Thread: [Quantlib-dev] Trunk compilation error with VC8

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error C2440: 'initializing' : cannot convert from 'std::valarray<_Ty>' to 'std::vector<_Ty,_Ax>'
d:\Projects\QuantLib-SVN\DevEnv\trunk\QuantLibXL\qlxl\functions\utilities.cpp   111

> -----Original Message-----
> From: mar...@us...
> [mailto:mar...@us...]
> Sent: martedì 10 novembre 2009 02.21
> To: qua...@li...
> Subject: [QuantLib-svn] SF.net SVN: quantlib:[16725] trunk/QuantLib
>
>
> Revision: 16725
>
> http://quantlib.svn.sourceforge.net/quantlib/?rev=16725&view=rev
> Author:   markjoshi
> Date:     2009-11-10 01:21:02 +0000 (Tue, 10 Nov 2009)
>
> Log Message:
> -----------
> Abolished vector<bool>s from MarketModel code and replaced
> with Valarrays. Also, changed the LMM CurveState to use a
> smarter caching methodology. Substantial speed up has occurred.
>
> Modified Paths:
> --------------
>     trunk/QuantLib/ql/math/matrixutilities/basisincompleteordered.cpp
>     trunk/QuantLib/ql/math/matrixutilities/basisincompleteordered.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.cpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/collectnodedata.cpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/exercisevalue.hpp
>     trunk/QuantLib/ql/models/marketmodels/callability/lsstrategy.cpp
>     trunk/QuantLib/ql/models/marketmodels/callability/lsstrategy.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/nodedataprovider.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.cpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/parametricex
> erciseadapter.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissystem.cpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissystem.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.cpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.hpp
>
> trunk/QuantLib/ql/models/marketmodels/callability/upperboundengine.hpp
>     trunk/QuantLib/ql/models/marketmodels/constrainedevolver.hpp
>
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvestate.cpp
>
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvestate.hpp
>
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.cpp
>
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.hpp
>
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.cpp
>
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.hpp
>
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/vegabumpc
> luster.cpp
>
> trunk/QuantLib/ql/models/marketmodels/products/compositeproduct.hpp
>
> trunk/QuantLib/ql/models/marketmodels/products/multistep/calls
> pecifiedmultiproduct.hpp
>
> trunk/QuantLib/ql/models/marketmodels/products/multistep/exerc
> iseadapter.hpp
>     trunk/QuantLib/ql/models/marketmodels/proxygreekengine.cpp
>     trunk/QuantLib/ql/models/marketmodels/proxygreekengine.hpp
>     trunk/QuantLib/ql/models/marketmodels/utilities.cpp
>     trunk/QuantLib/ql/models/marketmodels/utilities.hpp
>     trunk/QuantLib/test-suite/marketmodel.cpp
>     trunk/QuantLib/test-suite/quantlibtestsuite.cpp
>
> Modified:
> trunk/QuantLib/ql/math/matrixutilities/basisincompleteordered.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/math/matrixutilities/basisincompleteorde
> red.cpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/math/matrixutilities/basisincompleteorde
> red.cpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -129,7 +129,7 @@
>        multiplierCutoff_(multiplierCutoff),
>        numberVectors_(originalVectors.rows()),
>        dimension_(originalVectors.columns()),
> -      validVectors_(originalVectors.rows(), true),
> +      validVectors_(true,originalVectors.rows()), //
> opposite way round from vector constructor
>        orthoNormalizedVectors_(originalVectors.rows(),
>                                originalVectors.columns())
>      {
> @@ -219,7 +219,7 @@
>
>      } // end of constructor
>
> -    const std::vector<bool>&
> OrthogonalProjections::validVectors() const
> +    const std::valarray<bool>&
> OrthogonalProjections::validVectors() const
>      {
>          return validVectors_;
>
>
> Modified:
> trunk/QuantLib/ql/math/matrixutilities/basisincompleteordered.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/math/matrixutilities/basisincompleteorde
> red.hpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/math/matrixutilities/basisincompleteorde
