Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1079/qlo Modified Files: asianoption.cpp asianoption.hpp barrieroption.cpp barrieroption.hpp capfloor.cpp capfloor.hpp cliquetoption.cpp cliquetoption.hpp couponvectors.cpp couponvectors.hpp dividendvanillaoption.cpp dividendvanillaoption.hpp europeanoption.cpp europeanoption.hpp forwardvanillaoption.cpp forwardvanillaoption.hpp processes.cpp processes.hpp quantoforwardvanillaoption.cpp quantoforwardvanillaoption.hpp quantovanillaoption.cpp quantovanillaoption.hpp shortratemodels.cpp shortratemodels.hpp simpleswap.cpp simpleswap.hpp swap.cpp swap.hpp vanillaoption.cpp vanillaoption.hpp xibor.cpp xibor.hpp zerocouponbond.cpp zerocouponbond.hpp Log Message: autogenerate calls to OH_GET_OBJECT / OH_GET_REFERENCE Index: asianoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/asianoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** asianoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- asianoption.cpp 24 May 2006 14:59:43 -0000 1.2 *************** *** 29,46 **** ContinuousAveragingAsianOption::ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 29,40 ---- ContinuousAveragingAsianOption::ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); *************** *** 63,80 **** const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 57,68 ---- const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** couponvectors.cpp 19 May 2006 16:56:16 -0000 1.1 --- couponvectors.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,29 **** #include <qlo/couponvectors.hpp> - #include <qlo/schedule.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> - #include <qlo/xibor.hpp> #include <ql/CashFlows/analysis.hpp> --- 22,27 ---- *************** *** 33,40 **** namespace QuantLibAddin { ! double CouponVector::getBPS(const std::string &termStructureID) const { ! ! OH_GET_REFERENCE(termStructure, termStructureID, ! YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); --- 31,36 ---- namespace QuantLibAddin { ! double CouponVector::getBPS( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure) const { QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); *************** *** 44,58 **** FixedRateCouponVector::FixedRateCouponVector( ! const std::string &scheduleID, const QuantLib::BusinessDayConvention &convention, const std::vector<double> &nominals, const std::vector<double> &couponRates, ! const QuantLib::DayCounter &dayCount) { ! ! OH_GET_OBJECT(scheduleWrapper, scheduleID, Schedule) ! const QuantLib::Schedule& schedule = scheduleWrapper->getObject(); ! cashFlowVector_ = ! QuantLib::FixedRateCouponVector(schedule, convention, nominals, --- 40,50 ---- 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, nominals, *************** *** 81,97 **** FloatingRateCouponVector::FloatingRateCouponVector( ! const std::string &scheduleID, const std::vector<double> &nominals, ! const std::string &indexID, const std::vector<double> &spreads) { - OH_GET_OBJECT(scheduleWrapper, scheduleID, Schedule) - const QuantLib::Schedule& schedule = scheduleWrapper->getObject(); - - OH_GET_REFERENCE(index, indexID, - Xibor, QuantLib::Xibor) - cashFlowVector_ = ! QuantLib::FloatingRateCouponVector(schedule, index->businessDayConvention(), nominals, --- 73,83 ---- FloatingRateCouponVector::FloatingRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, const std::vector<double> &nominals, ! const boost::shared_ptr < QuantLib::Xibor > &index, const std::vector<double> &spreads) { cashFlowVector_ = ! QuantLib::FloatingRateCouponVector(*schedule, index->businessDayConvention(), nominals, Index: europeanoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/europeanoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** europeanoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- europeanoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 31,48 **** EuropeanOption::EuropeanOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 31,41 ---- EuropeanOption::EuropeanOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: processes.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/processes.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** processes.cpp 19 May 2006 16:56:16 -0000 1.1 --- processes.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #endif #include <qlo/processes.hpp> - #include <qlo/volatilities.hpp> #include <qlo/generalutils.hpp> #include <qlo/typefactory.hpp> --- 21,24 ---- *************** *** 31,35 **** GeneralizedBlackScholesProcess::GeneralizedBlackScholesProcess( ! const std::string &handleBlackVol, const double &underlying, const QuantLib::DayCounter &dayCounter, --- 30,34 ---- GeneralizedBlackScholesProcess::GeneralizedBlackScholesProcess( ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructureP, const double &underlying, const QuantLib::DayCounter &dayCounter, *************** *** 48,53 **** new QuantLib::FlatForward(settlementDate, dividendYield, dayCounter))); - OH_GET_REFERENCE(blackVolTermStructureP, handleBlackVol, - BlackVolTermStructure, QuantLib::BlackVolTermStructure) QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructureP); --- 47,50 ---- Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capfloor.hpp 19 May 2006 16:56:16 -0000 1.1 --- capfloor.