[QuantLibAddin-cvs] QuantLibAddin/qlo complextyperegistry.cpp, 1.1, 1.2 interpolation2D.cpp, 1.1, 1.2 interpolation2D.hpp, 1.1, 1.2 typefactory.hpp, 1.5, 1.6

[Eric E. <eri...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10095/qlo

Modified Files:
	complextyperegistry.cpp interpolation2D.cpp 
	interpolation2D.hpp typefactory.hpp 
Log Message:
implement Extrapolator as complex type

Index: interpolation2D.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation2D.hpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** interpolation2D.hpp	23 Jun 2006 17:18:14 -0000	1.1
--- interpolation2D.hpp	29 Jun 2006 10:14:44 -0000	1.2
***************
*** 25,37 ****
  namespace QuantLibAddin {
  
-     enum Interpolation2DType {
-         BiLinear,
-         BiCubic
-     };
- 
      class Interpolation2D : public Extrapolator 
      {
        public:
!         Interpolation2D(const Interpolation2DType t,
                          const std::vector<double>& x,
                          const std::vector<double>& y,
--- 25,32 ----
  namespace QuantLibAddin {
  
      class Interpolation2D : public Extrapolator 
      {
        public:
!           Interpolation2D(const std::string &interpolation2DType,
                          const std::vector<double>& x,
                          const std::vector<double>& y,

Index: interpolation2D.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation2D.cpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** interpolation2D.cpp	23 Jun 2006 17:18:14 -0000	1.1
--- interpolation2D.cpp	29 Jun 2006 10:14:44 -0000	1.2
***************
*** 22,30 ****
  #include <ql/Math/bilinearinterpolation.hpp>
  #include <ql/Math/bicubicsplineinterpolation.hpp>
  
  namespace QuantLibAddin {
  
      Interpolation2D::Interpolation2D(
!         const Interpolation2DType t, 
          const std::vector<double>& x,
          const std::vector<double>& y,
--- 22,31 ----
  #include <ql/Math/bilinearinterpolation.hpp>
  #include <ql/Math/bicubicsplineinterpolation.hpp>
+ #include <qlo/typefactory.hpp>
  
  namespace QuantLibAddin {
  
      Interpolation2D::Interpolation2D(
!         const std::string &interpolation2DType, 
          const std::vector<double>& x,
          const std::vector<double>& y,
***************
*** 41,60 ****
              << dataMatrix_.columns() << ")");
  
!         switch (t) {
!           case BiLinear:
!             libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!                 new QuantLib::BilinearInterpolation(x_.begin(), x_.end(),
!                                                     y_.begin(), y_.end(),
!                                                     dataMatrix_));
!             break;
!           case BiCubic:
!             libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!                 new QuantLib::BicubicSpline(x_.begin(), x_.end(),
!                                             y_.begin(), y_.end(),
!                                             dataMatrix_));
!             break;
!           default:
!             QL_FAIL("Unknown Interpolation2DType");
!         }
      }
    
--- 42,48 ----
              << dataMatrix_.columns() << ")");
  
!         libraryObject_ = Create<boost::shared_ptr<QuantLib::Extrapolator> >()
!             (interpolation2DType, x_.begin(), x_.end(), y_.begin(), y_.end(), dataMatrix_);
! 
      }
    

Index: complextyperegistry.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/complextyperegistry.cpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** complextyperegistry.cpp	19 May 2006 16:56:16 -0000	1.1
--- complextyperegistry.cpp	29 Jun 2006 10:14:44 -0000	1.2
***************
*** 2,5 ****
--- 2,6 ----
  /*
   Copyright (C) 2005 Plamen Neykov
+  Copyright (C) 2006 Eric Ehlers
  
   This file is part of QuantLib, a free-software/open-source library
***************
*** 22,25 ****
--- 23,28 ----
  #include <ql/Instruments/quantoforwardvanillaoption.hpp>
  #include <ql/PricingEngines/all.hpp>
+ #include <ql/Math/bilinearinterpolation.hpp>
+ #include <ql/Math/bicubicsplineinterpolation.hpp>
  