> red.hpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -22,6 +22,7 @@
>  #define quantlib_basis_incomplete_ordered_hpp
>
>  #include <ql/math/matrix.hpp>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -57,7 +58,7 @@
>                                Real multiplierCutOff,
>                                 Real tolerance  );
>
> -        const std::vector<bool>& validVectors() const;
> +        const std::valarray<bool>& validVectors() const;
>          const std::vector<Real>& GetVector(Size index) const;
>
>          Size numberValidVectors() const;
> @@ -73,7 +74,7 @@
>          Size dimension_;
>
>          //!outputs
> -        std::vector<bool> validVectors_;
> +        std::valarray<bool> validVectors_;
>          std::vector<std::vector<Real> > projectedVectors_;
>
>          //!workspace
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.cpp 2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.cpp 2009-11-10 01:21:02 UTC (rev 16725)
> @@ -70,8 +70,8 @@
>      }
>
>
> -    std::vector<bool>
> BermudanSwaptionExerciseValue::isExerciseTime() const {
> -        return std::vector<bool>(numberOfExercises_,true);
> +    std::valarray<bool>
> BermudanSwaptionExerciseValue::isExerciseTime() const {
> +        return std::valarray<bool>(true,numberOfExercises_);
>      }
>
>      MarketModelMultiProduct::CashFlow
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.hpp 2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/bermudanswap
> tionexercisevalue.hpp 2009-11-10 01:21:02 UTC (rev 16725)
> @@ -24,6 +24,7 @@
>  #include <ql/models/marketmodels/callability/exercisevalue.hpp>
>  #include <ql/models/marketmodels/evolutiondescription.hpp>
>  #include <boost/shared_ptr.hpp>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -40,7 +41,7 @@
>          void nextStep(const CurveState&);
>          void reset();
>          // whether or not evolution times are exercise times
> -        std::vector<bool> isExerciseTime() const;
> +        std::valarray<bool> isExerciseTime() const;
>          MarketModelMultiProduct::CashFlow value(const
> CurveState&) const;
>          std::auto_ptr<MarketModelExerciseValue> clone() const;
>        private:
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/collectnodedata.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/collectnoded
> ata.cpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/collectnoded
> ata.cpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -94,20 +94,20 @@
>
>          std::vector<Time> evolutionTimes =
> evolution.evolutionTimes();
>
> -        std::vector<bool> isProductTime =
> +        std::valarray<bool> isProductTime =
>              isInSubset(evolutionTimes,
>                         product.evolution().evolutionTimes());
> -        std::vector<bool> isRebateTime =
> +        std::valarray<bool> isRebateTime =
>              isInSubset(evolutionTimes,
>                         rebate.evolution().evolutionTimes());
> -        std::vector<bool> isControlTime =
> +        std::valarray<bool> isControlTime =
>              isInSubset(evolutionTimes,
>                         control.evolution().evolutionTimes());
> -        std::vector<bool> isBasisTime =
> +        std::valarray<bool> isBasisTime =
>              isInSubset(evolutionTimes,
>                         dataProvider.evolution().evolutionTimes());
> -        std::vector<bool>
> isExerciseTime(evolutionTimes.size(),false);
> -        std::vector<bool> v = rebate.isExerciseTime();
> +        std::valarray<bool>
> isExerciseTime(false,evolutionTimes.size());
> +        std::valarray<bool> v = rebate.isExerciseTime();
>          Size exercises = 0;
>          for (i=0; i<evolutionTimes.size(); ++i) {
>              if (isRebateTime[i]) {
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/exercisevalue.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/exerciseva
> lue.hpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/exerciseva
> lue.hpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -24,6 +24,7 @@
>  // to be removed using forward declaration
>  #include <ql/models/marketmodels/multiproduct.hpp>
>  #include <memory>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -41,7 +42,7 @@
>          virtual void nextStep(const CurveState&) = 0;
