** 31,38 **** <description>Notional Amount</description> </Parameter> ! <Parameter name='fixedLegScheduleID' libraryClass='Schedule'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule</description> </Parameter> <Parameter name='fixedRate' libraryType='QuantLib::Rate'> --- 31,38 ---- <description>Notional Amount</description> </Parameter> ! <Parameter name='fixedLegSchedule' libraryClass='Schedule'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule object ID</description> </Parameter> <Parameter name='fixedRate' libraryType='QuantLib::Rate'> *************** *** 46,58 **** <description>fixed leg day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='floatingLegScheduleID' libraryClass='Schedule'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg schedule</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> --- 46,58 ---- <description>fixed leg day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='floatingLegSchedule' libraryClass='Schedule'> <type>string</type> <tensorRank>scalar</tensorRank> ! <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'> *************** *** 66,73 **** <description>floating day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> </Parameters> --- 66,73 ---- <description>floating day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> </Parameters> *************** *** 90,94 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating index</description> </Parameter> <Parameter name='fixedRate' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'> --- 90,94 ---- <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>()'> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** ratehelpers.xml 30 Oct 2006 10:30:57 -0000 1.34 --- ratehelpers.xml 22 Nov 2006 13:34:14 -0000 1.35 *************** *** 145,152 **** <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg index</description> </Parameter> </Parameters> --- 145,152 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="index" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg index object ID</description> </Parameter> </Parameters> Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** shortratemodels.xml 7 Nov 2006 10:16:48 -0000 1.16 --- shortratemodels.xml 22 Nov 2006 13:34:14 -0000 1.17 *************** *** 19,26 **** <ParameterList> <Parameters> ! <Parameter name='termStructure' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure</description> </Parameter> <Parameter name='a'> --- 19,26 ---- <ParameterList> <Parameters> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>yield term structure</description> </Parameter> <Parameter name='a'> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** termstructures.xml 7 Nov 2006 14:26:06 -0000 1.47 --- termstructures.xml 22 Nov 2006 13:34:14 -0000 1.48 *************** *** 231,238 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>termStructureID</description> </Parameter> </Parameters> --- 231,238 ---- <ParameterList> <Parameters> ! <Parameter name='YieldCurve' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure object ID</description> </Parameter> </Parameters> *************** *** 248,255 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>termStructureID</description> </Parameter> </Parameters> --- 248,255 ---- <ParameterList> <Parameters> ! <Parameter name='YieldCurve' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure object ID</description> </Parameter> </Parameters> *************** *** 430,437 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Base YieldTermStructure to be spreaded</description> </Parameter> <Parameter name='spread'> --- 430,437 ---- <ParameterList> <Parameters> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> <Parameter name='spread'> *************** *** 451,458 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Base YieldTermStructure to be shifted in time</description> </Parameter> <Parameter name='referenceDate' libraryType='QuantLib::Date'> --- 451,458 ---- <ParameterList> <Parameters> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> <Parameter name='referenceDate' libraryType='QuantLib::Date'> *************** *** 525,532 **** <ParameterList> <Parameters> ! <Parameter name='quoteID' libraryClass='Quote'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>ID of a Quote object</description> </Parameter> </Parameters> --- 525,532 ---- <ParameterList> <Parameters> ! <Parameter name='quote' libraryClass='Quote'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Quote object ID</description> </Parameter> </Parameters> *************** *** 542,549 **** <ParameterList> <Parameters> ! <Parameter name='quoteID' libraryClass='Quote'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>ID of a Quote object</description> </Parameter> </Parameters> --- 542,549 ---- <ParameterList> <Parameters> ! <Parameter name='quote' libraryClass='Quote'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Quote object ID</description> </Parameter> </Parameters> Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** index.xml 22 Nov 2006 10:48:50 -0000 1.47 --- index.xml 22 Nov 2006 13:34:14 -0000 1.48 *************** *** 371,378 **** <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>forecasting term structure</description> </Parameter> </Parameters> --- 371,378 ---- <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>forecasting yield term structure</description> </Parameter> </Parameters> *************** *** 501,508 **** <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap's underlying index</description> </Parameter> </Parameters> --- 501,508 ---- <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> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** bonds.xml 