[QuantLibAddin-cvs] QuantLibAddin/qlo swap.cpp, 1.3, 1.4 swap.hpp, 1.2, 1.3 vanillaswap.cpp, 1.1, 1.2 vanillaswap.hpp, 1.1, 1.2

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4982/qlo

Modified Files:
	swap.cpp swap.hpp vanillaswap.cpp vanillaswap.hpp 
Log Message:
1) in synch with QuantLib Swap/VanillaSwap refactoring
2) VaniilaSwap now inherits from Swap (as in QuantLib)
still to do: export to Excel multi-leg swap

Index: swap.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** swap.cpp	6 Jun 2006 08:10:05 -0000	1.3
--- swap.cpp	6 Jun 2006 17:16:48 -0000	1.4
***************
*** 2,7 ****
  /*
   Copyright (C) 2005 Eric Ehlers
!  Copyright (C) 2005 Plamen Neykov
   Copyright (C) 2005 Aurelien Chanudet
  
   This file is part of QuantLib, a free-software/open-source library
--- 2,9 ----
  /*
   Copyright (C) 2005 Eric Ehlers
!  Copyright (C) 2006 Ferdinando Ametrano
   Copyright (C) 2005 Aurelien Chanudet
+  Copyright (C) 2005 Plamen Neykov
+  Copyright (C) 2006 Katiuscia Manzoni
  
   This file is part of QuantLib, a free-software/open-source library
***************
*** 23,26 ****
--- 25,29 ----
  
  #include <qlo/swap.hpp>
+ #include <ql/CashFlows/parcoupon.hpp>
  
  namespace QuantLibAddin {
***************
*** 37,43 ****
          
          mInstrument = boost::shared_ptr<QuantLib::Instrument>(
!             new QuantLib::Swap(paidLeg, recvLeg, discountingTermStructure));
      }
!     
  }
  
--- 40,89 ----
          
          mInstrument = boost::shared_ptr<QuantLib::Instrument>(
!             new QuantLib::Swap(discountingTermStructure, paidLeg, recvLeg));
      }
! 
! 
!     const std::vector<std::vector<double> >& Swap::legAnalysis(QuantLib::Size i) {
!         const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = 
!             getObject().leg(i);
! 
!         flowAnalysis_.clear();
!         for(QuantLib::Size i = 0; i < cashflows.size(); i++) {
!             std::vector<double> cf;
! 
!             cf.push_back(cashflows[i]->date().serialNumber());
!             cf.push_back(cashflows[i]->amount());
! 
!             boost::shared_ptr<QuantLib::Coupon> c =
!                 boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]);
!             cf.push_back(c->nominal());
!             cf.push_back(c->accrualStartDate().serialNumber());
!             cf.push_back(c->accrualEndDate().serialNumber());
!             cf.push_back(c->accrualDays());
!             //cf.push_back(c->dayCounter().name());
!             cf.push_back(c->accrualPeriod());
!             cf.push_back(c->rate());
!         
!             boost::shared_ptr<QuantLib::ParCoupon> floatingCoupon =
!                 boost::dynamic_pointer_cast<QuantLib::ParCoupon>(cashflows[i]);
!             if (floatingCoupon!=0) {
!                 cf.push_back(floatingCoupon->fixingDays());
!                 cf.push_back(floatingCoupon->fixingDate().serialNumber());
!                 cf.push_back(floatingCoupon->indexFixing());
!                 cf.push_back(floatingCoupon->spread());
!             } else {
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
!             }
! 
!             flowAnalysis_.push_back(cf);
!         }
!         return flowAnalysis_;
!     }
! 
! 
! 
  }
  

Index: vanillaswap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** vanillaswap.hpp	6 Jun 2006 08:10:05 -0000	1.1
--- vanillaswap.hpp	6 Jun 2006 17:16:48 -0000	1.2
***************
*** 21,31 ****
  #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(
--- 21,31 ----
  #define qla_simpleswap_hpp
  
  #include <qlo/xibor.hpp>
  #include <ql/Instruments/vanillaswap.hpp>
+ #include <qlo/swap.hpp>
  
  namespace QuantLibAddin {
  
!     class VanillaSwap : public Swap {
      public:
          VanillaSwap(
***************
*** 51,60 ****
          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;
      };
  }
--- 51,61 ----
          EXPORT_UNDERLYING_OBJECT(QuantLib::VanillaSwap, mInstrument)
  
!         const std::vector<std::vector<double> >& fixedLeg() {
!             return Swap::legAnalysis(0);
!         }
!         const std::vector<std::vector<double> >& floatingLeg() {
!             return Swap::legAnalysis(1);
!         }
  
      };
  }

Index: vanillaswap.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** vanillaswap.cpp	6 Jun 2006 08:10:05 -0000	1.1
--- vanillaswap.cpp	6 Jun 2006 17:16:48 -0000	1.2
***************
*** 2,7 ****
  /*
   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
--- 2,9 ----
  /*
   Copyright (C) 2005, 2006 Eric Ehlers
!  Copyright (C) 2006 Ferdinando Ametrano
   Copyright (C) 2005 Aurelien Chanudet
+  Copyright (C) 2005 Plamen Neykov
+  Copyright (C) 2006 Katiuscia Manzoni
  
   This file is part of QuantLib, a free-software/open-source library
***************
*** 74,114 ****
      }
  
-     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;
-     }
  }
- 
--- 76,78 ----

Index: swap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** swap.hpp	24 May 2006 14:59:44 -0000	1.2
--- swap.hpp	6 Jun 2006 17:16:48 -0000	1.3
***************
*** 2,7 ****
  /*
   Copyright (C) 2005 Eric Ehlers
!  Copyright (C) 2005 Plamen Neykov
   Copyright (C) 2005 Aurelien Chanudet
  
   This file is part of QuantLib, a free-software/open-source library
--- 2,9 ----
  /*
   Copyright (C) 2005 Eric Ehlers
!  Copyright (C) 2006 Ferdinando Ametrano
   Copyright (C) 2005 Aurelien Chanudet
+  Copyright (C) 2005 Plamen Neykov
+  Copyright (C) 2006 Katiuscia Manzoni
  
   This file is part of QuantLib, a free-software/open-source library
***************
*** 34,39 ****
              const boost::shared_ptr < CouponVector > &recvLegWrapper,
              const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure);
!         
!         EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument)
      };
      
--- 36,49 ----
              const boost::shared_ptr < CouponVector > &recvLegWrapper,
              const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure);
! 
!         EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument);
! 
!         const std::vector<std::vector<double> >& legAnalysis(QuantLib::Size i);
! 
!       protected:
!         Swap() {}
! 
!       private:
!         std::vector<std::vector<double> > flowAnalysis_;
      };