>          virtual void reset() = 0;
>          // whether or not evolution times are exercise times
> -        virtual std::vector<bool> isExerciseTime() const = 0;
> +        virtual std::valarray<bool> isExerciseTime() const = 0;
>          virtual MarketModelMultiProduct::CashFlow value(
>                                                 const
> CurveState&) const = 0;
>          virtual std::auto_ptr<MarketModelExerciseValue>
> clone() const = 0;
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/lsstrategy.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/lsstrat
> egy.cpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/lsstrat
> egy.cpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -49,8 +49,8 @@
>
> control_->evolution().evolutionTimes());
>
>          exerciseIndex_ = std::vector<Size>(relevantTimes_.size());
> -        isExerciseTime_ =
> std::vector<bool>(relevantTimes_.size(),false);
> -        std::vector<bool> v = exercise_->isExerciseTime();
> +        isExerciseTime_ =
> std::valarray<bool>(false,relevantTimes_.size());
> +        std::valarray<bool> v = exercise_->isExerciseTime();
>          Size exercises = 0;
>          Size i;
>          for (i=0; i<relevantTimes_.size(); ++i) {
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/lsstrategy.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/lsstrat
> egy.hpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/lsstrat
> egy.hpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -55,8 +55,8 @@
>          Size currentIndex_;
>          Real principalInNumerairePortfolio_, newPrincipal_;
>          std::vector<Time> exerciseTimes_, relevantTimes_;
> -        std::vector<bool> isBasisTime_, isRebateTime_,
> isControlTime_;
> -        std::vector<bool> isExerciseTime_;
> +        std::valarray<bool> isBasisTime_, isRebateTime_,
> isControlTime_;
> +        std::valarray<bool> isExerciseTime_;
>          std::vector<MarketModelDiscounter> rebateDiscounters_;
>          std::vector<MarketModelDiscounter> controlDiscounters_;
>          mutable std::vector<std::vector<Real> > basisValues_;
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/nodedataprovider.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/nodedataprov
> ider.hpp      2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/nodedataprov
> ider.hpp      2009-11-10 01:21:02 UTC (rev 16725)
> @@ -23,6 +23,7 @@
>
>  #include <ql/types.hpp>
>  #include <vector>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -40,7 +41,7 @@
>          virtual void nextStep(const CurveState&) = 0;
>          virtual void reset() = 0;
>          // whether or not evolution times are exercise times
> -        virtual std::vector<bool> isExerciseTime() const = 0;
> +        virtual std::valarray<bool> isExerciseTime() const = 0;
>          virtual void values(const CurveState&,
>                              std::vector<Real>& results) const = 0;
>      };
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.cpp  2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.cpp  2009-11-10 01:21:02 UTC (rev 16725)
> @@ -60,8 +60,8 @@
>      }
>
>
> -    std::vector<bool> NothingExerciseValue::isExerciseTime() const {
> -        return std::vector<bool>(numberOfExercises_, true);
> +    std::valarray<bool>
> NothingExerciseValue::isExerciseTime() const {
> +        return std::valarray<bool>(true,
> numberOfExercises_); // opposite way round from vector constructor
>      }
>
>      MarketModelMultiProduct::CashFlow
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.hpp  2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/nothingexerc
> isevalue.hpp  2009-11-10 01:21:02 UTC (rev 16725)
> @@ -36,7 +36,7 @@
>          void nextStep(const CurveState&);
>          void reset();
>          // whether or not evolution times are exercise times
> -        std::vector<bool> isExerciseTime() const;
> +        std::valarray<bool> isExerciseTime() const;
>          MarketModelMultiProduct::CashFlow value(const
> CurveState&) const;
>          std::auto_ptr<MarketModelExerciseValue> clone() const;
>        private:
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/parametricex
> erciseadapter.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/parametricex
