Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25490/qlo Modified Files: .cvsignore asianoption.cpp asianoption.hpp barrieroption.cpp barrieroption.hpp cliquetoption.cpp cliquetoption.hpp dividendvanillaoption.cpp dividendvanillaoption.hpp enumclassregistry.cpp europeanoption.cpp europeanoption.hpp forwardvanillaoption.cpp forwardvanillaoption.hpp quantoforwardvanillaoption.cpp quantoforwardvanillaoption.hpp quantovanillaoption.cpp quantovanillaoption.hpp typefactory.hpp vanillaoption.cpp vanillaoption.hpp Added Files: payoffs.cpp payoffs.hpp Log Message: implement separate class for StrikedTypePayoff Index: dividendvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/dividendvanillaoption.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** dividendvanillaoption.cpp 29 Jun 2006 15:02:31 -0000 1.5 --- dividendvanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 27,39 **** DividendVanillaOption::DividendVanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); libraryObject_ = boost::shared_ptr<QuantLib::DividendVanillaOption>( new QuantLib::DividendVanillaOption( --- 27,35 ---- DividendVanillaOption::DividendVanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::DividendVanillaOption>( new QuantLib::DividendVanillaOption( Index: quantoforwardvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantoforwardvanillaoption.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** quantoforwardvanillaoption.cpp 29 Jun 2006 15:02:31 -0000 1.5 --- quantoforwardvanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 38,44 **** const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { --- 38,42 ---- const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { *************** *** 50,56 **** new QuantLib::SimpleQuote(correlation))); - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::QuantoForwardVanillaOption( --- 48,51 ---- Index: forwardvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardvanillaoption.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** forwardvanillaoption.cpp 29 Jun 2006 15:02:31 -0000 1.4 --- forwardvanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 29,39 **** const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::ForwardVanillaOption( --- 29,35 ---- const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::ForwardVanillaOption( Index: cliquetoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cliquetoption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** cliquetoption.hpp 29 Jun 2006 15:02:31 -0000 1.4 --- cliquetoption.hpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 29,35 **** CliquetOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const QuantLib::Option::Type &optionType, ! const double &strike, ! const QuantLib::Date &expiryDate, const std::vector < QuantLib::Date > &resetDates, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 29,34 ---- CliquetOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::PercentageStrikePayoff> &payoff, ! const boost::shared_ptr < QuantLib::EuropeanExercise > &exercise, const std::vector < QuantLib::Date > &resetDates, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); Index: barrieroption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/barrieroption.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** barrieroption.cpp 29 Jun 2006 15:02:31 -0000 1.4 --- barrieroption.cpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 29,41 **** const double &rebate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::BarrierOption( --- 29,36 ---- const double &rebate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::BarrierOption( Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** vanillaoption.cpp 29 Jun 2006 15:02:31 -0000 1.4 --- vanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 32,43 **** VanillaOption::VanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::VanillaOption( --- 32,38 ---- VanillaOption::VanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::VanillaOption( Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** typefactory.hpp 29 Jun 2006 15:02:31 -0000 1.8 --- typefactory.hpp 29 Jun 2006 16:52:12 -0000 1.9 *************** *** 80,91 **** private RegistryManager<QuantLib::StrikedTypePayoff, EnumClassRegistry> { public: ! boost::shared_ptr<QuantLib::StrikedTypePayoff> operator()(const std::string& optionTypeID, ! const std::string& payoffID, ! const double& input1, ! const double& input2 = 0.) { ! boost::shared_ptr<QuantLib::StrikedTypePayoff>(*ctor)(const std::string&, const double&, const double&) = ! (boost::shared_ptr<QuantLib::StrikedTypePayoff>(*)(const std::string&, const double&, const double&)) getType(payoffID); ! return ctor(optionTypeID, input1, input2); } }; --- 80,101 ---- private RegistryManager<QuantLib::StrikedTypePayoff, EnumClassRegistry> { public: ! boost::shared_ptr<QuantLib::StrikedTypePayoff> operator()( ! const std::string& payoffID, ! const QuantLib::Option::Type& optionType, ! const double& input1) { ! boost::shared_ptr<QuantLib::StrikedTypePayoff>(*ctor)(const QuantLib::Option::Type&, const double&) = ! (boost::shared_ptr<QuantLib::StrikedTypePayoff>(*)(const QuantLib::Option::Type&, const double&)) getType(payoffID); ! return ctor(optionType, input1); ! } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> operator()( ! const std::string& payoffID, ! const QuantLib::Option::Type& optionType, ! const double& input1, ! const double& input2) { ! boost::shared_ptr<QuantLib::StrikedTypePayoff>(*ctor)(const QuantLib::Option::Type&, const double&, const double&) = ! (boost::shared_ptr<QuantLib::StrikedTypePayoff>(*)(const QuantLib::Option::Type&, const double&, const double&)) ! getType(payoffID); ! return ctor(optionType, input1, input2); } }; Index: europeanoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/europeanoption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** europeanoption.hpp 29 Jun 2006 15:02:31 -0000 1.4 --- europeanoption.hpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 29,35 **** EuropeanOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 29,33 ---- EuropeanOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); Index: asianoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/asianoption.