Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30166/gensrc/metadata
Modified Files:
calendar.xml processes.xml swaptionvolstructure.xml
volatilities.xml
Log Message:
1) reverting vo_ files back into qlo
2) exported new SwaptionVolCube class
Index: volatilities.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** volatilities.xml 28 Aug 2006 10:05:24 -0000 1.8
--- volatilities.xml 31 Aug 2006 14:53:17 -0000 1.9
***************
*** 3,6 ****
--- 3,10 ----
<displayName>Volatilities</displayName>
<xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
+ <includes>
+ <include>qlo/volatilities.hpp</include>
+ <include>qlo/vo_volatilities.hpp</include>
+ </includes>
<copyright>
Copyright (C) 2005, 2006 Eric Ehlers
Index: calendar.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** calendar.xml 28 Aug 2006 10:05:24 -0000 1.17
--- calendar.xml 31 Aug 2006 14:53:17 -0000 1.18
***************
*** 3,6 ****
--- 3,10 ----
<displayName>Calendar</displayName>
<xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory>
+ <includes>
+ <include>qlo/calendar.hpp</include>
+ <include>qlo/vo_calendar.hpp</include>
+ </includes>
<copyright>
Copyright (C) 2006 Eric Ehlers
Index: swaptionvolstructure.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v
retrieving revision 1.34
retrieving revision 1.35
diff -C2 -d -r1.34 -r1.35
*** swaptionvolstructure.xml 31 Aug 2006 10:17:24 -0000 1.34
--- swaptionvolstructure.xml 31 Aug 2006 14:53:17 -0000 1.35
***************
*** 481,484 ****
--- 481,563 ----
</Constructor>
+ <!-- SwaptionVolatilityCubeBySabr constructors -->
+
+ <Constructor name='qlSwaptionVolatilityCubeBySabr' dependencyTrigger='true'>
+ <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction>
+ <functionCategory>QuantLib</functionCategory>
+ <supportedPlatforms>
+ <supportedPlatform>excel</supportedPlatform>
+ </supportedPlatforms>
+ <ParameterList>
+ <Parameters>
+ <Parameter name='atmVolStructure' libToHandle='SwaptionVolatilityStructure'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>At-the-money volatility structure</description>
+ </Parameter>
+ <Parameter name='expiries' libraryType='QuantLib::Period'>
+ <type>string</type>
+ <tensorRank>vector</tensorRank>
+ <description>smile cube's expiries as periods</description>
+ </Parameter>
+ <Parameter name='swapLengths' libraryType='QuantLib::Period'>
+ <type>string</type>
+ <tensorRank>vector</tensorRank>
+ <description>smile cube's underlying swap lengths</description>
+ </Parameter>
+ <Parameter name='strikeSpreads'>
+ <type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>smile cube's strike spreads over the ATM strike rate.</description>
+ </Parameter>
+ <Parameter name='volatilities' libraryType='QuantLib::Matrix'>
+ <type>double</type>
+ <tensorRank>matrix</tensorRank>
+ <description>smile cube's volatility spreads over the ATM vols.</description>
+ </Parameter>
+ <Parameter name='calendar' enumeration='QuantLib::Calendar'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>holiday calendar (e.g. TARGET)</description>
+ </Parameter>
+ <Parameter name='swapSettlementDays'>
+ <type>long</type>
+ <tensorRank>scalar</tensorRank>
+ <description>underlying swap settlement days (e.g. 2)</description>
+ </Parameter>
+ <Parameter name='fixedLegFrequency' enumeration='QuantLib::Frequency'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>swap's fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description>
+ </Parameter>
+ <Parameter name='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>swap's fixed leg business day convention</description>
+ </Parameter>
+ <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>swap's fixed leg day counter (e.g. Actual/360)</description>
+ </Parameter>
+ <Parameter name='iborIndexID' libraryClass='Xibor'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>floating leg Index</description>
+ </Parameter>
+ <Parameter name='shortTenor'>
+ <type>double</type>
+ <tensorRank>scalar</tensorRank>
+ <description>time indicating the short tenor</description>
+ </Parameter>
+ <Parameter name='iborIndexShortTenorID' libraryClass='Xibor'>
+ <type>string</type>
+ <tensorRank>scalar</tensorRank>
+ <description>floating leg short tenor Index</description>
+ </Parameter>
+ </Parameters>
+ </ParameterList>
+ </Constructor>
+
<!-- SwaptionVolatilityCube interface -->
Index: processes.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** processes.xml 28 Aug 2006 10:05:24 -0000 1.9
--- processes.xml 31 Aug 2006 14:53:17 -0000 1.10
***************
*** 3,6 ****
--- 3,10 ----
<displayName>Processes</displayName>
<xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
+ <includes>
+ <include>qlo/processes.hpp</include>
+ <include>qlo/vo_processes.hpp</include>
+ </includes>
<copyright>
Copyright (C) 2004, 2005 Eric Ehlers
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