> erciseadapter.hpp     2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/parametricex
> erciseadapter.hpp     2009-11-10 01:21:02 UTC (rev 16725)
> @@ -23,6 +23,7 @@
>
>  #include <ql/methods/montecarlo/exercisestrategy.hpp>
>  #include <ql/utilities/clone.hpp>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -45,7 +46,7 @@
>          std::vector<std::vector<Real> > parameters_;
>          std::vector<Time> exerciseTimes_;
>          Size currentStep_, currentExercise_;
> -        std::vector<bool> isExerciseTime_;
> +        std::valarray<bool> isExerciseTime_;
>          std::vector<Size> numberOfVariables_;
>          mutable std::vector<Real> variables_;
>      };
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissystem.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissys
> tem.cpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissys
> tem.cpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -59,8 +59,8 @@
>          currentIndex_ = 0;
>      }
>
> -    std::vector<bool> SwapBasisSystem::isExerciseTime() const {
> -        return std::vector<bool>(exerciseTimes_.size(), true);
> +    std::valarray<bool> SwapBasisSystem::isExerciseTime() const {
> +        return std::valarray<bool>(true, exerciseTimes_.size());
>      }
>
>      void SwapBasisSystem::values(const CurveState& currentState,
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissystem.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissys
> tem.hpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/swapbasissys
> tem.hpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -35,7 +35,7 @@
>          const EvolutionDescription& evolution() const;
>          void nextStep(const CurveState&);
>          void reset();
> -        std::vector<bool> isExerciseTime() const;
> +        std::valarray<bool> isExerciseTime() const;
>          void values(const CurveState&,
>                      std::vector<Real>& results) const;
>          std::auto_ptr<MarketModelBasisSystem> clone() const;
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.cpp 2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.cpp 2009-11-10 01:21:02 UTC (rev 16725)
> @@ -54,8 +54,8 @@
>          currentStep_ = 0;
>      }
>
> -    std::vector<bool> TriggeredSwapExercise::isExerciseTime() const {
> -        return std::vector<bool>(numberOfExercises(), true);
> +    std::valarray<bool>
> TriggeredSwapExercise::isExerciseTime() const {
> +        return std::valarray<bool>(true,numberOfExercises());
>      }
>
>      void TriggeredSwapExercise::values(const CurveState& state,
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.hpp 2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/triggeredswa
> pexercise.hpp 2009-11-10 01:21:02 UTC (rev 16725)
> @@ -36,7 +36,7 @@
>          const EvolutionDescription& evolution() const;
>          void nextStep(const CurveState&);
>          void reset();
> -        std::vector<bool> isExerciseTime() const;
> +        std::valarray<bool> isExerciseTime() const;
>          void values(const CurveState&,
>                      std::vector<Real>& results) const;
>
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/callability/upperboundengine.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/callability/upperbounden
> gine.hpp      2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/callability/upperbounden
> gine.hpp      2009-11-10 01:21:02 UTC (rev 16725)
> @@ -27,6 +27,7 @@
>  #include <ql/math/statistics/sequencestatistics.hpp>
>  #include <ql/utilities/clone.hpp>
>  #include <utility>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -70,7 +71,7 @@
>          Size underlyingOffset_, rebateOffset_, hedgeOffset_,
> hedgeRebateOffset_;
>          Size numberOfProducts_;
>          Size numberOfSteps_;
> -        std::vector<bool> isExerciseTime_;
> +        std::valarray<bool> isExerciseTime_;
>
>          // workspace
>          std::vector<Size> numberCashFlowsThisStep_;
>
> Modified: trunk/QuantLib/ql/models/marketmodels/constrainedevolver.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/constrainedevolver.hpp
> 2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/constrainedevolver.hpp
> 2009-11-10 01:21:02 UTC (rev 16725)
> @@ -22,6 +22,7 @@
>  #define quantlib_constrained_evolver_hpp
>
