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From: Ferdinando A. <na...@us...> - 2006-06-20 10:05:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28332/qlo Modified Files: swaption.cpp swaption.hpp Added Files: pricingengines.cpp pricingengines.hpp Removed Files: fixedcouponbond.cpp fixedcouponbond.hpp instruments.hpp pricingengine.hpp zerocouponbond.cpp zerocouponbond.hpp Log Message: 1) doc projects renamed 2) obsolete files removed 3) introduced proper PricingEngine Object and files --- NEW FILE: pricingengines.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano 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. */ #include <qlo/pricingengines.hpp> namespace QuantLibAddin { BlackSwaptionEngine::BlackSwaptionEngine( QuantLib::Volatility vol, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { boost::shared_ptr<QuantLib::Quote> vol_q( new QuantLib::SimpleQuote(vol)); QuantLib::Handle<QuantLib::Quote> vol_hq(vol_q); boost::shared_ptr<QuantLib::BlackModel> model( new QuantLib::BlackModel(vol_hq, hYTS)); boost::shared_ptr<QuantLib::PricingEngine> eng( new QuantLib::BlackSwaptionEngine(model)); libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( new QuantLib::BlackSwaptionEngine(model)); } } --- fixedcouponbond.cpp DELETED --- --- fixedcouponbond.hpp DELETED --- --- NEW FILE: pricingengines.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 PricingEngine : public ObjHandler::LibraryObject<QuantLib::PricingEngine> { }; class BlackSwaptionEngine : public PricingEngine { public: BlackSwaptionEngine( QuantLib::Volatility vol, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); }; } #endif Index: swaption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaption.cpp 19 Jun 2006 14:18:01 -0000 1.1 --- swaption.cpp 20 Jun 2006 10:05:09 -0000 1.2 *************** *** 28,49 **** 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)); } - } - --- 28,37 ---- 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) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::Swaption(swap, exercise, hYTS, engine)); } } --- zerocouponbond.hpp DELETED --- Index: swaption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaption.hpp 19 Jun 2006 14:18:01 -0000 1.1 --- swaption.hpp 20 Jun 2006 10:05:09 -0000 1.2 *************** *** 30,37 **** 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() { --- 30,35 ---- 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() { --- pricingengine.hpp DELETED --- --- zerocouponbond.cpp DELETED --- --- instruments.hpp DELETED --- |
