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From: Ferdinando A. <na...@us...> - 2006-06-26 21:31:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11101/qlo Modified Files: capfloor.cpp capfloor.hpp pricingengines.cpp pricingengines.hpp swap.cpp swap.hpp swaption.hpp swaptionvolstructure.cpp vanillaoption.hpp vanillaswap.cpp vanillaswap.hpp Log Message: cap floor refactored Index: pricingengines.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** pricingengines.cpp 22 Jun 2006 16:58:04 -0000 1.6 --- pricingengines.cpp 26 Jun 2006 21:31:03 -0000 1.7 *************** *** 29,32 **** --- 29,38 ---- } + BlackCapFloorEngine::BlackCapFloorEngine( + const QuantLib::Handle<QuantLib::CapletVolatilityStructure>& vol) + { + libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( + new QuantLib::BlackCapFloorEngine(vol)); + } BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility vol) *************** *** 48,51 **** --- 54,64 ---- } + AnalyticCapFloorEngine::AnalyticCapFloorEngine( + const boost::shared_ptr < QuantLib::AffineModel >& model) { + + libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( + new QuantLib::AnalyticCapFloorEngine(model)); + } + } Index: pricingengines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** pricingengines.hpp 22 Jun 2006 16:58:04 -0000 1.5 --- pricingengines.hpp 26 Jun 2006 21:31:03 -0000 1.6 *************** *** 24,27 **** --- 24,29 ---- #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> #include <ql/PricingEngines/CapFloor/blackcapfloorengine.hpp> + #include <ql/ShortRateModels/model.hpp> + #include <ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp> namespace QuantLibAddin { *************** *** 38,46 **** class BlackCapFloorEngine : public PricingEngine { public: ! BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility); private: boost::shared_ptr<QuantLib::SimpleQuote> quote_; QuantLib::Handle<QuantLib::Quote> quoteHandle_; }; } --- 40,57 ---- class BlackCapFloorEngine : public PricingEngine { public: ! BlackCapFloorEngine(QuantLib::Volatility); ! BlackCapFloorEngine( ! const QuantLib::Handle<QuantLib::CapletVolatilityStructure>&); private: boost::shared_ptr<QuantLib::SimpleQuote> quote_; QuantLib::Handle<QuantLib::Quote> quoteHandle_; }; + + class AnalyticCapFloorEngine : public ObjHandler::LibraryObject<QuantLib::PricingEngine> { + public: + AnalyticCapFloorEngine( + const boost::shared_ptr < QuantLib::AffineModel >& model); + }; + } Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** swaptionvolstructure.cpp 23 Jun 2006 17:53:29 -0000 1.5 --- swaptionvolstructure.cpp 26 Jun 2006 21:31:03 -0000 1.6 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Silvia Frasson Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capfloor.cpp 16 Jun 2006 17:37:16 -0000 1.4 --- capfloor.cpp 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet *************** *** 20,58 **** #include <qlo/config.hpp> #endif #include <qlo/capfloor.hpp> - #include <qlo/couponvectors.hpp> - #include <qlo/termstructures.hpp> - #include <qlo/typefactory.hpp> namespace QuantLibAddin { CapFloor::CapFloor( ! const std::string& couponVectorID, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, ! const QuantLib::CapFloor::Type& option) { ! ! OH_GET_REFERENCE(engine, engineID, ! AnalyticCapFloorEngine, QuantLib::PricingEngine) ! ! OH_GET_OBJECT(couponVectorWrapper, couponVectorID, CouponVector) ! const CashFlowVector& couponVector = couponVectorWrapper->getVector(); ! libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::CapFloor(option, ! couponVector, ! capStrikes, ! floorStrikes, ! hYTS, engine)); } ! AnalyticCapFloorEngine::AnalyticCapFloorEngine( ! const boost::shared_ptr < QuantLib::AffineModel >& model) { ! ! libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( ! new QuantLib::AnalyticCapFloorEngine(model)); } --- 21,54 ---- #include <qlo/config.hpp> #endif + #include <qlo/capfloor.hpp> namespace QuantLibAddin { CapFloor::CapFloor( ! QuantLib::CapFloor::Type type, ! const boost::shared_ptr<CouponVector>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& capRates, ! const std::vector<QuantLib::Rate>& floorRates, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, ! const boost::shared_ptr<QuantLib::PricingEngine>& engine) ! { ! const CashFlowVector& floatingLeg = floatingLegWrapper->getVector(); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::CapFloor(type, ! floatingLeg, ! capRates, ! floorRates, ! termStructure, engine)); } ! std::vector<std::vector<double> > CapFloor::legAnalysis() ! { ! const boost::shared_ptr<QuantLib::CapFloor> temp = ! getLibraryObject<QuantLib::CapFloor>(); ! const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = ! temp->floatingLeg(); ! return flowAnalysis(cashflows); } Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** vanillaswap.hpp 22 Jun 2006 10:18:49 -0000 1.7 --- vanillaswap.hpp 26 Jun 2006 21:31:03 -0000 1.8 *************** *** 21,26 **** #define qla_simpleswap_hpp - #include <qlo/index.hpp> - #include <ql/Instruments/vanillaswap.hpp> #include <qlo/swap.hpp> --- 21,24 ---- Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** vanillaswap.cpp 20 Jun 2006 09:44:18 -0000 1.6 --- vanillaswap.cpp 26 Jun 2006 21:31:03 -0000 1.7 *************** *** 25,33 **** #include <qlo/vanillaswap.hpp> ! #include <qlo/termstructures.hpp> ! #include <qlo/typefactory.hpp> ! #include <ql/CashFlows/fixedratecoupon.hpp> ! #include <ql/CashFlows/parcoupon.hpp> ! #include <vector> namespace QuantLibAddin { --- 25,29 ---- #include <qlo/vanillaswap.hpp> ! #include <ql/Instruments/vanillaswap.hpp> namespace QuantLibAddin { Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capfloor.hpp 16 Jun 2006 17:37:16 -0000 1.4 --- capfloor.hpp 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet *************** *** 20,26 **** #include <qlo/baseinstruments.hpp> ! #include <qlo/shortratemodels.hpp> #include <ql/Instruments/capfloor.hpp> - #include <ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp> namespace QuantLibAddin { --- 21,26 ---- #include <qlo/baseinstruments.hpp> ! #include <qlo/couponvectors.hpp> #include <ql/Instruments/capfloor.hpp> namespace QuantLibAddin { *************** *** 28,46 **** class CapFloor : public Instrument { public: ! CapFloor( ! const std::string& couponVectorID, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, ! const QuantLib::CapFloor::Type& option); }; - class AnalyticCapFloorEngine : public ObjHandler::LibraryObject<QuantLib::PricingEngine> { - public: - AnalyticCapFloorEngine( - const boost::shared_ptr < QuantLib::AffineModel >& model); - }; - } --- 28,41 ---- class CapFloor : public Instrument { public: ! CapFloor(QuantLib::CapFloor::Type type, ! const boost::shared_ptr<CouponVector>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& capRates, ! const std::vector<QuantLib::Rate>& floorRates, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, ! const boost::shared_ptr<QuantLib::PricingEngine>& engine); ! ! std::vector<std::vector<double> > legAnalysis(); }; } Index: swaption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaption.hpp 23 Jun 2006 10:35:49 -0000 1.4 --- swaption.hpp 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 21,25 **** #include <qlo/baseinstruments.hpp> - #include <qlo/termstructures.hpp> #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> --- 21,24 ---- Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** swap.cpp 20 Jun 2006 09:17:11 -0000 1.10 --- swap.cpp 26 Jun 2006 21:31:03 -0000 1.11 *************** *** 25,30 **** #include <qlo/swap.hpp> ! #include <qlo/couponvectors.hpp> ! #include <ql/CashFlows/parcoupon.hpp> namespace QuantLibAddin { --- 25,29 ---- #include <qlo/swap.hpp> ! #include <ql/Instruments/swap.hpp> namespace QuantLibAddin { Index: vanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** vanillaoption.hpp 9 Jun 2006 18:58:47 -0000 1.3 --- vanillaoption.hpp 26 Jun 2006 21:31:03 -0000 1.4 *************** *** 20,25 **** #include <qlo/baseinstruments.hpp> - #include <qlo/processes.hpp> #include <ql/Instruments/vanillaoption.hpp> namespace QuantLibAddin { --- 20,25 ---- #include <qlo/baseinstruments.hpp> #include <ql/Instruments/vanillaoption.hpp> + #include <qlo/processes.hpp> namespace QuantLibAddin { Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** swap.hpp 23 Jun 2006 10:35:49 -0000 1.8 --- swap.hpp 26 Jun 2006 21:31:03 -0000 1.9 *************** *** 25,30 **** #include <qlo/baseinstruments.hpp> #include <qlo/couponvectors.hpp> - #include <qlo/termstructures.hpp> - #include <ql/Instruments/swap.hpp> namespace QuantLibAddin { --- 25,28 ---- |