6 Nov 2006 19:15:37 -0000 1.41 --- bonds.xml 22 Nov 2006 13:34:14 -0000 1.42 *************** *** 367,374 **** <description>redemption</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> </Parameters> --- 367,374 ---- <description>redemption</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> </Parameters> *************** *** 453,460 **** <description>long first/last period</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> </Parameters> --- 453,460 ---- <description>long first/last period</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> </Parameters> *************** *** 544,551 **** <description>Redemption</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> <Parameter name='stubDate' libraryType='QuantLib::Date' default='QuantLib::Date()'> --- 544,551 ---- <description>Redemption</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> <Parameter name='stubDate' libraryType='QuantLib::Date' default='QuantLib::Date()'> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** swap.xml 21 Nov 2006 13:51:26 -0000 1.38 --- swap.xml 22 Nov 2006 13:34:14 -0000 1.39 *************** *** 34,41 **** <description>TRUE for payed leg</description> </Parameter> ! <Parameter name='termStructure' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>The ID of the discounting term structure</description> </Parameter> </Parameters> --- 34,41 ---- <description>TRUE for payed leg</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> </Parameters> *************** *** 58,62 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap index</description> </Parameter> <Parameter name='iborSpread' libraryType='QuantLib::Spread'> --- 58,62 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap index object ID</description> </Parameter> <Parameter name='iborSpread' libraryType='QuantLib::Spread'> *************** *** 68,72 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Cms coupon pricer</description> </Parameter> <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='0*QuantLib::Days'>--> --- 68,72 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Cms coupon pricer object ID</description> </Parameter> <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='0*QuantLib::Days'>--> Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** enumclasses.xml 13 Nov 2006 09:44:31 -0000 1.30 --- enumclasses.xml 22 Nov 2006 13:34:14 -0000 1.31 *************** *** 1,1011 **** <root> ! <enumClassCopyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Chiara Fornarola ! </enumClassCopyright> ! <Enumerations> [...1993 lines suppressed...] ! <EnumerationDefinition> ! <string>EURIBOR SW 5Y</string> ! <value>EURIBORSWAPFIXIFR_5Y</value> ! <libraryClass>QuantLib::EuriborSwapFixIFR5Y</libraryClass> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>EURIBOR SW 10Y</string> ! <value>EURIBORSWAPFIXIFR_10Y</value> ! <libraryClass>QuantLib::EuriborSwapFixIFR10Y</libraryClass> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>EURIBOR SW 30Y</string> ! <value>EURIBORSWAPFIXIFR_30Y</value> ! <libraryClass>QuantLib::EuriborSwapFixIFR30Y</libraryClass> ! </EnumerationDefinition> ! </EnumerationDefinitions> ! </Enumeration> ! </Enumerations> </root> Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.57 retrieving revision 1.58 diff -C2 -d -r1.57 -r1.58 *** marketmodels.xml 13 Nov 2006 09:44:12 -0000 1.57 --- marketmodels.xml 22 Nov 2006 13:34:14 -0000 1.58 *************** *** 125,132 **** <description>payment times of the product</description> </Parameter> ! <Parameter name='payoffIDs' libraryClass='Payoff'> <type>string</type> <tensorRank>vector</tensorRank> ! <description>ID of striked type payoff objects</description> </Parameter> </Parameters> --- 125,132 ---- <description>payment times of the product</description> </Parameter> ! <Parameter name='payoffs' libraryClass='Payoff'> <type>string</type> <tensorRank>vector</tensorRank> ! <description>striked type payoff object IDs</description> </Parameter> </Parameters> *************** *** 1092,1096 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>optimization method</description> </Parameter> </Parameters> --- 1092,1096 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>optimization method object ID</description> </Parameter> </Parameters> *************** *** 1207,1229 **** <Procedure name='qlCoterminalSwapForwardJacobian'> ! <description>Returns the jacobian between coterminal swap rates and forward rates</description> ! <alias>QuantLib::SwapForwardMappings::coterminalSwapForwardJacobian</alias> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='curveState' underlyingClass='CurveState'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>CurveState object ID</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> </Procedure> --- 1207,1229 ---- <Procedure name='qlCoterminalSwapForwardJacobian'> ! <description>Returns the jacobian between coterminal swap rates and forward rates</description> ! <alias>QuantLib::SwapForwardMappings::coterminalSwapForwardJacobian</alias> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='curveState' underlyingClass='CurveState'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>CurveState object ID</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> </Procedure> *************** *** 1590,1594 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>MarketModel object</description> </Parameter> <Parameter name='brownianGeneratorFactory' underlyingClass='BrownianGeneratorFactory'> --- 1590,1594 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>MarketModel object ID</description> </Parameter> <Parameter