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From: Cristina D. <cdu...@us...> - 2006-06-19 14:18:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22040/qlo Modified Files: .cvsignore exercise.cpp exercise.hpp Added Files: pricingengine.hpp swaption.cpp swaption.hpp Log Message: 1) exported swaption 2) exported Exercise interface Index: exercise.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/exercise.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** exercise.hpp 9 Jun 2006 18:58:47 -0000 1.2 --- exercise.hpp 19 Jun 2006 14:18:01 -0000 1.3 *************** *** 30,49 **** public: AmericanExercise( ! const QuantLib::Date &earliestDate, ! const QuantLib::Date &latestDate, ! const bool &payoffAtExpiry); }; class EuropeanExercise : public Exercise { public: ! EuropeanExercise( ! const QuantLib::Date &expiryDate); }; class BermudanExercise : public Exercise { public: ! BermudanExercise( ! const std::vector < QuantLib::Date > &dates, ! const bool &payoffAtExpiry); }; --- 30,47 ---- public: AmericanExercise( ! const QuantLib::Date& earliestDate, ! const QuantLib::Date& latestDate, ! const bool payoffAtExpiry); }; class EuropeanExercise : public Exercise { public: ! EuropeanExercise(const QuantLib::Date& expiryDate); }; class BermudanExercise : public Exercise { public: ! BermudanExercise(const std::vector<QuantLib::Date>& dates, ! const bool payoffAtExpiry); }; *************** *** 51,53 **** #endif - --- 49,50 ---- Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** .cvsignore 15 Jun 2006 20:23:55 -0000 1.5 --- .cvsignore 19 Jun 2006 14:18:01 -0000 1.6 *************** *** 9,29 **** enumregistry.cpp qladdin.hpp ! vo_bonds.*pp ! vo_calendar.*pp ! vo_capfloor.*pp ! vo_couponvectors.*pp ! vo_exercise.*pp ! vo_forwardrateagreement.*pp ! vo_interpolation.*pp ! vo_ohfunctions.*pp ! vo_options.*pp ! vo_processes.*pp ! vo_randomsequencegenerator.*pp ! vo_ratehelpers.*pp ! vo_schedule.*pp ! vo_shortratemodels.*pp ! vo_swap.*pp ! vo_termstructures.*pp ! vo_vanillaswap.*pp ! vo_volatilities.*pp ! vo_xibor.*pp --- 9,11 ---- enumregistry.cpp qladdin.hpp ! vo_*.*pp --- NEW FILE: swaption.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Cristina Duminuco 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/swaption.hpp> #include <ql/Instruments/swaption.hpp> namespace QuantLibAddin { Swaption::Swaption(const boost::shared_ptr<QuantLib::VanillaSwap>& swap, const boost::shared_ptr<QuantLib::Exercise>& exercise, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS //, //const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine ) { boost::shared_ptr<QuantLib::Quote> vol_me( new QuantLib::SimpleQuote(0.2)); QuantLib::Handle<QuantLib::Quote> vol_rh(vol_me); boost::shared_ptr<QuantLib::BlackModel> model( new QuantLib::BlackModel(vol_rh, hYTS)); boost::shared_ptr<QuantLib::PricingEngine> eng( new QuantLib::BlackSwaptionEngine(model)); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::Swaption(swap, exercise, hYTS, eng)); } } Index: exercise.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/exercise.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** exercise.cpp 9 Jun 2006 18:58:47 -0000 1.2 --- exercise.cpp 19 Jun 2006 14:18:01 -0000 1.3 *************** *** 25,52 **** AmericanExercise::AmericanExercise( ! const QuantLib::Date &earliestDate, ! const QuantLib::Date &latestDate, ! const bool &payoffAtExpiry) { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::AmericanExercise( ! earliestDate, ! latestDate, ! payoffAtExpiry)); } ! EuropeanExercise::EuropeanExercise( ! const QuantLib::Date &expiryDate) { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::EuropeanExercise( ! expiryDate)); } BermudanExercise::BermudanExercise( ! const std::vector < QuantLib::Date > &dates, ! const bool &payoffAtExpiry) { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::BermudanExercise( ! dates, ! payoffAtExpiry)); } --- 25,51 ---- AmericanExercise::AmericanExercise( ! const QuantLib::Date& earliestDate, ! const QuantLib::Date& latestDate, ! const bool payoffAtExpiry) ! { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::AmericanExercise(earliestDate, ! latestDate, ! payoffAtExpiry)); } ! EuropeanExercise::EuropeanExercise(const QuantLib::Date& expiryDate) ! { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::EuropeanExercise(expiryDate)); } BermudanExercise::BermudanExercise( ! const std::vector<QuantLib::Date>& dates, ! const bool payoffAtExpiry) ! { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::BermudanExercise(dates, ! payoffAtExpiry)); } --- NEW FILE: swaption.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Cristina Duminuco 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_swaption_hpp #define qla_swaption_cpp #include <qlo/baseinstruments.hpp> #include <qlo/termstructures.hpp> #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> namespace QuantLibAddin { class Swaption : public Instrument { public: Swaption(const boost::shared_ptr<QuantLib::VanillaSwap>& swap, const boost::shared_ptr<QuantLib::Exercise>& exercise, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS //, //const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine ); std::string underlyingSwap() { return boost::any_cast<std::string>(propertyValue("vanillaSwap")); } }; } #endif --- NEW FILE: pricingengine.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Cristina Duminuco 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_pricingengine_hpp #define qla_pricingengine_hpp #include <oh/objhandler.hpp> #include <ql/pricingengine.hpp> #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> namespace QuantLibAddin { class BlackSwaptionEngine : public ObjHandler::LibraryObject<QuantLib::BlackSwaptionEngine> { }; } #endif |