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 20,23 **** --- 20,24 ---- #include <qlo/baseinstruments.hpp> + #include <qlo/shortratemodels.hpp> #include <ql/Instruments/capfloor.hpp> #include <ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp> *************** *** 28,36 **** public: CapFloor( ! const std::string& couponVectorID, ! const std::string& termStructureID, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option); --- 29,37 ---- public: CapFloor( ! const std::string& couponVectorID, ! const boost::shared_ptr < QuantLib::YieldTermStructure >& termStructureP, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option); *************** *** 42,46 **** public: AnalyticCapFloorEngine( ! const std::string& handleModel); virtual boost::shared_ptr<void> getReference() const { return boost::static_pointer_cast<void>(engine_); --- 43,47 ---- public: AnalyticCapFloorEngine( ! const boost::shared_ptr < QuantLib::AffineModel >& model); virtual boost::shared_ptr<void> getReference() const { return boost::static_pointer_cast<void>(engine_); Index: dividendvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/dividendvanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** dividendvanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- dividendvanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 27,46 **** DividendVanillaOption::DividendVanillaOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 27,39 ---- DividendVanillaOption::DividendVanillaOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: quantoforwardvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantoforwardvanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantoforwardvanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- quantoforwardvanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,26 **** #include <qlo/typefactory.hpp> #include <qlo/exercise.hpp> - #include <qlo/termstructures.hpp> #include <qlo/volatilities.hpp> --- 22,25 ---- *************** *** 33,55 **** QuantoForwardVanillaOption::QuantoForwardVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(termStructure, handleTermStructure, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); - OH_GET_REFERENCE(blackVolTermStructure, handleBlackVol, - BlackVolTermStructure, QuantLib::BlackVolTermStructure) QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); --- 32,50 ---- QuantoForwardVanillaOption::QuantoForwardVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); *************** *** 59,71 **** new QuantLib::SimpleQuote(correlation))); - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); --- 54,60 ---- Index: processes.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/processes.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** processes.hpp 19 May 2006 16:56:16 -0000 1.1 --- processes.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 20,23 **** --- 20,24 ---- #include <oh/objhandler.hpp> + #include <qlo/volatilities.hpp> #include <ql/Processes/blackscholesprocess.hpp> *************** *** 28,32 **** GeneralizedBlackScholesProcess( ! const std::string &handleBlackVol, const double &underlying, const QuantLib::DayCounter &dayCounter, --- 29,33 ---- GeneralizedBlackScholesProcess( ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructureP, const double &underlying, const QuantLib::DayCounter &dayCounter, Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** couponvectors.hpp 19 May 2006 16:56:16 -0000 1.1 --- couponvectors.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 20,23 **** --- 20,25 ---- #include <oh/objhandler.hpp> + #include <qlo/schedule.hpp> + #include <qlo/xibor.hpp> #include <ql/CashFlows/cashflowvectors.hpp> *************** *** 38,42 **** virtual std::vector<std::vector<double> > getLeg() = 0; ! double getBPS(const std::string &termStructureID) const; protected: --- 40,44 ---- virtual std::vector<std::vector<double> > getLeg() = 0; ! double getBPS(const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure) const; protected: *************** *** 47,51 **** public: FixedRateCouponVector( ! const std::string &scheduleID, const QuantLib::BusinessDayConvention &convention, const std::vector<double> &nominals, --- 49,53 ---- public: FixedRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, const QuantLib::BusinessDayConvention &convention, const std::vector<double> &nominals, *************** *** 59,65 **** public: FloatingRateCouponVector( ! const std::string &scheduleID, const std::vector<double> &nominals, ! const std::string &indexID, const std::vector<double> &spreads); --- 61,67 ---- public: FloatingRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, const std::vector<double> &nominals, ! const boost::shared_ptr < QuantLib::Xibor > &index, const std::vector<double> &spreads); Index: xibor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** xibor.hpp 19 May 2006 16:56:16 -0000 1.1 --- xibor.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,25 **** --- 22,26 ---- #include <oh/objhandler.hpp> #include <ql/Indexes/xibor.hpp> + #include <qlo/termstructures.hpp> namespace QuantLibAddin { *************** *** 35,39 **** const QuantLib::DayCounter &fltDayCounter, const long &fixingDays, ! const std::string &fwdCurveId, const std::vector<long> &lDates, const std::vector<double> &fixings); --- 36,40 ---- const QuantLib::DayCounter &fltDayCounter, const long &fixingDays, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &fwdYC, const std::vector<long> &lDates, const std::vector<double> &fixings); *************** *** 41,45 **** const QuantLib::Xibor& getObject() const {return *index_;} ! double fixing(const long &lFixingDate) const; virtual boost::shared_ptr<void> getReference() const { --- 42,46 ---- const QuantLib::Xibor& getObject() const {return *index_;} ! double fixing(const QuantLib::Date &fixingDate) const; virtual boost::shared_ptr<void> getReference() const { Index: forwardvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardvanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** forwardvanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- forwardvanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,45 **** const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 28,38 ---- const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: cliquetoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cliquetoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** cliquetoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- cliquetoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,35 **** public: CliquetOption( ! const std::string &handleBlackScholes, const QuantLib::Option::Type &optionType, const double &strike, ! const long &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, --- 28,35 ---- public: CliquetOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const QuantLib::Option::Type &optionType, const double &strike, ! const QuantLib::Date &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, Index: barrieroption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/barrieroption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** barrieroption.cpp 19 May 2006 16:56:16 -0000 1.1 --- barrieroption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #include <qlo/barrieroption.hpp> #include <qlo/typefactory.hpp> - #include <qlo/exercise.hpp> namespace QuantLibAddin { --- 21,24 ---- *************** *** 29,46 **** const double &barrier, const double &rebate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 28,39 ---- const double &barrier, const double &rebate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: zerocouponbond.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/zerocouponbond.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** zerocouponbond.hpp 19 May 2006 16:56:16 -0000 1.1 --- zerocouponbond.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 34,38 **** QuantLib::BusinessDayConvention convention, const double &redemption, ! const std::string &handleZeroCurve); }; } --- 34,38 ---- QuantLib::BusinessDayConvention convention, const double &redemption, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &zeroCurve); }; } Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- vanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 31,48 **** VanillaOption::VanillaOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 31,42 ---- VanillaOption::VanillaOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: shortratemodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/shortratemodels.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** shortratemodels.cpp 19 May 2006 16:56:16 -0000 1.1 --- shortratemodels.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #endif #include <qlo/shortratemodels.hpp> - #include <qlo/termstructures.hpp> #include <ql/termstructure.hpp> --- 21,24 ---- *************** *** 37,47 **** HullWhite::HullWhite( ! const std::string &handleTermStructure, const double &a, const double &sigma) { - OH_GET_REFERENCE(termStructureP, handleTermStructure, - YieldTermStructure, QuantLib::YieldTermStructure) - QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructureP); --- 36,43 ---- HullWhite::HullWhite( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructureP, const double &a, const double &sigma) { QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructureP); Index: europeanoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/europeanoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** europeanoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- europeanoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,36 **** public: EuropeanOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 28,36 ---- public: EuropeanOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: quantoforwardvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantoforwardvanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantoforwardvanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- quantoforwardvanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,24 **** --- 21,25 ---- #include <qlo/baseinstruments.hpp> #include <qlo/processes.hpp> + #include <qlo/termstructures.hpp> #include <ql/Instruments/quantoforwardvanillaoption.hpp> *************** *** 28,41 **** public: QuantoForwardVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 29,42 ---- public: QuantoForwardVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: cliquetoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cliquetoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** cliquetoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- cliquetoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,47 **** CliquetOption::CliquetOption( ! const std::string &handleBlackScholes, const QuantLib::Option::Type &optionType, const double &strike, ! const long &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - boost::shared_ptr<QuantLib::PercentageStrikePayoff> payoff( new QuantLib::PercentageStrikePayoff(optionType, strike)); boost::shared_ptr<QuantLib::EuropeanExercise> exercise( ! new QuantLib::EuropeanExercise( ! QuantLib::Date(expiryDate))); boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); --- 28,43 ---- CliquetOption::CliquetOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const QuantLib::Option::Type &optionType, const double &strike, ! const QuantLib::Date &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::PercentageStrikePayoff> payoff( new QuantLib::PercentageStrikePayoff(optionType, strike)); boost::shared_ptr<QuantLib::EuropeanExercise> exercise( ! new QuantLib::EuropeanExercise(expiryDate)); boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); Index: simpleswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/simpleswap.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** simpleswap.hpp 19 May 2006 16:56:16 -0000 1.1 --- simpleswap.