name='brownianGeneratorFactory' underlyingClass='BrownianGeneratorFactory'> *************** *** 1617,1621 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>MarketModel object</description> </Parameter> <Parameter name='brownianGeneratorFactory' underlyingClass='BrownianGeneratorFactory'> --- 1617,1621 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>MarketModel object ID</description> </Parameter> <Parameter name='brownianGeneratorFactory' underlyingClass='BrownianGeneratorFactory'> *************** *** 1646,1650 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>MarketModelEvolver object</description> </Parameter> <Parameter name='product' underlyingClass='MarketModelMultiProduct'> --- 1646,1650 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>MarketModelEvolver object ID</description> </Parameter> <Parameter name='product' underlyingClass='MarketModelMultiProduct'> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.79 retrieving revision 1.80 diff -C2 -d -r1.79 -r1.80 *** swaptionvolstructure.xml 22 Nov 2006 10:58:43 -0000 1.79 --- swaptionvolstructure.xml 22 Nov 2006 13:34:14 -0000 1.80 *************** *** 52,56 **** </ReturnValue> </Member> ! <Member name='qlSwaptionVTSVolatility2' handleToLib='SwaptionVolatilityStructure' loopParameter='optionTenor'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given option tenor and underlying swap length.</description> --- 52,56 ---- </ReturnValue> </Member> ! <Member name='qlSwaptionVTSVolatility2' handleToLib='SwaptionVolatilityStructure' loopParameter='optionTenor'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given option tenor and underlying swap length.</description> *************** *** 229,236 **** <ParameterList> <Parameters> ! <Parameter name='swaptionVolID' libraryClass='SwaptionVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>ID of the SwaptionVolatilityStructure object</description> </Parameter> </Parameters> --- 229,236 ---- <ParameterList> <Parameters> ! <Parameter name='swaptionVol' libraryClass='SwaptionVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>SwaptionVolatilityStructure object ID</description> </Parameter> </Parameters> *************** *** 246,253 **** <ParameterList> <Parameters> ! <Parameter name='swaptionVolID' libraryClass='SwaptionVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>ID of the SwaptionVolatilityStructure object</description> </Parameter> </Parameters> --- 246,253 ---- <ParameterList> <Parameters> ! <Parameter name='swaptionVol' libraryClass='SwaptionVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>SwaptionVolatilityStructure object ID</description> </Parameter> </Parameters> *************** *** 420,427 **** <description>matrix of spread vol quotes</description> </Parameter> ! <Parameter name='swapIndexBaseID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap Index Base</description> </Parameter> <Parameter name='vegaWeightedSmileFit'> --- 420,427 ---- <description>matrix of spread vol quotes</description> </Parameter> ! <Parameter name='swapIndexBase' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Base SwapIndex object ID</description> </Parameter> <Parameter name='vegaWeightedSmileFit'> *************** *** 460,464 **** </ReturnValue> </Member> ! <Member name='qlSwaptionVTSatmStrike2' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given option tenor and underlying swap length.</description> --- 460,464 ---- </ReturnValue> </Member> ! <Member name='qlSwaptionVTSatmStrike2' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given option tenor and underlying swap length.</description> *************** *** 521,528 **** <description>matrix of spread vol quotes</description> </Parameter> ! <Parameter name='swapIndexBaseID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap Index Base</description> </Parameter> <Parameter name='vegaWeightedSmileFit'> --- 521,528 ---- <description>matrix of spread vol quotes</description> </Parameter> ! <Parameter name='swapIndexBase' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Base SwapIndex object ID</description> </Parameter> <Parameter name='vegaWeightedSmileFit'> *************** *** 623,627 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube by Sabr</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Date'> --- 623,627 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube by Sabr object ID</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Date'> *************** *** 638,642 **** </ParameterList> </Constructor> ! <Constructor name='qlSmileSectionByCube2'> <libraryFunction>SabrSmileSection</libraryFunction> --- 638,642 ---- </ParameterList> </Constructor> ! <Constructor name='qlSmileSectionByCube2'> <libraryFunction>SabrSmileSection</libraryFunction> *************** *** 650,654 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube by Sabr</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Period'> --- 650,654 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption volatility cube by Sabr object ID</description> </Parameter> <Parameter name='expiry' libraryType='QuantLib::Period'> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** forwardrateagreement.xml 30 Oct 2006 10:30:57 -0000 1.21 --- forwardrateagreement.xml 22 Nov 2006 13:34:14 -0000 1.22 *************** *** 42,54 **** <description>Notional Amount</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>underlying index</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> </Parameters> --- 42,54 ---- <description>Notional Amount</description> </Parameter> ! <Parameter name="index" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>underlying