|
From: Ferdinando A. <na...@us...> - 2006-06-14 18:34:36
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23737/qlo Modified Files: .cvsignore couponvectors.hpp fixedcouponbond.cpp Added Files: bonds.cpp bonds.hpp Log Message: Bond refactoring Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** couponvectors.hpp 9 Jun 2006 18:58:47 -0000 1.3 --- couponvectors.hpp 14 Jun 2006 18:34:31 -0000 1.4 *************** *** 60,64 **** const std::vector<double> &nominals, const boost::shared_ptr < QuantLib::Xibor > &index, ! const std::vector<double> &spreads); virtual std::vector<std::vector<double> > getLeg(); --- 60,64 ---- const std::vector<double> &nominals, const boost::shared_ptr < QuantLib::Xibor > &index, ! const std::vector<QuantLib::Spread> &spreads); virtual std::vector<std::vector<double> > getLeg(); --- NEW FILE: bonds.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Walter Penschke 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_bonds_hpp #define qla_bonds_hpp #include <qlo/baseinstruments.hpp> #include <qlo/xibor.hpp> namespace QuantLibAddin { class Bond : public Instrument { }; class ZeroCouponBond : public Bond { public: ZeroCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, const long settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention& convention, const double redemption, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure); }; class FixedCouponBond : public Bond { public: FixedCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, const long settlementDays, const std::vector<double>& coupons, const double redemption, const QuantLib::Frequency& frequency, const QuantLib::DayCounter& dayCounter, const QuantLib::BusinessDayConvention& accrualConvention, const QuantLib::BusinessDayConvention& paymentConvention, const QuantLib::Calendar& calendar, const bool startFromEnd, const bool longFinal, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure); }; } #endif --- NEW FILE: bonds.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Walter Penschke 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/bonds.hpp> #include <qlo/generalutils.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> #include <ql/Instruments/fixedcouponbond.hpp> #include <ql/Instruments/floatingratebond.hpp> #include <ql/Instruments/zerocouponbond.hpp> namespace QuantLibAddin { ZeroCouponBond::ZeroCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, const long settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention& convention, const double redemption, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure) { QuantLib::Handle<QuantLib::YieldTermStructure> ts(termStructure); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::ZeroCouponBond(issueDate, maturityDate, settlementDays, dayCounter, calendar, convention, redemption, ts)); } FixedCouponBond::FixedCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, const long settlementDays, const std::vector<double>& coupons, const double redemption, const QuantLib::Frequency& frequency, const QuantLib::DayCounter& dayCounter, const QuantLib::BusinessDayConvention& accrualConvention, const QuantLib::BusinessDayConvention& paymentConvention, const QuantLib::Calendar& calendar, const bool startFromEnd, const bool longFinal, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure) { QuantLib::Handle<QuantLib::YieldTermStructure> ts(termStructure); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::FixedCouponBond(issueDate, datedDate, maturityDate, settlementDays, coupons, frequency, calendar, dayCounter, accrualConvention, paymentConvention, redemption, ts, QuantLib::Date(), startFromEnd, longFinal)); } } Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** .cvsignore 8 Jun 2006 18:42:42 -0000 1.3 --- .cvsignore 14 Jun 2006 18:34:31 -0000 1.4 *************** *** 9,12 **** --- 9,13 ---- enumregistry.cpp qladdin.hpp + vo_bonds.*pp vo_calendar.*pp vo_capfloor.*pp *************** *** 14,18 **** vo_exercise.*pp vo_forwardrateagreement.*pp - vo_instruments.*pp vo_interpolation.*pp vo_ohfunctions.*pp --- 15,18 ---- Index: fixedcouponbond.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/fixedcouponbond.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** fixedcouponbond.cpp 9 Jun 2006 18:58:47 -0000 1.2 --- fixedcouponbond.cpp 14 Jun 2006 18:34:31 -0000 1.3 *************** *** 70,77 **** startFromEnd, longFinal ! #ifdef LOCAL_QL_PATCH ! , ! nominals // Not yet implemented in QL ! #endif )); } --- 70,76 ---- startFromEnd, longFinal ! #ifdef LOCAL_QL_PATCH ! , nominals // Not yet implemented in QL ! #endif )); } |
