[QuantLibAddin-cvs] QuantLibAddin todonando.txt,1.15,1.16
Brought to you by:
ericehlers,
nando
|
From: Ferdinando A. <na...@us...> - 2006-06-20 17:39:16
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14603 Modified Files: todonando.txt Log Message: deprecated BlackModel constructor with TermStructure input parameter Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** todonando.txt 20 Jun 2006 09:51:34 -0000 1.15 --- todonando.txt 20 Jun 2006 17:39:13 -0000 1.16 *************** *** 1,17 **** - CHANGELOG FROM MY HOME PC reorganize file/folder/projectfolder timestamp for the logfile permanent object as discussed last error message, not last log message - investigate earliestDate, latestDate behaviour - default parameter for handle as input parameter - il metodo addfixings per gli indici? earliest days dovrebbe tener conto dei fixing days ERIC - - CHM DOCS - - what to do with QuantLib default parameters - export Quote (see RateHelpers) - check double recalc for bootstrapping --- 1,13 ---- reorganize file/folder/projectfolder + getting back all module into QuantLib timestamp for the logfile permanent object as discussed last error message, not last log message earliest days dovrebbe tener conto dei fixing days + ERIC - export Quote (see RateHelpers) - check double recalc for bootstrapping *************** *** 29,65 **** QuantLib ! - static Period Period::fromFrequency(Frequency freq) ! - should InterpolatedDiscountCurve, InterpolatedZeroCurve, and ! InterpolatedForwardCurve inherit from an InterpolatedCurve class? ! I need all three and PiecewiseYieldCurve to expose the underlying grid and ! the underlying _discount_ grid LUIGI - InterpolatedYieldTermStructure<Discount,LogLinear> ! - generic LinearInterpolation using LinearInterpolationType enum - generic ForwardSpreadedYieldCurve (spread term structure) - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve - - verify Handle<Quote> convexityAdjustment - - verify RateHelpers initializeDates_ when evalDate changes(latestDate, earliestDate) - - how to have QL_ERROR_LINES and QL_ERROR_FUNCTIONS only in header files? - - why Swap/Swaption do not take default empy handle? - - BlackModel dovrebbe accettare una swptionvoltermstructure e non avere la yield termstructure - - capfloor engine deve prendere la termstructure non da BlackModel PIECEWISEYIELDCURVE - - costruttore delle curve che accetta griglia di discount e griglia di zero InterestRate: - because of existing signatures it is possible only when - InterpolatedYieldTermStructure<Discount,LogLinear> will be available - FRARateHelper deve avere dentro in FRA Instrument - turn of year - extended grid with all relevant dates - revise bondhelpers ! - ratehelper usato da piu' curve: non si puo' utilizzare il setTermStructure - export discount,loglinear selection - bootstrap ForwardSpreadedYieldCurve - - InterpolatedYieldTermStructure<Discount,Compounding,LogLinear> DATE - - format the cell to date when returning a serialnumber CALENDAR --- 25,55 ---- QuantLib ! - corregere OneAssetOption impliedVol ! - impliedVol per Swaption LUIGI + - Weekly CHANGELOG update + - Index::addfixings(dates, fixings) + - make BlackSwaptionEngine accept a SwaptionVolStructure input parameter + - make BlackCapFloorEngine accept a CapFloorVolStructure input parameter + - strip down furter BlackModel - InterpolatedYieldTermStructure<Discount,LogLinear> ! - InterpolatedYieldTermStructure<Discount,LogLinear> constructor using an input ! discount grid ! - InterpolatedYieldTermStructure<Discount,LogLinear>::gridDates() ! - static Period Period::fromFrequency(Frequency freq) - generic ForwardSpreadedYieldCurve (spread term structure) - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve PIECEWISEYIELDCURVE - FRARateHelper deve avere dentro in FRA Instrument - turn of year - extended grid with all relevant dates - revise bondhelpers ! - ratehelper usato da piu' curve: funziona? - export discount,loglinear selection - bootstrap ForwardSpreadedYieldCurve DATE CALENDAR |