index object ID</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> </Parameters> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** capfloor.xml 26 Oct 2006 10:32:32 -0000 1.31 --- capfloor.xml 22 Nov 2006 13:34:14 -0000 1.32 *************** *** 147,159 **** <description>strikes</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> ! <Parameter name='capFloorEngineID' libraryClass='PricingEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Cap floor pricing engine</description> </Parameter> </Parameters> --- 147,159 ---- <description>strikes</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> ! <Parameter name='capFloorEngine' libraryClass='PricingEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Cap floor pricing engine object ID</description> </Parameter> </Parameters> *************** *** 181,185 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating index</description> </Parameter> <Parameter name='strike' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'> --- 181,185 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating index object ID</description> </Parameter> <Parameter name='strike' libraryType='QuantLib::Rate' default='QuantLib::Null<QuantLib::Rate>()'> *************** *** 195,202 **** </Parameter> <!--<Parameter name='capFloorEngineID' libraryClass='PricingEngine' default='boost::shared_ptr<QuantLib::PricingEngine>()'>--> ! <Parameter name='capFloorEngineID' libraryClass='PricingEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Cap floor pricing engine</description> </Parameter> </Parameters> --- 195,202 ---- </Parameter> <!--<Parameter name='capFloorEngineID' libraryClass='PricingEngine' default='boost::shared_ptr<QuantLib::PricingEngine>()'>--> ! <Parameter name='capFloorEngine' libraryClass='PricingEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Cap floor pricing engine object ID</description> </Parameter> </Parameters> Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** swaption.xml 6 Nov 2006 09:16:48 -0000 1.25 --- swaption.xml 22 Nov 2006 13:34:14 -0000 1.26 *************** *** 27,46 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>underlying swap (vanilla)</description> </Parameter> <Parameter name='Exercise' libraryClass='EuropeanExercise'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Exercise object</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> ! <Parameter name='blackSwaptionEngineID' libraryClass='BlackSwaptionEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Black swaption pricing engine</description> </Parameter> <Parameter name='settlementType' enumeration='QuantLib::Settlement::Type'> --- 27,46 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>underlying (vanilla) swap object ID</description> </Parameter> <Parameter name='Exercise' libraryClass='EuropeanExercise'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Exercise object ID</description> </Parameter> ! <Parameter name='YieldCurve' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting yield term structure object ID</description> </Parameter> ! <Parameter name='blackSwaptionEngine' libraryClass='BlackSwaptionEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>BlackSwaptionEngine object ID</description> </Parameter> <Parameter name='settlementType' enumeration='QuantLib::Settlement::Type'> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** pricingengines.xml 16 Nov 2006 14:01:59 -0000 1.30 --- pricingengines.xml 22 Nov 2006 13:34:14 -0000 1.31 *************** *** 272,279 **** <ParameterList> <Parameters> ! <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 272,279 ---- <ParameterList> <Parameters> ! <Parameter name='payoff' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanillaPayoff object ID</description> </Parameter> <Parameter name='forward'> *************** *** 308,315 **** <ParameterList> <Parameters> ! <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 308,315 ---- <ParameterList> <Parameters> ! <Parameter name='payoff' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanillaPayoff object ID</description> </Parameter> <Parameter name='forward'> *************** *** 339,346 **** <ParameterList> <Parameters> ! <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 339,346 ---- <ParameterList> <Parameters> ! <Parameter name='payoff' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanillaPayoff object ID</description> </Parameter> <Parameter name='forward'> *************** *** 378,382 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 378,382 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanillaPayoff object ID</description> </Parameter> <Parameter name='forward'> *************** *** 424,428 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 424,428 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanillaPayoff object ID</description> </Parameter> <Parameter name='forward'> *************** *** 457,464 **** <ParameterList> <Parameters> ! <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 457,464 ---- <ParameterList> <Parameters> ! <Parameter name='payoff' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanillaPayoff object ID</description> </Parameter> <Parameter name='forward'> Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** capletvolstructure.xml 17 Nov 2006 14:26:11 -0000 1.30 --- capletvolstructure.xml 22 Nov 2006 13:34:14 -0000 1.31 *************** *** 1,339 **** <Category name='capletvolstructure'> ! <description>functions to construct and use CapletVolatilityStructure objects</description> ! <displayName>Caplet Volatility Term Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/index.