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From: Ferdinando A. <na...@us...> - 2006-06-22 15:18:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3331/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: bug fix Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** ratehelpers.hpp 18 Jun 2006 18:54:32 -0000 1.3 --- ratehelpers.hpp 22 Jun 2006 15:18:13 -0000 1.4 *************** *** 81,85 **** std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentHandles, const std::vector<bool>& includeFlag, const std::vector<long>& priority, --- 81,85 ---- std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentIDs, const std::vector<bool>& includeFlag, const std::vector<long>& priority, Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** ratehelpers.cpp 20 Jun 2006 09:44:18 -0000 1.4 --- ratehelpers.cpp 22 Jun 2006 15:18:13 -0000 1.5 *************** *** 127,138 **** struct RateHelperItem { ! QuantLib::Date latestDate; ! long priority; std::string instanceName; ! RateHelperItem( ! const QuantLib::Date& latestDate, ! const long& priority, ! const std::string& instanceName) ! : latestDate(latestDate), priority(priority), instanceName(instanceName) {} }; --- 127,145 ---- struct RateHelperItem { ! bool isFutures; std::string instanceName; ! bool includeFlag; ! long priority; ! QuantLib::Date earliestDate; ! QuantLib::Date latestDate; ! RateHelperItem(bool isFutures, ! const std::string& instanceName, ! const bool includeFlag, ! const long& priority, ! const QuantLib::Date& earliestDate, ! const QuantLib::Date& latestDate) ! : isFutures(isFutures), instanceName(instanceName), ! includeFlag(includeFlag), priority(priority), ! earliestDate(earliestDate), latestDate(latestDate) {} }; *************** *** 161,165 **** std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentHandles, const std::vector<bool>& includeFlag, const std::vector<long>& priority, --- 168,172 ---- std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentID, const std::vector<bool>& includeFlag, const std::vector<long>& priority, *************** *** 167,176 **** const long frontContractRollingDays) { ! QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); QL_REQUIRE(frontContractRollingDays>=0, "negative (" << frontContractRollingDays << ")frontContractRollingDays"); ! QuantLib::Size nInstruments = instrumentHandles.size(); QL_REQUIRE(includeFlag.size()==nInstruments, "includeFlag / instruments mismatch"); --- 174,183 ---- const long frontContractRollingDays) { ! QL_REQUIRE(!instrumentID.empty(), "no instrument given"); QL_REQUIRE(frontContractRollingDays>=0, "negative (" << frontContractRollingDays << ")frontContractRollingDays"); ! QuantLib::Size nInstruments = instrumentID.size(); QL_REQUIRE(includeFlag.size()==nInstruments, "includeFlag / instruments mismatch"); *************** *** 178,213 **** "priority / instruments mismatch"); ! std::vector<boost::shared_ptr<RateHelper> > instruments; ! for (std::vector<std::string>::const_iterator it = instrumentHandles.begin(); ! it != instrumentHandles.end(); it++) { ! OH_GET_OBJECT(objectPointer, *it, RateHelper) ! instruments.push_back(objectPointer); } // purge input rate helpers according to their includeFlag, // their expiration, and maximum number of allowed futures - std::vector<detail::RateHelperItem> rhs; - QuantLib::Size i; long futuresCounter = 0; ! QuantLib::Date earliestDate, evalDate = QuantLib::Settings::instance().evaluationDate(); for (i=0; i<nInstruments; i++) { ! const boost::shared_ptr < QuantLib::RateHelper > temp = ! instruments[i]->getLibraryObject < QuantLib::RateHelper >(); ! 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(), ! priority[i], instrumentHandles[i])); } } } ! std::vector<std::string> instanceNames; // zero or one rate helper left --- 185,233 ---- "priority / instruments mismatch"); ! // RateHelperItem ! std::vector<detail::RateHelperItem> rhsAll; ! boost::shared_ptr<QuantLib::RateHelper> qlrh; ! QuantLib::Size i; ! for (i=0; i<nInstruments; i++) ! { ! OH_GET_OBJECT(qlarh, instrumentID[i], RateHelper); ! bool isFutures; ! if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) ! isFutures = true; ! else ! isFutures = false; ! ! qlrh = qlarh->getLibraryObject<QuantLib::RateHelper>(); ! rhsAll.push_back(detail::RateHelperItem(isFutures, ! instrumentID[i], ! includeFlag[i], ! priority[i], ! qlrh->earliestDate(), ! qlrh->latestDate())); } + // preliminary sort RateHelperItems according to + // their latest date and priority + std::sort(rhsAll.begin(), rhsAll.end(), + detail::RateHelperPrioritySorter()); + // purge input rate helpers according to their includeFlag, // their expiration, and maximum number of allowed futures long futuresCounter = 0; ! QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); ! std::vector<detail::RateHelperItem> rhs; for (i=0; i<nInstruments; i++) { ! if (rhsAll[i].includeFlag) { ! if (!rhsAll[i].isFutures && (rhsAll[i].earliestDate >= evalDate)) { ! rhs.push_back(rhsAll[i]); } else if (futuresCounter<nFutures && ! (rhsAll[i].earliestDate-2-frontContractRollingDays >= evalDate)) { futuresCounter++; ! rhs.push_back(rhsAll[i]); } } } ! std::vector<std::string> result; // zero or one rate helper left *************** *** 215,220 **** std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! instanceNames.push_back(i->instanceName); ! return instanceNames; } --- 235,240 ---- std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! result.push_back(i->instanceName); ! return result; } *************** *** 222,233 **** std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); for (i=0; i<rhs.size()-1; i++) { if (rhs[i].latestDate < rhs[i+1].latestDate) ! instanceNames.push_back(rhs[i].instanceName); } // add the last one in any case ! instanceNames.push_back(rhs[i].instanceName); ! return instanceNames; } --- 242,254 ---- std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); + // remove RateHelpers with duplicate latestDate for (i=0; i<rhs.size()-1; i++) { if (rhs[i].latestDate < rhs[i+1].latestDate) ! result.push_back(rhs[i].instanceName); } // add the last one in any case ! result.push_back(rhs[i].instanceName); ! return result; } |