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,25 **** --- 22,26 ---- #include <qlo/baseinstruments.hpp> + #include <qlo/xibor.hpp> #include <ql/Instruments/simpleswap.hpp> *************** *** 42,50 **** //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, ! const std::string &indexHandle, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const std::string &discCurveId); EXPORT_UNDERLYING_OBJECT(QuantLib::VanillaSwap, mInstrument) --- 43,51 ---- //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, ! const boost::shared_ptr < QuantLib::Xibor > &index, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC); EXPORT_UNDERLYING_OBJECT(QuantLib::VanillaSwap, mInstrument) Index: simpleswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/simpleswap.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** simpleswap.cpp 19 May 2006 16:56:16 -0000 1.1 --- simpleswap.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 26,30 **** #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> - #include <qlo/xibor.hpp> #include <ql/CashFlows/fixedratecoupon.hpp> #include <ql/CashFlows/parcoupon.hpp> --- 26,29 ---- *************** *** 46,62 **** //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, ! const std::string &indexHandle, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const std::string &discCurveId) { - OH_GET_REFERENCE(discYC, discCurveId, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure(discYC); - OH_GET_REFERENCE(index, indexHandle, Xibor, - QuantLib::Xibor) - QuantLib::Schedule fixedSchedule(calendar, startDate, maturity, fixFrq, fixBDC, QuantLib::Date(), fixStartFromEnd, fixLongFinal); --- 45,56 ---- //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, ! const boost::shared_ptr < QuantLib::Xibor > &index, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC) { QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure(discYC); QuantLib::Schedule fixedSchedule(calendar, startDate, maturity, fixFrq, fixBDC, QuantLib::Date(), fixStartFromEnd, fixLongFinal); Index: forwardvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardvanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** forwardvanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- forwardvanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 30,38 **** const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 30,38 ---- const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: shortratemodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/shortratemodels.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** shortratemodels.hpp 19 May 2006 16:56:16 -0000 1.1 --- shortratemodels.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #include <oh/objhandler.hpp> ! #include <ql/ShortRateModels/OneFactorModels/vasicek.hpp> #include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp> --- 21,25 ---- #include <oh/objhandler.hpp> ! #include <qlo/termstructures.hpp> #include <ql/ShortRateModels/OneFactorModels/vasicek.hpp> #include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp> *************** *** 48,52 **** public: HullWhite( ! const std::string &handleTermStructure, const double &a, const double &sigma); --- 48,52 ---- public: HullWhite( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructureP, const double &a, const double &sigma); Index: zerocouponbond.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/zerocouponbond.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** zerocouponbond.cpp 19 May 2006 16:56:16 -0000 1.1 --- zerocouponbond.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 38,45 **** QuantLib::BusinessDayConvention convention, const double &redemption, ! const std::string &handleZeroCurve) { - OH_GET_REFERENCE(zeroCurve, handleZeroCurve, - ZeroCurve, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> zeroCurveH(zeroCurve); --- 38,43 ---- QuantLib::BusinessDayConvention convention, const double &redemption, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &zeroCurve) { QuantLib::Handle<QuantLib::YieldTermStructure> zeroCurveH(zeroCurve); Index: asianoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/asianoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** asianoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- asianoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 29,37 **** ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 29,37 ---- ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); *************** *** 47,55 **** const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 47,55 ---- const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swap.cpp 19 May 2006 16:56:16 -0000 1.1 --- swap.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,44 **** #endif - #include <qlo/couponvectors.hpp> #include <qlo/swap.hpp> - #include <qlo/termstructures.hpp> namespace QuantLibAddin { Swap::Swap( ! const std::string &paidLegID, ! const std::string &recvLegID, ! const std::string &termStructureID) { - OH_GET_OBJECT(paidLegWrapper, paidLegID, CouponVector) const CashFlowVector& paidLeg = paidLegWrapper->getObject(); - - OH_GET_OBJECT(recvLegWrapper, recvLegID, CouponVector) const CashFlowVector& recvLeg = recvLegWrapper->getObject(); - - OH_GET_REFERENCE(termStructure, termStructureID, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); --- 22,36 ---- #endif #include <qlo/swap.hpp> namespace QuantLibAddin { Swap::Swap( ! const boost::shared_ptr < CouponVector > &paidLegWrapper, ! const boost::shared_ptr < CouponVector > &recvLegWrapper, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure) { const CashFlowVector& paidLeg = paidLegWrapper->getObject(); const CashFlowVector& recvLeg = recvLegWrapper->getObject(); QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swap.hpp 19 May 2006 16:56:16 -0000 1.1 --- swap.