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>ql/Volatilities/capletconstantvol.hpp</include> ! <include>ql/Volatilities/capstripper.hpp</include> ! <include>qlo/swaptionvolstructure.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>blackVariance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the minimum strike for which the term structure can return vols.</description> ! <libraryFunction>minStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMaxStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the maximum strike for which the term structure can return vols.</description> ! <libraryFunction>maxStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant'> ! <libraryFunction>CapletConstantVolatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='volatility' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatility Quote</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> ! <!-- CapsStripper interface--> ! <Member name='qlCapsStripperStrikes' libraryClass='CapsStripper'> ! <description>Returns the vector of cap strikes underlying the given ObjectID.</description> ! <libraryFunction>strikes</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapsStripperTenors' libraryClass='CapsStripper'> ! <description>Returns the vector of cap tenors underlying the given ObjectID.</description> ! <libraryFunction>tenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlCapsStripper'> ! <libraryFunction>CapsStripper</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>cap lengths.</description> ! </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap strikes.</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>matrix</tensorRank> ! <description>cap volatilities.</description> ! </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap index</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</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='impliedVolatilityAccuracy' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility Accuracy.</description> ! </Parameter> ! <Parameter name='maxEvaluations' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility max Evaluations.</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlCapsStripper2'> ! <libraryFunction>CapsStripper</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>cap lengths.</description> ! </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap strikes.</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>matrix</tensorRank> ! <description>cap volatilities.</description> ! </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap index</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</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='impliedVolatilityAccuracy' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility Accuracy.</description> ! </Parameter> ! <Parameter name='maxEvaluations' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility max Evaluations.</description> ! </Parameter> ! <Parameter name='smileSections' libraryClass='SmileSectionInterface'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>smile sections IDs</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlSmileSectionsVolStructure'> ! <libraryFunction>SmileSectionsVolStructure</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='referenceDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>reference 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='smileSections' libraryClass='SmileSectionInterface'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>smile sections IDs</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!-- Handle<CapletVolatilityStructure> --> ! <Constructor name='qlHandleCapletVolatilityStructuree'> ! <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> ! <libraryFunction>linkTo</libraryFunction> ! <description>relink handle</description> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! </Functions> </Category> --- 1,339 ---- <Category name='capletvolstructure'> ! <description>functions to construct and use CapletVolatilityStructure objects</description> ! <displayName>Caplet Volatility Term Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/index.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>ql/Volatilities/capletconstantvol.hpp</include> ! <include>ql/Volatilities/capstripper.hpp</include> ! <include>qlo/swaptionvolstructure.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</... [truncated message content] |
|
From: Ferdinando A. <na...@us...> - 2006-11-22 13:34:18
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32079 Modified Files: todonando.txt Log Message: homogeneous name/description when an object ID is required as input Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** todonando.txt 21 Nov 2006 16:45:11 -0000 1.49 --- todonando.txt 22 Nov 2006 13:34:15 -0000 1.50 *************** *** 11,20 **** - make BlackCalculator observer/observable, make it lazy - riordinare costruttore swap - - rename in all pricer "Yield Curve" as "Discounting Yield Curve" - spostare YieldCurveMonitor in Tests - new end of day live feed snapshot procedure - - CALENDAR functions: default parameter (Following doesn't work) - - DAYCOUNTER functions: default parameter? - - DAYCOUNTER functions: loop parameters K --- 11,16 ---- *************** *** 24,28 **** - eliminare today() dal CMS - trigger nei pricers ! - EURYC -> EURYCH, EURYC2->EURYC, EURYCMX2->EURYCMX - revise index wbks - abcd per tenore, displacement --- 20,24 ---- - eliminare today() dal CMS - trigger nei pricers ! - EURYC->EURYCH, EURYC2->EURYC, EURYCMX2->EURYCMX - revise index wbks - abcd per tenore, displacement |
