|
From: Ferdinando A. <na...@us...> - 2006-06-15 20:24:01
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17035/qlo Modified Files: .cvsignore termstructures.cpp termstructures.hpp Added Files: ratehelpers.cpp ratehelpers.hpp Log Message: ratehelpes in their own files Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** termstructures.hpp 15 Jun 2006 18:07:56 -0000 1.4 --- termstructures.hpp 15 Jun 2006 20:23:55 -0000 1.5 *************** *** 23,28 **** #include <ql/termstructure.hpp> - #include <ql/Indexes/xibor.hpp> - #include <ql/calendar.hpp> #include <ql/TermStructures/piecewiseflatforward.hpp> #include <ql/TermStructures/forwardspreadedtermstructure.hpp> --- 23,26 ---- *************** *** 33,86 **** namespace QuantLibAddin { - class RateHelper : public ObjHandler::LibraryObject<QuantLib::RateHelper> { - public: - double setQuote(double quote); - QuantLib::Handle<QuantLib::Quote> quoteHandle() const { - return quoteHandle_; - } - protected: - boost::shared_ptr<QuantLib::SimpleQuote> quote_; - QuantLib::Handle<QuantLib::Quote> quoteHandle_; - }; - - class DepositRateHelper : public RateHelper { - public: - DepositRateHelper( - const double "e, - const QuantLib::Period& p, - const long &fixingDays, - const QuantLib::Calendar& calendar, - const QuantLib::BusinessDayConvention &convention, - const QuantLib::DayCounter &dayCounter); - }; - - class FuturesRateHelper : public RateHelper { - public: - FuturesRateHelper( - const double &price, - const std::string &immDateID, - const QuantLib::Integer &months, - const QuantLib::Calendar& calendar, - const QuantLib::BusinessDayConvention &bDayConvention, - const QuantLib::DayCounter &dayCounter); - }; - - class SwapRateHelper : public RateHelper { - public: - SwapRateHelper( - const double "e, - const QuantLib::Period& p, - const long &fixingDays, - const QuantLib::Calendar& calendar, - const QuantLib::Frequency &fixedFrequency, - const QuantLib::BusinessDayConvention &fixedConvention, - const QuantLib::DayCounter &fixedDayCounter, - const boost::shared_ptr<QuantLib::Xibor>& index); - }; - class YieldTermStructure : public ObjHandler::LibraryObject<QuantLib::YieldTermStructure> { }; - class PiecewiseYieldCurve : public YieldTermStructure { public: --- 31,37 ---- *************** *** 123,132 **** }; - std::vector<std::string> qlRateHelperSelection( - const std::vector<std::string>& instrumentHandles, - const std::vector<bool>& includeFlag, - const std::vector<long>& priority, - const long& nFutures); - } --- 74,77 ---- Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** .cvsignore 14 Jun 2006 18:34:31 -0000 1.4 --- .cvsignore 15 Jun 2006 20:23:55 -0000 1.5 *************** *** 20,23 **** --- 20,24 ---- vo_processes.*pp vo_randomsequencegenerator.*pp + vo_ratehelpers.*pp vo_schedule.*pp vo_shortratemodels.*pp Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** termstructures.cpp 15 Jun 2006 18:07:56 -0000 1.7 --- termstructures.cpp 15 Jun 2006 20:23:55 -0000 1.8 *************** *** 24,27 **** --- 24,28 ---- #include <oh/objhandlerdefines.hpp> #include <qlo/termstructures.hpp> + #include <qlo/ratehelpers.hpp> #include <qlo/typefactory.hpp> #include <qlo/generalutils.hpp> *************** *** 34,112 **** namespace QuantLibAddin { - double RateHelper::setQuote(double quote) { - double diff = quote - quote_->value(); - quote_->setValue(quote); - return diff; - } - - DepositRateHelper::DepositRateHelper( - const double "e, - const QuantLib::Period& p, - const long &fixingDays, - const QuantLib::Calendar& calendar, - const QuantLib::BusinessDayConvention &convention, - const QuantLib::DayCounter &dayCounter) { - - quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( - new QuantLib::SimpleQuote(quote)); - quoteHandle_.linkTo(quote_); - - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( - new QuantLib::DepositRateHelper(quoteHandle_, - p, - fixingDays, - calendar, - convention, - dayCounter)); - } - - FuturesRateHelper::FuturesRateHelper( - const double &price, - const std::string &immDateID, - const QuantLib::Integer &months, - const QuantLib::Calendar& calendar, - const QuantLib::BusinessDayConvention &bDayConvention, - const QuantLib::DayCounter &dayCounter) { - - quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(price)); - quoteHandle_.linkTo(quote_); - - QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); - - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( - new QuantLib::FuturesRateHelper( - quoteHandle_, - expiry, - months, - calendar, - bDayConvention, - dayCounter)); - } - - SwapRateHelper::SwapRateHelper( - const double "e, - const QuantLib::Period& p, - const long &fixingDays, - const QuantLib::Calendar& calendar, - const QuantLib::Frequency &fixedFrequency, - const QuantLib::BusinessDayConvention &fixedConvention, - const QuantLib::DayCounter &fixedDayCounter, - const boost::shared_ptr<QuantLib::Xibor>& index) { - - quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(quote)); - quoteHandle_.linkTo(quote_); - - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( - new