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,25 **** --- 22,27 ---- #include <qlo/baseinstruments.hpp> + #include <qlo/couponvectors.hpp> + #include <qlo/termstructures.hpp> #include <ql/Instruments/swap.hpp> *************** *** 29,35 **** public: Swap( ! const std::string &paidLegID, ! const std::string &recvLegID, ! const std::string &termStructureID); EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument) --- 31,37 ---- public: Swap( ! const boost::shared_ptr < CouponVector > &paidLegWrapper, ! const boost::shared_ptr < CouponVector > &recvLegWrapper, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure); EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument) Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capfloor.cpp 19 May 2006 16:56:16 -0000 1.1 --- capfloor.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,26 **** #include <qlo/capfloor.hpp> #include <qlo/couponvectors.hpp> - #include <qlo/shortratemodels.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> --- 22,25 ---- *************** *** 29,37 **** CapFloor::CapFloor( ! const std::string& couponVectorID, ! const std::string& termStructureID, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option) { --- 28,36 ---- CapFloor::CapFloor( ! const std::string& couponVectorID, ! const boost::shared_ptr < QuantLib::YieldTermStructure >& termStructureP, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option) { *************** *** 39,44 **** AnalyticCapFloorEngine, QuantLib::PricingEngine) - OH_GET_REFERENCE(termStructureP, termStructureID, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructureP); --- 38,41 ---- *************** *** 56,63 **** AnalyticCapFloorEngine::AnalyticCapFloorEngine( ! const std::string& handleModel) { ! ! OH_GET_REFERENCE(model, handleModel, ! AffineModel, QuantLib::AffineModel) engine_ = boost::shared_ptr<QuantLib::AnalyticCapFloorEngine>( --- 53,57 ---- AnalyticCapFloorEngine::AnalyticCapFloorEngine( ! const boost::shared_ptr < QuantLib::AffineModel >& model) { engine_ = boost::shared_ptr<QuantLib::AnalyticCapFloorEngine>( Index: quantovanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantovanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- quantovanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 33,53 **** QuantoVanillaOption::QuantoVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(termStructure, handleTermStructure, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); - OH_GET_REFERENCE(blackVolTermStructure, handleBlackVol, - BlackVolTermStructure, QuantLib::BlackVolTermStructure) QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); --- 33,48 ---- QuantoVanillaOption::QuantoVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); *************** *** 57,69 **** new QuantLib::SimpleQuote(correlation))); - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); --- 52,58 ---- Index: xibor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** xibor.cpp 19 May 2006 16:56:16 -0000 1.1 --- xibor.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 23,27 **** #include <qlo/xibor.hpp> #include <qlo/generalutils.hpp> - #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> #include <ql/Indexes/indexmanager.hpp> --- 23,26 ---- *************** *** 39,48 **** const QuantLib::DayCounter &fltDayCounter, const long &fixingDays, ! const std::string &fwdCurveId, const std::vector<long> &lDates, const std::vector<double> &fixings) { - OH_GET_REFERENCE(fwdYC, fwdCurveId, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> forecastingTermStructure(fwdYC); --- 38,45 ---- const QuantLib::DayCounter &fltDayCounter, const long &fixingDays, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &fwdYC, const std::vector<long> &lDates, const std::vector<double> &fixings) { QuantLib::Handle<QuantLib::YieldTermStructure> forecastingTermStructure(fwdYC); *************** *** 60,65 **** } ! double Xibor::fixing(const long &lFixingDate) const{ ! return index_->fixing(make_date(lFixingDate)); } --- 57,62 ---- } ! double Xibor::fixing(const QuantLib::Date &fixingDate) const{ ! return index_->fixing(fixingDate); } Index: barrieroption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/barrieroption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** barrieroption.hpp 19 May 2006 16:56:16 -0000 1.1 --- barrieroption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,24 **** --- 21,25 ---- #include <qlo/baseinstruments.hpp> #include <qlo/processes.hpp> + #include <qlo/exercise.hpp> #include <ql/Instruments/barrieroption.hpp> *************** *** 31,39 **** const double &barrier, const double &rebate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 32,40 ---- const double &barrier, const double &rebate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: dividendvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/dividendvanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** dividendvanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- dividendvanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,36 **** public: DividendVanillaOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, --- 28,36 ---- public: DividendVanillaOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, Index: quantovanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantovanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- quantovanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,39 **** public: QuantoVanillaOption::QuantoVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 28,39 ---- public: QuantoVanillaOption::QuantoVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ... [truncated message content] |
