[QuantLibAddin-cvs] QuantLibAddin/qlo ratehelpers.cpp, 1.2, 1.3 ratehelpers.hpp, 1.2, 1.3

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14963

Modified Files:
	ratehelpers.cpp ratehelpers.hpp 
Log Message:
added Futures front contract rolling days

Index: ratehelpers.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ratehelpers.hpp	18 Jun 2006 12:55:34 -0000	1.2
--- ratehelpers.hpp	18 Jun 2006 18:54:32 -0000	1.3
***************
*** 84,88 ****
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
!         const long nFutures);
  
  }
--- 84,89 ----
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
!         const long nFutures,
!         const long frontContractRollingDays);
  
  }

Index: ratehelpers.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ratehelpers.cpp	18 Jun 2006 12:55:34 -0000	1.2
--- ratehelpers.cpp	18 Jun 2006 18:54:32 -0000	1.3
***************
*** 165,171 ****
          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();
--- 165,175 ----
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
!         const long nFutures,
!         const long frontContractRollingDays)
      {
          QL_REQUIRE(!instrumentHandles.empty(), "no instrument given");
+         QL_REQUIRE(frontContractRollingDays>=0,
+             "negative (" << frontContractRollingDays <<
+             ")frontContractRollingDays");
  
          QuantLib::Size nInstruments = instrumentHandles.size();
***************
*** 193,200 ****
              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(), 
--- 197,206 ----
              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-frontContractRollingDays >= evalDate)) {
                      futuresCounter++;
                      rhs.push_back(detail::RateHelperItem(temp->latestDate(),