QuantLib::SwapRateHelper(quoteHandle_, - p, - fixingDays, - calendar, - fixedFrequency, - fixedConvention, - fixedDayCounter, - index)); - } - - PiecewiseYieldCurve::PiecewiseYieldCurve( const long &nDays, --- 35,38 ---- *************** *** 205,310 **** } - // helper class - namespace detail { - - struct RateHelperItem { - QuantLib::Date latestDate; - long priority; - std::string instanceName; - RateHelperItem( - const QuantLib::Date& latestDate, - const long& priority, - const std::string& instanceName) - : latestDate(latestDate), priority(priority), instanceName(instanceName) {} - }; - - class RateHelperPrioritySorter { - public: - // does h1 come before h2? - bool operator()(const RateHelperItem& h1, - const RateHelperItem& h2) const { - - if (h1.latestDate > h2.latestDate) - return false; - - if (h1.latestDate == h2.latestDate) { - if (h1.priority > h2.priority) { - return false; - } else if (h1.priority == h2.priority) { - return h1.instanceName > h2.instanceName; - } - } - - return true; - - } - }; - } - - std::vector<std::string> qlRateHelperSelection( - const std::vector<std::string>& instrumentHandles, - const std::vector<bool>& includeFlag, - const std::vector<long>& priority, - const long& nFutures) { - - QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); - - QuantLib::Size nInstruments = instrumentHandles.size(); - QL_REQUIRE(includeFlag.size()==nInstruments, - "includeFlag / instruments mismatch"); - QL_REQUIRE(priority.size()==nInstruments, - "priority / instruments mismatch"); - - std::vector<boost::shared_ptr<RateHelper> > instruments; - for (std::vector<std::string>::const_iterator it = instrumentHandles.begin(); - it != instrumentHandles.end(); it++) { - OH_GET_OBJECT(objectPointer, *it, RateHelper) - instruments.push_back(objectPointer); - } - - // purge input rate helpers according to their includeFlag, - // their expiration, and maximum number of allowed futures - std::vector<detail::RateHelperItem> rhs; - QuantLib::Size i; - long futuresCounter = 0; - QuantLib::Date earliestDate, evalDate = QuantLib::Settings::instance().evaluationDate(); - for (i=0; i<nInstruments; i++) { - const boost::shared_ptr < QuantLib::RateHelper > temp = - instruments[i]->getLibraryObject < QuantLib::RateHelper >(); - earliestDate = temp->earliestDate(); - if (includeFlag[i]) { - if (!boost::dynamic_pointer_cast<FuturesRateHelper>(instruments[i]) && (earliestDate >= evalDate)) { - rhs.push_back(detail::RateHelperItem(temp->latestDate(), - priority[i], instrumentHandles[i])); - } else if (futuresCounter<nFutures && (earliestDate-2 >= evalDate)) { - futuresCounter++; - rhs.push_back(detail::RateHelperItem(temp->latestDate(), - priority[i], instrumentHandles[i])); - } - } - } - - std::vector<std::string> instanceNames; - - // zero or one rate helper left - if (rhs.size()<2) { - std::vector<detail::RateHelperItem>::const_iterator i; - for (i = rhs.begin(); i != rhs.end(); i++) - instanceNames.push_back(i->instanceName); - return instanceNames; - } - - // sort rate helpers according to their latest date and priority - std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); - - for (i=0; i<rhs.size()-1; i++) { - if (rhs[i].latestDate < rhs[i+1].latestDate) - instanceNames.push_back(rhs[i].instanceName); - } - // add the last one in any case - instanceNames.push_back(rhs[i].instanceName); - - return instanceNames; - } } --- 131,134 ---- --- NEW FILE: ratehelpers.hpp --- /* Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2006 Ferdinando Ametrano 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_ratehelpers_hpp #define qla_ratehelpers_hpp #include <ql/Indexes/xibor.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <oh/objhandler.hpp> namespace QuantLibAddin { class RateHelper : public ObjHandler::LibraryObject<QuantLib::RateHelper> { public: double setQuote(double quote); QuantLib::Handle<QuantLib::Quote> quoteHandle() const { return quoteHandle_; } protected: boost::shared_ptr<QuantLib::SimpleQuote> quote_; QuantLib::Handle<QuantLib::Quote> quoteHandle_; }; class DepositRateHelper : public RateHelper { public: DepositRateHelper( const double "e, const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention &convention, const QuantLib::DayCounter &dayCounter); }; class FuturesRateHelper : public RateHelper { public: FuturesRateHelper( const double &price, const std::string &immDateID, const QuantLib::Integer &months, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention &bDayConvention, const QuantLib::DayCounter &dayCounter); }; class SwapRateHelper : public RateHelper { public: SwapRateHelper( const double "e, const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, const QuantLib::Frequency &fixedFrequency, const QuantLib::BusinessDayConvention &fixedConvention, const QuantLib::DayCounter &fixedDayCounter, const boost::shared_ptr<QuantLib::Xibor>& index); }; std::vector<std::string> qlRateHelperSelection( const std::vector<std::string>& instrumentHandles, const std::vector<bool>& includeFlag, const std::vector<long>& priority, const