  #define REG_ENUM(Type, Body) \
***************
*** 207,210 ****
--- 210,238 ----
      }
  
+     /* *** Extrapolator *** */
+ 
+     boost::shared_ptr<QuantLib::Extrapolator> BilinearInterpolation_Extrapolator(
+             const std::vector<double>::const_iterator& xBegin, 
+             const std::vector<double>::const_iterator& xEnd,
+             const std::vector<double>::const_iterator& yBegin, 
+             const std::vector<double>::const_iterator& yEnd,
+             const QuantLib::Matrix& zData) {
+         return boost::shared_ptr<QuantLib::Extrapolator>(
+             new QuantLib::BilinearInterpolation(
+                 xBegin, xEnd, yBegin, yEnd, zData));
+     }
+     boost::shared_ptr<QuantLib::Extrapolator> BicubicSpline_Extrapolator(
+             const std::vector<double>::const_iterator& xBegin, 
+             const std::vector<double>::const_iterator& xEnd,
+             const std::vector<double>::const_iterator& yBegin, 
+             const std::vector<double>::const_iterator& yEnd,
+             const QuantLib::Matrix& zData) {
+         return boost::shared_ptr<QuantLib::Extrapolator>(
+             new QuantLib::BicubicSpline(
+                 xBegin, xEnd, yBegin, yEnd, zData));
+     }
+ 
+     /* *** Initialization *** */
+ 
      ComplexTypeRegistry::ComplexTypeRegistry() {
          REG_ENUM(QuantLib::StrikedTypePayoff,
***************
*** 245,248 ****
--- 273,281 ----
              MAP("QFE", QFE_Engine);
          );
+ 
+         REG_ENUM(QuantLib::Extrapolator,
+             MAP("BiLinear", BilinearInterpolation_Extrapolator);
+             MAP("BiCubic", BicubicSpline_Extrapolator);
+         );
      }
  }

Index: typefactory.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** typefactory.hpp	20 Jun 2006 09:48:24 -0000	1.5
--- typefactory.hpp	29 Jun 2006 10:14:44 -0000	1.6
***************
*** 23,26 ****
--- 23,27 ----
  #include <ql/Instruments/payoffs.hpp>
  #include <ql/Utilities/strings.hpp>
+ #include <ql/Math/matrix.hpp>
  #include <oh/exception.hpp>
  
***************
*** 102,105 ****
--- 103,133 ----
      };
  
+     template<>
+     class Create<boost::shared_ptr<QuantLib::Extrapolator> > :
+         private RegistryManager<QuantLib::Extrapolator, ComplexTypeRegistry> {
+     public:
+         boost::shared_ptr<QuantLib::Extrapolator> operator() (
+                 const std::string& extrapolatorID, 
+                 const std::vector<double>::const_iterator& xBegin, 
+                 const std::vector<double>::const_iterator& xEnd,
+                 const std::vector<double>::const_iterator& yBegin, 
+                 const std::vector<double>::const_iterator& yEnd,
+                 const QuantLib::Matrix& zData) {
+             boost::shared_ptr<QuantLib::Extrapolator>(*ctor)(
+                     const std::vector<double>::const_iterator&, 
+                     const std::vector<double>::const_iterator&,
+                     const std::vector<double>::const_iterator&, 
+                     const std::vector<double>::const_iterator&,
+                     const QuantLib::Matrix&) = 
+                 (boost::shared_ptr<QuantLib::Extrapolator>(*)(
+                     const std::vector<double>::const_iterator&, 
+                     const std::vector<double>::const_iterator&,
+                     const std::vector<double>::const_iterator&, 
+                     const std::vector<double>::const_iterator&,
+                     const QuantLib::Matrix&)) getType(extrapolatorID);
+             return ctor(xBegin, xEnd, yBegin, yEnd, zData);
+         }
+     };
+ 
   }