[QuantLibAddin-cvs] QuantLibAddin/qlo couponvectors.cpp,1.5,1.6

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23007/qlo

Modified Files:
	couponvectors.cpp 
Log Message:
extended flow analysis

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** couponvectors.cpp	18 Jun 2006 19:47:14 -0000	1.5
--- couponvectors.cpp	21 Jun 2006 12:50:21 -0000	1.6
***************
*** 27,30 ****
--- 27,31 ----
  
  #include <ql/CashFlows/fixedratecoupon.hpp>
+ #include <ql/CashFlows/floatingratecoupon.hpp>
  #include <ql/CashFlows/parcoupon.hpp>
  
***************
*** 49,59 ****
              cf.push_back(c->accrualPeriod());
              cf.push_back(c->rate());
!         
!             boost::shared_ptr<QuantLib::ParCoupon> floatingCoupon =
!                 boost::dynamic_pointer_cast<QuantLib::ParCoupon>(cashflows[i]);
              if (floatingCoupon!=0) {
                  cf.push_back(floatingCoupon->fixingDays());
                  cf.push_back(floatingCoupon->fixingDate().serialNumber());
                  cf.push_back(floatingCoupon->indexFixing());
                  cf.push_back(floatingCoupon->spread());
              } else {
--- 50,68 ----
              cf.push_back(c->accrualPeriod());
              cf.push_back(c->rate());
! 
!             boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon =
!                 boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>(
!                     cashflows[i]);
              if (floatingCoupon!=0) {
                  cf.push_back(floatingCoupon->fixingDays());
                  cf.push_back(floatingCoupon->fixingDate().serialNumber());
+                 cf.push_back(floatingCoupon->gearing());
                  cf.push_back(floatingCoupon->indexFixing());
+                 convAdj = floatingCoupon->rate()- floatingCoupon->spread();
+                 convAdj -= floatingCoupon->gearing()*
+                                     floatingCoupon->indexFixing();
+                 if (floatingCoupon->gearing()!=0)
+                     covAdj/floatingCoupon->gearing();
+                 cf.push_back(convAdj);
                  cf.push_back(floatingCoupon->spread());
              } else {
***************
*** 62,65 ****
--- 71,76 ----
                  cf.push_back(0.0);
                  cf.push_back(0.0);
+                 cf.push_back(0.0);
+                 cf.push_back(0.0);
              }