>  #include <ql/models/marketmodels/evolver.hpp>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -45,7 +46,7 @@
>          //! call before each path
>          virtual void setThisConstraint(
>              const std::vector<Rate>& rateConstraints,
> -            const std::vector<bool>& isConstraintActive) = 0;
> +            const std::valarray<bool>& isConstraintActive) = 0;
>      };
>
>  }
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvestate.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvest
> ate.cpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvest
> ate.cpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -33,7 +33,10 @@
>        cmSwapRates_(numberOfRates_),
>        cmSwapAnnuities_(numberOfRates_,rateTaus_[numberOfRates_-1]),
>        cotSwapRates_(numberOfRates_),
> -      cotAnnuities_(numberOfRates_, rateTaus_[numberOfRates_-1]) {}
> +      cotAnnuities_(numberOfRates_,
> +       rateTaus_[numberOfRates_-1]),
> +      firstCotAnnuityComped_(numberOfRates_)
> +     {}
>
>      void LMMCurveState::setOnForwardRates(const
> std::vector<Rate>& rates,
>                                            Size firstValidIndex) {
> @@ -60,6 +63,8 @@
>          // lazy evaluation of:
>          // - coterminal swap rates/annuities
>          // - constant maturity swap rates/annuities
> +
> +             firstCotAnnuityComped_ = numberOfRates_;
>      }
>
>      void LMMCurveState::setOnDiscountRatios(const
> std::vector<DiscountFactor>& discRatios,
> @@ -86,6 +91,8 @@
>          // lazy evaluation of:
>          // - coterminal swap rates/annuities
>          // - constant maturity swap rates/annuities
> +
> +             firstCotAnnuityComped_ = numberOfRates_;
>      }
>
>      Real LMMCurveState::discountRatio(Size i, Size j) const {
> @@ -107,19 +114,37 @@
>          QL_REQUIRE(numeraire>=first_ && numeraire<=numberOfRates_,
>                     "invalid numeraire");
>          QL_REQUIRE(i>=first_ && i<=numberOfRates_, "invalid index");
> -        coterminalFromDiscountRatios(first_,
> -                                     discRatios_, rateTaus_,
> -                                     cotSwapRates_, cotAnnuities_);
> -        return cotAnnuities_[i]/discRatios_[numeraire];
> +     //        coterminalFromDiscountRatios(first_,
> +     //                                   discRatios_, rateTaus_,
> +    //                                 cotSwapRates_, cotAnnuities_);
> +
> +             if (firstCotAnnuityComped_ <=i)
> +                     return  cotAnnuities_[i]/discRatios_[numeraire];
> +
> +             if (firstCotAnnuityComped_ == numberOfRates_)
> +             {
> +                     cotAnnuities_[numberOfRates_-1] =
> rateTaus_[numberOfRates_-1]*discRatios_[numberOfRates_];
> +                     --firstCotAnnuityComped_;
> +             }
> +
> +             for (int j=
> static_cast<int>(firstCotAnnuityComped_)-1; j
> >=static_cast<int>(i); --j)
> +                     cotAnnuities_[j] =
> cotAnnuities_[j+1]+rateTaus_[j]*discRatios_[j+1];
> +
> +             firstCotAnnuityComped_ = i;
> +
> +             return cotAnnuities_[i]/discRatios_[numeraire];
>      }
>
>      Rate LMMCurveState::coterminalSwapRate(Size i) const {
>          QL_REQUIRE(first_<numberOfRates_, "curve state not
> initialized yet");
>          QL_REQUIRE(i>=first_ && i<=numberOfRates_, "invalid index");
> -        coterminalFromDiscountRatios(first_,
> -                                     discRatios_, rateTaus_,
> -                                     cotSwapRates_, cotAnnuities_);
> -        return cotSwapRates_[i];
> +    //    coterminalFromDiscountRatios(first_,
> +      //                               discRatios_, rateTaus_,
> +        //                             cotSwapRates_, cotAnnuities_);
> +  //      return cotSwapRates_[i];
> +
> +             Real res = (discRatios_[i]/
> discRatios_[numberOfRates_]
> -1.0)/coterminalSwapAnnuity(numberOfRates_,i);
> +             return res;
>      }
>
>      Rate LMMCurveState::cmSwapAnnuity(Size numeraire,
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvestate.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvest
> ate.hpp       2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/curvestates/lmmcurvest
> ate.hpp       2009-11-10 01:21:02 UTC (rev 16725)
> @@ -89,6 +89,8 @@
