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From: Ferdinando A. <na...@us...> - 2006-06-06 08:10:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22689/qlo Modified Files: .cvsignore instruments.hpp swap.cpp Added Files: vanillaswap.cpp vanillaswap.hpp Removed Files: simpleswap.cpp simpleswap.hpp Log Message: renaming simpleswap.* files as vanillaswap.*, according to the actual class name Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** .cvsignore 19 May 2006 16:56:16 -0000 1.1 --- .cvsignore 6 Jun 2006 08:10:05 -0000 1.2 *************** *** 21,27 **** vo_schedule.*pp vo_shortratemodels.*pp - vo_simpleswap.*pp vo_swap.*pp vo_termstructures.*pp vo_volatilities.*pp vo_xibor.*pp --- 21,27 ---- vo_schedule.*pp vo_shortratemodels.*pp vo_swap.*pp vo_termstructures.*pp + vo_vanillaswap.*pp vo_volatilities.*pp vo_xibor.*pp --- simpleswap.hpp DELETED --- --- NEW FILE: vanillaswap.hpp --- /* Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet 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 qla_simpleswap_hpp #define qla_simpleswap_hpp #include <qlo/baseinstruments.hpp> #include <qlo/xibor.hpp> #include <ql/Instruments/vanillaswap.hpp> namespace QuantLibAddin { class VanillaSwap : public Instrument { public: VanillaSwap( const QuantLib::Date &startDate, const QuantLib::Date &maturity, const QuantLib::Real &nominal, const bool &payFixed, const QuantLib::Rate &fixRate, const QuantLib::Calendar& calendar, const QuantLib::Frequency &fixFrqID, const QuantLib::BusinessDayConvention &fixBDCID, const QuantLib::DayCounter &fixDayCounter, const bool &fixStartFromEnd, const bool &fixLongFinal, //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) const std::vector<std::vector<double> >& getFixLeg(); const std::vector<std::vector<double> >& getFloatLeg(); private: std::vector<std::vector<double> > fixLeg; std::vector<std::vector<double> > floatLeg; }; } #endif --- NEW FILE: vanillaswap.cpp --- /* Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet 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) #include <qlo/config.hpp> #endif #include <qlo/vanillaswap.hpp> #include <qlo/generalutils.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> #include <ql/CashFlows/fixedratecoupon.hpp> #include <ql/CashFlows/parcoupon.hpp> #include <vector> namespace QuantLibAddin { VanillaSwap::VanillaSwap( const QuantLib::Date &startDate, const QuantLib::Date &maturity, const QuantLib::Real &nominal, const bool &payFixed, const QuantLib::Rate &fixRate, const QuantLib::Calendar& calendar, const QuantLib::Frequency &fixFrq, const QuantLib::BusinessDayConvention &fixBDC, const QuantLib::DayCounter &fixDayCounter, const bool &fixStartFromEnd, const bool &fixLongFinal, //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); QuantLib::Schedule floatSchedule(calendar, startDate, maturity, index->frequency(), index->businessDayConvention(), QuantLib::Date(), floatStartFromEnd, floatLongFinal); mInstrument = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::VanillaSwap(payFixed, nominal, fixedSchedule, fixRate, fixDayCounter, floatSchedule, index, index->settlementDays(), floatSpread, floatDayCounter, discountingTermStructure)); } const std::vector<std::vector<double> >& VanillaSwap::getFixLeg() { const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& flows = getObject().fixedLeg(); fixLeg.clear(); for(size_t i = 0; i < flows.size(); i++) { std::vector<double> cf; QuantLib::FixedRateCoupon& c = (QuantLib::FixedRateCoupon&) *(flows[i]); cf.push_back(c.accrualStartDate().serialNumber()); cf.push_back(c.accrualEndDate().serialNumber()); cf.push_back(c.date().serialNumber()); cf.push_back(c.accrualPeriod()); cf.push_back(c.accrualDays()); cf.push_back(c.amount()); fixLeg.push_back(cf); } return fixLeg; } const std::vector<std::vector<double> >& VanillaSwap::getFloatLeg() { const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& flows = getObject().floatingLeg(); floatLeg.clear(); for(size_t i = 0; i < flows.size(); i++) { std::vector<double> cf; QuantLib::ParCoupon& c = (QuantLib::ParCoupon&)*(flows[i]); cf.push_back(c.accrualStartDate().serialNumber()); cf.push_back(c.accrualEndDate().serialNumber()); cf.push_back(c.date().serialNumber()); cf.push_back(c.fixingDate().serialNumber()); cf.push_back(c.accrualPeriod()); cf.push_back(c.accrualDays()); cf.push_back(c.amount()); cf.push_back(c.indexFixing()); floatLeg.push_back(cf); } return floatLeg; } } --- simpleswap.cpp DELETED --- Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** swap.cpp 24 May 2006 14:59:44 -0000 1.2 --- swap.cpp 6 Jun 2006 08:10:05 -0000 1.3 *************** *** 36,40 **** discountingTermStructure.linkTo(termStructure); ! mInstrument = boost::shared_ptr<QuantLib::Swap>( new QuantLib::Swap(paidLeg, recvLeg, discountingTermStructure)); } --- 36,40 ---- discountingTermStructure.linkTo(termStructure); ! mInstrument = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::Swap(paidLeg, recvLeg, discountingTermStructure)); } Index: instruments.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/instruments.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** instruments.hpp 19 May 2006 16:56:16 -0000 1.1 --- instruments.hpp 6 Jun 2006 08:10:05 -0000 1.2 *************** *** 21,25 **** #include <qlo/fixedcouponbond.hpp> #include <qlo/zerocouponbond.hpp> ! #include <qlo/simpleswap.hpp> #endif --- 21,25 ---- #include <qlo/fixedcouponbond.hpp> #include <qlo/zerocouponbond.hpp> ! #include <qlo/vanillaswap.hpp> #endif |
