[QuantLibAddin-cvs] QuantLibAddin/qlo enumclassregistry.cpp, 1.3, 1.4 interpolation.cpp, 1.11, 1.12 interpolation.hpp, 1.14, 1.15 typefactory.hpp, 1.10, 1.11

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1747/qlo

Modified Files:
	enumclassregistry.cpp interpolation.cpp interpolation.hpp 
	typefactory.hpp 
Log Message:
implement LinearInterpolation as Enumerated Class

Index: interpolation.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** interpolation.hpp	27 Jun 2006 09:53:43 -0000	1.14
--- interpolation.hpp	30 Jun 2006 14:12:05 -0000	1.15
***************
*** 26,35 ****
  namespace QuantLibAddin {
  
-     enum LinearInterpolationType {
-         Linear,
-         BackwardFlat,
-         ForwardFlat
-     };
- 
      class Extrapolator :
          public ObjHandler::LibraryObject<QuantLib::Extrapolator> {
--- 26,29 ----
***************
*** 40,44 ****
      class LinearInterpolation : public Interpolation {
        public:
!         LinearInterpolation(const LinearInterpolationType t,
                              const std::vector<double>& x,
                              const std::vector<double>& y);
--- 34,38 ----
      class LinearInterpolation : public Interpolation {
        public:
!           LinearInterpolation(const std::string &linearInterpolationType,
                              const std::vector<double>& x,
                              const std::vector<double>& y);

Index: interpolation.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** interpolation.cpp	27 Jun 2006 09:53:43 -0000	1.11
--- interpolation.cpp	30 Jun 2006 14:12:05 -0000	1.12
***************
*** 30,34 ****
  
      LinearInterpolation::LinearInterpolation(
!         const LinearInterpolationType t, 
          const std::vector<double>& x,
          const std::vector<double>& y) : x_(x), y_(y)
--- 30,34 ----
  
      LinearInterpolation::LinearInterpolation(
!         const std::string &linearInterpolationType, 
          const std::vector<double>& x,
          const std::vector<double>& y) : x_(x), y_(y)
***************
*** 36,63 ****
          QL_REQUIRE(x.size()==y.size(), "unmatched x/y");
  
!         switch (t) {
!           case Linear:
!             libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!                 new QuantLib::LinearInterpolation(x_.begin(),
!                                                   x_.end(),
!                                                   y_.begin()));
!             break;
!           case BackwardFlat:
!             libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!                 new QuantLib::BackwardFlatInterpolation(x_.begin(),
!                                                         x_.end(),
!                                                         y_.begin()));
!             break;
!           case ForwardFlat:
!             libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!                 new QuantLib::ForwardFlatInterpolation(x_.begin(),
!                                                        x_.end(),
!                                                        y_.begin()));
!             break;
!           default:
!             QL_FAIL("Unknown LinearInterpolationType");
!         }
! 
! 
      }
  
--- 36,41 ----
          QL_REQUIRE(x.size()==y.size(), "unmatched x/y");
  
!         libraryObject_ = Create<boost::shared_ptr<QuantLib::Extrapolator> >()
!             (linearInterpolationType, x_.begin(), x_.end(), y_.begin());
      }
  

Index: enumclassregistry.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassregistry.cpp,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** enumclassregistry.cpp	29 Jun 2006 16:52:12 -0000	1.3
--- enumclassregistry.cpp	30 Jun 2006 14:12:05 -0000	1.4
***************
*** 23,26 ****
--- 23,29 ----
  #include <ql/Instruments/quantoforwardvanillaoption.hpp>
  #include <ql/PricingEngines/all.hpp>
+ #include <ql/Math/backwardflatinterpolation.hpp>
+ #include <ql/Math/forwardflatinterpolation.hpp>
+ #include <ql/Math/linearinterpolation.hpp>
  #include <ql/Math/bilinearinterpolation.hpp>
  #include <ql/Math/bicubicsplineinterpolation.hpp>
***************
*** 38,42 ****
  namespace QuantLibAddin {
  
!     /* *** StrikedTypePayoff - one input*** */
      boost::shared_ptr<QuantLib::StrikedTypePayoff> VANILLA_Payoff(
              const QuantLib::Option::Type& optionType,
--- 41,45 ----
  namespace QuantLibAddin {
  
!     /* *** StrikedTypePayoff - strike only *** */
      boost::shared_ptr<QuantLib::StrikedTypePayoff> VANILLA_Payoff(
              const QuantLib::Option::Type& optionType,
***************
*** 57,61 ****
              new QuantLib::PercentageStrikePayoff(optionType, moneyness));
      }
!     /* *** StrikedTypePayoff - two inputs*** */
      boost::shared_ptr<QuantLib::StrikedTypePayoff> SUPERSHARE_Payoff(
              const QuantLib::Option::Type& optionType,
--- 60,64 ----
              new QuantLib::PercentageStrikePayoff(optionType, moneyness));
      }
!     /* *** StrikedTypePayoff - strike & strikeIncrement *** */
      boost::shared_ptr<QuantLib::StrikedTypePayoff> SUPERSHARE_Payoff(
              const QuantLib::Option::Type& optionType,
***************
*** 80,84 ****
      }
  