>          mutable std::vector<Real> cmSwapAnnuities_;
>          mutable std::vector<Rate> cotSwapRates_;
>          mutable std::vector<Real> cotAnnuities_;
> +
> +             mutable Size firstCotAnnuityComped_;
>      };
>
>  }
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.cpp 2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.cpp 2009-11-10 01:21:02 UTC (rev 16725)
> @@ -133,7 +133,7 @@
>
>      void LogNormalFwdRateEulerConstrained::setThisConstraint(
>                                  const std::vector<Rate>&
> rateConstraints,
> -                                const std::vector<bool>&
> isConstraintActive)
> +                                const std::valarray<bool>&
> isConstraintActive)
>      {
>          QL_REQUIRE(rateConstraints.size() == numeraires_.size(),
>                     "wrong number of constraints specified");
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.hpp 2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/evolvers/lognormalfwdrat
> eeulerconstrained.hpp 2009-11-10 01:21:02 UTC (rev 16725)
> @@ -25,6 +25,7 @@
>  #include <ql/models/marketmodels/constrainedevolver.hpp>
>  #include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
>  #include
> <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -47,7 +48,7 @@
>              const std::vector<Size>& endIndexOfSwapRate);
>          virtual void setThisConstraint(
>              const std::vector<Rate>& rateConstraints,
> -            const std::vector<bool>& isConstraintActive);
> +            const std::valarray<bool>& isConstraintActive);
>          //@}
>          //! \name MarketModel interface
>          //@{
> @@ -71,7 +72,7 @@
>
>          //often changing inputs
>          std::vector<Rate> rateConstraints_;
> -        std::vector<bool> isConstraintActive_;
> +        std::valarray<bool> isConstraintActive_;
>
>          // fixed variables
>          std::vector<std::vector<Real> > fixedDrifts_;
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.cpp     2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.cpp     2009-11-10 01:21:02 UTC (rev 16725)
> @@ -30,7 +30,7 @@
>
> VolatilityBumpInstrumentJacobian::VolatilityBumpInstrumentJaco
> bian(const VegaBumpCollection& bumps,
>          const std::vector<Swaption>& swaptions,
>          const std::vector<Cap>& caps)
> -        : bumps_(bumps), swaptions_(swaptions), caps_(caps),
> computed_(swaptions.size()+caps.size(), false),
> +        : bumps_(bumps), swaptions_(swaptions), caps_(caps),
> computed_(false,swaptions.size()+caps.size()),
>
> derivatives_(swaptions.size()+caps.size(),std::vector<Real>(bu
> mps.numberBumps())),
>
> bumpMatrix_(swaptions.size()+caps.size(),bumps_.numberBumps())
>      {
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.hpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.hpp     2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/bumpinstr
> umentjacobian.hpp     2009-11-10 01:21:02 UTC (rev 16725)
> @@ -25,6 +25,7 @@
>
>  #include <ql/models/marketmodels/marketmodel.hpp>
>  #include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp>
> +#include <valarray>
>
>  namespace QuantLib
>  {
> @@ -68,7 +69,7 @@
>           VegaBumpCollection bumps_;
>           std::vector<Swaption> swaptions_;
>           std::vector<Cap> caps_;
> -         mutable std::vector<bool> computed_;
> +         mutable std::valarray<bool> computed_;
>           mutable bool allComputed_;
>           mutable std::vector<std::vector<Real> > derivatives_;
>
>
> Modified:
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/vegabumpc
> luster.cpp
> ===================================================================
> ---
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/vegabumpc
> luster.cpp    2009-11-09 16:35:59 UTC (rev 16724)
> +++
> trunk/QuantLib/ql/models/marketmodels/pathwisegreeks/vegabumpc
> luster.cpp    2009-11-10 01:21:02 UTC (rev 16725)
> @@ -20,6 +20,7 @@
>  #include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp>
>  #include <ql/errors.hpp>
>  #include <ql/models/marketmodels/evolutiondescription.hpp>
> +#include <valarray>
>
>  namespace QuantLib {
>
> @@ -149,14 +150,14 @@
>...
 
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Thread: [Quantlib-dev] Trunk compilation error with VC8

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