long& nFutures); } #endif --- NEW FILE: ratehelpers.cpp --- /* Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2006 Ferdinando Ametrano 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. */ #ifdef HAVE_CONFIG_H #include <qlo/config.hpp> #endif #include <oh/objhandlerdefines.hpp> #include <qlo/ratehelpers.hpp> #include <qlo/typefactory.hpp> #include <qlo/generalutils.hpp> #include <ql/date.hpp> #include <ql/Math/cubicspline.hpp> #include <ql/TermStructures/discountcurve.hpp> #include <ql/TermStructures/forwardcurve.hpp> namespace QuantLibAddin { double RateHelper::setQuote(double quote) { double diff = quote - quote_->value(); quote_->setValue(quote); return diff; } DepositRateHelper::DepositRateHelper( const double "e, const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention &convention, const QuantLib::DayCounter &dayCounter) { quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( new QuantLib::SimpleQuote(quote)); quoteHandle_.linkTo(quote_); libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::DepositRateHelper(quoteHandle_, p, fixingDays, calendar, convention, dayCounter)); } FuturesRateHelper::FuturesRateHelper( const double &price, const std::string &immDateID, const QuantLib::Integer &months, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention &bDayConvention, const QuantLib::DayCounter &dayCounter) { quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(price)); quoteHandle_.linkTo(quote_); QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::FuturesRateHelper( quoteHandle_, expiry, months, calendar, bDayConvention, dayCounter)); } SwapRateHelper::SwapRateHelper( const double "e, const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, const QuantLib::Frequency &fixedFrequency, const QuantLib::BusinessDayConvention &fixedConvention, const QuantLib::DayCounter &fixedDayCounter, const boost::shared_ptr<QuantLib::Xibor>& index) { quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(quote)); quoteHandle_.linkTo(quote_); libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::SwapRateHelper(quoteHandle_, p, fixingDays, calendar, fixedFrequency, fixedConvention, fixedDayCounter, index)); } // helper class namespace detail { struct RateHelperItem { QuantLib::Date latestDate; long priority; std::string instanceName; RateHelperItem( const QuantLib::Date& latestDate, const long& priority, const std::string& instanceName) : latestDate(latestDate), priority(priority), instanceName(instanceName) {} }; class RateHelperPrioritySorter { public: // does h1 come before h2? bool operator()(const RateHelperItem& h1, const RateHelperItem& h2) const { if (h1.latestDate > h2.latestDate) return false; if (h1.latestDate == h2.latestDate) { if (h1.priority > h2.priority) { return false; } else if (h1.priority == h2.priority) { return h1.instanceName > h2.instanceName; } } return true; } }; } std::vector<std::string> qlRateHelperSelection( const std::vector<std::string>& instrumentHandles, const std::vector<bool>& includeFlag, const std::vector<long>& priority, const long& nFutures) { QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); QuantLib::Size nInstruments = instrumentHandles.size(); QL_REQUIRE(includeFlag.size()==nInstruments, "includeFlag / instruments mismatch"); QL_REQUIRE(priority.size()==nInstruments, "priority / instruments mismatch"); std::vector<boost::shared_ptr<RateHelper> > instruments; for (std::vector<std::string>::const_iterator it = instrumentHandles.begin(); it != instrumentHandles.end(); it++) { OH_GET_OBJECT(objectPointer, *it, RateHelper) instruments.push_back(objectPointer); } // purge input rate helpers according to their includeFlag, // their expiration, and maximum number of allowed futures std::vector<detail::RateHelperItem> rhs; QuantLib::Size i; long futuresCounter = 0; QuantLib::Date earliestDate, evalDate = QuantLib::Settings::instance().evaluationDate(); for (i=0; i<nInstruments; i++) { const boost::shared_ptr < QuantLib::RateHelper > temp = instruments[i]->getLibraryObject < QuantLib::RateHelper >(); earliestDate = temp->earliestDate(); if (includeFlag[i]) { if (!boost::dynamic_pointer_cast<FuturesRateHelper>(instruments[i]) && (earliestDate >= evalDate)) { rhs.push_back(detail::RateHelperItem(temp->latestDate(), priority[i], instrumentHandles[i])); } else if (futuresCounter<nFutures && (earliestDate-2 >= evalDate)) { futuresCounter++; rhs.push_back(detail::RateHelperItem(temp->latestDate(), priority[i], instrumentHandles[i])); } } } std::vector<std::string> instanceNames; // zero or one rate helper left if (rhs.size()<2) { std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) instanceNames.push_back(i->instanceName); return instanceNames; } // sort rate helpers according to their latest date and priority std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); for (i=0; i<rhs.size()-1; i++) { if (rhs[i].latestDate < rhs[i+1].latestDate) instanceNames.push_back(rhs[i].instanceName); } // add the last one in any case instanceNames.push_back(rhs[i].instanceName); return instanceNames; } } |