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** asianoption.cpp 29 Jun 2006 15:02:31 -0000 1.5 --- asianoption.cpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 29,41 **** const QuantLib::Average::Type &averageType, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::ContinuousAveragingAsianOption( --- 29,36 ---- const QuantLib::Average::Type &averageType, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::ContinuousAveragingAsianOption( *************** *** 53,65 **** const std::vector < QuantLib::Date > &fixingDates, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::DiscreteAveragingAsianOption( --- 48,55 ---- const std::vector < QuantLib::Date > &fixingDates, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::DiscreteAveragingAsianOption( Index: quantoforwardvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantoforwardvanillaoption.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** quantoforwardvanillaoption.hpp 29 Jun 2006 15:02:31 -0000 1.5 --- quantoforwardvanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 35,41 **** const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 35,39 ---- const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** .cvsignore 29 Jun 2006 13:06:24 -0000 1.10 --- .cvsignore 29 Jun 2006 16:52:12 -0000 1.11 *************** *** 20,23 **** --- 20,24 ---- vo_mathf.*pp vo_options.*pp + vo_payoffs.*pp vo_pricingengines.*pp vo_processes.*pp Index: cliquetoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cliquetoption.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** cliquetoption.cpp 29 Jun 2006 15:02:31 -0000 1.5 --- cliquetoption.cpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 28,41 **** CliquetOption::CliquetOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const QuantLib::Option::Type &optionType, ! const double &strike, ! const QuantLib::Date &expiryDate, const std::vector < QuantLib::Date > &resetDates, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - - boost::shared_ptr<QuantLib::PercentageStrikePayoff> payoff( - new QuantLib::PercentageStrikePayoff(optionType, strike)); - boost::shared_ptr<QuantLib::EuropeanExercise> exercise( - new QuantLib::EuropeanExercise(expiryDate)); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::CliquetOption( --- 28,35 ---- CliquetOption::CliquetOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::PercentageStrikePayoff> &payoff, ! const boost::shared_ptr < QuantLib::EuropeanExercise > &exercise, const std::vector < QuantLib::Date > &resetDates, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::CliquetOption( --- NEW FILE: payoffs.cpp --- /* Copyright (C) 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <qlo/payoffs.hpp> #include <qlo/typefactory.hpp> namespace QuantLibAddin { StrikedTypePayoff::StrikedTypePayoff( const std::string& payoffID, const QuantLib::Option::Type& optionType, const double &strike) { libraryObject_ = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()( payoffID, optionType, strike); } StrikedTypePayoff::StrikedTypePayoff( const std::string& payoffID, const QuantLib::Option::Type& optionType, const double &strike, const double &strikeIncrement) { libraryObject_ = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()( payoffID, optionType, strike, strikeIncrement); } } Index: enumclassregistry.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassregistry.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** enumclassregistry.cpp 29 Jun 2006 15:02:31 -0000 1.2 --- enumclassregistry.cpp 29 Jun 2006 16:52:12 -0000 1.3 *************** *** 38,90 **** namespace QuantLibAddin { ! /* *** StrikedTypePayoff *** */ ! boost::shared_ptr<QuantLib::StrikedTypePayoff> SUPERSHARE_Payoff(const std::string& optionTypeID, ! const double &input1, ! const double &input2) { ! QuantLib::Option::Type type = ! Create<QuantLib::Option::Type>()(optionTypeID); return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::SuperSharePayoff(type, input1, input2)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> VANILLA_Payoff(const std::string& optionTypeID, ! const double &input1, ! const double &input2) { ! QuantLib::Option::Type type = ! Create<QuantLib::Option::Type>()(optionTypeID); return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::PlainVanillaPayoff(type, input1)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> PERCENTAGESTRIKE_Payoff(const std::string& optionTypeID, ! const double &input1, ! const double &input2) { ! QuantLib::Option::Type type = ! Create<QuantLib::Option::Type>()(optionTypeID); return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::PercentageStrikePayoff(type, input1)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> ASSETORNOTHING_Payoff(const std::string& optionTypeID, ! const double &input1, ! const double &input2) { ! QuantLib::Option::Type type = ! Create<QuantLib::Option::Type>()(optionTypeID); return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::AssetOrNothingPayoff(type, input1)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> CASHORNOTHING_Payoff(const std::string& optionTypeID, ! const double &input1, ! const double &input2) { ! QuantLib::Option::Type type = ! Create<QuantLib::Option::Type>()(optionTypeID); return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::CashOrNothingPayoff(type, input1, input2)); } ! ! boost::shared_ptr<QuantLib::StrikedTypePayoff> GAP_Payoff(const std::string& optionTypeID, ! const double &input1, ! const double &input2) { ! QuantLib::Option::Type type = ! Create<QuantLib::Option::Type>()(optionTypeID); return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::GapPayoff(type, input1, input2)); } --- 38,81 ---- namespace QuantLibAddin { ! /* *** StrikedTypePayoff - one input*** */ ! boost::shared_ptr<QuantLib::StrikedTypePayoff> VANILLA_Payoff( ! const QuantLib::Option::Type& optionType, ! const double &strike) { return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::PlainVanillaPayoff(optionType, strike)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> ASSETORNOTHING_Payoff( ! const QuantLib::Option::Type& optionType, ! const double &strike) { return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::AssetOrNothingPayoff(optionType, strike)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> PERCENTAGESTRIKE_Payoff( ! const QuantLib::Option::Type& optionType, ! const double &moneyness) { return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::PercentageStrikePayoff(optionType, moneyness)); } ! /* *** StrikedTypePayoff - two inputs*** */ ! boost::shared_ptr<QuantLib::StrikedTypePayoff> SUPERSHARE_Payoff( ! const QuantLib::Option::Type& optionType, ! const double &strike, ! const double &strikeIncrement) { return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::SuperSharePayoff(optionType, strike, strikeIncrement)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> CASHORNOTHING_Payoff( ! const QuantLib::Option::Type& optionType, ! const double &strike, ! const double &strikeIncrement) { return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::CashOrNothingPayoff(optionType, strike, strikeIncrement)); } ! boost::shared_ptr<QuantLib::StrikedTypePayoff> GAP_Payoff( ! const QuantLib::Option::Type& optionType, ! const double &strike, ! const double &strikeIncrement) { return boost::shared_ptr<QuantLib::StrikedTypePayoff> ( ! new QuantLib::GapPayoff(optionType, strike, strikeIncrement)); } Index: forwardvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardvanillaoption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** forwardvanillaoption.hpp 29 Jun 2006 15:02:31 -0000 1.4 --- forwardvanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 31,37 **** const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 31,35 ---- const long &resetDate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); Index: europeanoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/europeanoption.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** europeanoption.cpp 29 Jun 2006 15:02:31 -0000 1.4 --- europeanoption.cpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 32,42 **** EuropeanOption::EuropeanOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::EuropeanOption( --- 32,38 ---- EuropeanOption::EuropeanOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::EuropeanOption( Index: asianoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/asianoption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** asianoption.hpp 29 Jun 2006 15:02:31 -0000 1.4 --- asianoption.hpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 30,36 **** const QuantLib::Average::Type &averageType, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 30,34 ---- const QuantLib::Average::Type &averageType, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); *************** *** 45,51 **** const std::vector < QuantLib::Date > &fixingDates, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 43,47 ---- const std::vector < QuantLib::Date > &fixingDates, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- NEW FILE: payoffs.hpp --- /* Copyright (C) 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_payoffs_hpp #define qla_payoffs_hpp #include <oh/objhandler.hpp> #include <ql/Instruments/payoffs.hpp> namespace QuantLibAddin { class StrikedTypePayoff : public ObjHandler::LibraryObject<QuantLib::StrikedTypePayoff> { public: StrikedTypePayoff( const std::string& payoffID, const QuantLib::Option::Type& optionType, const double &strike); StrikedTypePayoff( const std::string& payoffID, const QuantLib::Option::Type& optionType, const double &strike, const double &strikeIncrement); }; } #endif Index: quantovanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** quantovanillaoption.cpp 29 Jun 2006 15:02:31 -0000 1.5 --- quantovanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 37,43 **** const double &correlation, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { --- 37,41 ---- const double &correlation, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { *************** *** 49,55 **** new QuantLib::SimpleQuote(correlation))); - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = - Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::QuantoVanillaOption( --- 47,50 ---- Index: barrieroption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/barrieroption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** barrieroption.hpp 29 Jun 2006 15:02:31 -0000 1.4 --- barrieroption.hpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 33,39 **** const double &rebate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 33,37 ---- const double &rebate, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); Index: dividendvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/dividendvanillaoption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** dividendvanillaoption.hpp 29 Jun 2006 15:02:31 -0000 1.4 --- dividendvanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.5 *************** *** 29,35 **** DividendVanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, --- 29,33 ---- DividendVanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, Index: quantovanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** quantovanillaoption.hpp 29 Jun 2006 15:02:31 -0000 1.5 --- quantovanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 32,38 **** const double &correlation, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 32,36 ---- const double &correlation, const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); Index: vanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** vanillaoption.hpp 29 Jun 2006 15:02:31 -0000 1.5 --- vanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.6 *************** *** 29,35 **** VanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const std::string &optionTypeID, ! const std::string &payoffID, ! const double &strike, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); --- 29,33 ---- VanillaOption( const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); |
