[QuantLibAddin-cvs] QuantLibAddin/qlo ratehelpers.cpp, 1.1, 1.2 ratehelpers.hpp, 1.1, 1.2

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12234/qlo

Modified Files:
	ratehelpers.cpp ratehelpers.hpp 
Log Message:
Futures convexity adjustment added

Index: ratehelpers.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ratehelpers.hpp	15 Jun 2006 20:23:55 -0000	1.1
--- ratehelpers.hpp	18 Jun 2006 12:55:34 -0000	1.2
***************
*** 32,38 ****
        public:
          double setQuote(double quote);
!         QuantLib::Handle<QuantLib::Quote> quoteHandle() const {
!             return quoteHandle_;
!         }
        protected:
          boost::shared_ptr<QuantLib::SimpleQuote> quote_;
--- 32,38 ----
        public:
          double setQuote(double quote);
!         //QuantLib::Handle<QuantLib::Quote> quoteHandle() const {
!         //    return quoteHandle_;
!         //}
        protected:
          boost::shared_ptr<QuantLib::SimpleQuote> quote_;
***************
*** 43,63 ****
        public:
          DepositRateHelper(
!             const double &quote,
              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);
      };
  
--- 43,68 ----
        public:
          DepositRateHelper(
!             const double quote,
              const QuantLib::Period& p,
!             const long fixingDays,
              const QuantLib::Calendar& calendar,
!             const QuantLib::BusinessDayConvention& convention,
!             const QuantLib::DayCounter& dayCounter);
      };
  
      class FuturesRateHelper : public RateHelper {
        public:
+         QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj);
          FuturesRateHelper(
!             const double price,
!             const std::string& immDateID,
!             const QuantLib::Integer months,
              const QuantLib::Calendar& calendar,
!             const QuantLib::BusinessDayConvention& bDayConvention,
!             const QuantLib::DayCounter& dayCounter,
!             const QuantLib::Rate convAdj);
!       protected:
!         boost::shared_ptr<QuantLib::SimpleQuote> convAdj_;
!         QuantLib::Handle<QuantLib::Quote> convAdjHandle_;
      };
  
***************
*** 65,75 ****
        public:
          SwapRateHelper(
!             const double &quote,
              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);
      };
--- 70,80 ----
        public:
          SwapRateHelper(
!             const double quote,
              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);
      };
***************
*** 79,83 ****
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
!         const long& nFutures);
  
  }
--- 84,88 ----
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
!         const long nFutures);
  
  }

Index: ratehelpers.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ratehelpers.cpp	15 Jun 2006 20:23:55 -0000	1.1
--- ratehelpers.cpp	18 Jun 2006 12:55:34 -0000	1.2
***************
*** 34,38 ****
  namespace QuantLibAddin {
  
!     double RateHelper::setQuote(double quote) {
          double diff = quote - quote_->value();
          quote_->setValue(quote);
--- 34,39 ----
  namespace QuantLibAddin {
  
!     double RateHelper::setQuote(double quote)
!     {
          double diff = quote - quote_->value();
          quote_->setValue(quote);
***************
*** 41,51 ****
  
      DepositRateHelper::DepositRateHelper(
!             const double &quote,
              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));
--- 42,52 ----
  
      DepositRateHelper::DepositRateHelper(
!             const double quote,
              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));
***************
*** 61,75 ****
      }
  
      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);
          
--- 62,89 ----
      }
  
+     QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj)
+     {
+         QuantLib::Spread diff = convAdj - convAdj_->value();
+         convAdj_->setValue(convAdj);
+         return diff;
+     }
+ 
      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,
!             const QuantLib::Rate convAdj)
!     {
!         quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(
!             new QuantLib::SimpleQuote(price));
          quoteHandle_.linkTo(quote_);
  
+         convAdj_ = boost::shared_ptr<QuantLib::SimpleQuote>(
+             new QuantLib::SimpleQuote(convAdj));
+         convAdjHandle_.linkTo(convAdj_);
+ 
          QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID);
          
***************
*** 81,97 ****
                  calendar,
                  bDayConvention,
!                 dayCounter));
      }
      
      SwapRateHelper::SwapRateHelper(
!             const double &quote,
              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_);
--- 95,112 ----
                  calendar,
                  bDayConvention,
!                 dayCounter,
!                 convAdjHandle_));
      }
      
      SwapRateHelper::SwapRateHelper(
!             const double quote,
              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_);
***************
*** 150,155 ****
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
!         const long& nFutures) {
! 
          QL_REQUIRE(!instrumentHandles.empty(), "no instrument given");
  
--- 165,170 ----
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
!         const long nFutures)
!     {
          QL_REQUIRE(!instrumentHandles.empty(), "no instrument given");