!     /* *** PricingEngine - no timesteps *** */
      boost::shared_ptr<QuantLib::PricingEngine> AB_Engine() {
          return boost::shared_ptr<QuantLib::PricingEngine> (
--- 83,87 ----
      }
  
!     /* *** PricingEngine - without timesteps *** */
      boost::shared_ptr<QuantLib::PricingEngine> AB_Engine() {
          return boost::shared_ptr<QuantLib::PricingEngine> (
***************
*** 165,169 ****
      }
  
!     /* *** PricingEngine - timesteps *** */
      boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps) {
          return boost::shared_ptr<QuantLib::PricingEngine> (
--- 168,172 ----
      }
  
!     /* *** PricingEngine - with timesteps *** */
      boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps) {
          return boost::shared_ptr<QuantLib::PricingEngine> (
***************
*** 203,212 ****
      }
  
!     /* *** 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>(
--- 206,231 ----
      }
  
!     /* *** Extrapolator - 1D *** */
!     boost::shared_ptr<QuantLib::Extrapolator> LinearInterpolation_Extrapolator(
!             dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) {
!         return boost::shared_ptr<QuantLib::Extrapolator>(
!             new QuantLib::LinearInterpolation(
!                 xBegin, xEnd, yBegin));
!     }
!     boost::shared_ptr<QuantLib::Extrapolator> BackwardFlatInterpolation_Extrapolator(
!             dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) {
!         return boost::shared_ptr<QuantLib::Extrapolator>(
!             new QuantLib::BackwardFlatInterpolation(
!                 xBegin, xEnd, yBegin));
!     }
!     boost::shared_ptr<QuantLib::Extrapolator> ForwardFlatInterpolation_Extrapolator(
!             dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) {
!         return boost::shared_ptr<QuantLib::Extrapolator>(
!             new QuantLib::ForwardFlatInterpolation(
!                 xBegin, xEnd, yBegin));
!     }
!     /* *** Extrapolator - 2D *** */
      boost::shared_ptr<QuantLib::Extrapolator> BilinearInterpolation_Extrapolator(
!             dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd,
              const QuantLib::Matrix& zData) {
          return boost::shared_ptr<QuantLib::Extrapolator>(
***************
*** 215,222 ****
      }
      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>(
--- 234,238 ----
      }
      boost::shared_ptr<QuantLib::Extrapolator> BicubicSpline_Extrapolator(
!             dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd,
              const QuantLib::Matrix& zData) {
          return boost::shared_ptr<QuantLib::Extrapolator>(
***************
*** 267,270 ****
--- 283,289 ----
  
          REG_ENUM(QuantLib::Extrapolator,
+             MAP("Linear", LinearInterpolation_Extrapolator);
+             MAP("BackwardFlat", BackwardFlatInterpolation_Extrapolator);
+             MAP("ForwardFlat", ForwardFlatInterpolation_Extrapolator);
              MAP("BiLinear", BilinearInterpolation_Extrapolator);
              MAP("BiCubic", BicubicSpline_Extrapolator);

Index: typefactory.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** typefactory.hpp	30 Jun 2006 13:28:26 -0000	1.10
--- typefactory.hpp	30 Jun 2006 14:12:05 -0000	1.11
***************
*** 119,128 ****
      };
  
!     typedef boost::shared_ptr<QuantLib::Extrapolator>(*ExtrapolatorConstructor)(
!         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&);
  
      template<>
--- 119,127 ----
      };
  
!     typedef const std::vector<double>::const_iterator dbl_itr;
!     typedef boost::shared_ptr<QuantLib::Extrapolator>(*ExtrapolatorConstructor1D)(
!         dbl_itr&, dbl_itr&, dbl_itr&);
!     typedef boost::shared_ptr<QuantLib::Extrapolator>(*ExtrapolatorConstructor2D)(
!         dbl_itr&, dbl_itr&, dbl_itr&, dbl_itr&, const QuantLib::Matrix&);
  
      template<>
***************
*** 132,142 ****
          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) {
!             ExtrapolatorConstructor extrapolatorConstructor = 
!                 static_cast<ExtrapolatorConstructor>(getType(extrapolatorID));
              return extrapolatorConstructor(xBegin, xEnd, yBegin, yEnd, zData);
          }
--- 131,145 ----
          boost::shared_ptr<QuantLib::Extrapolator> operator() (
                  const std::string& extrapolatorID, 
!                 dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) {
!             ExtrapolatorConstructor1D extrapolatorConstructor = 
!                 static_cast<ExtrapolatorConstructor1D>(getType(extrapolatorID));
!             return extrapolatorConstructor(xBegin, xEnd, yBegin);
!         }
!         boost::shared_ptr<QuantLib::Extrapolator> operator() (
!                 const std::string& extrapolatorID, 
!                 dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd,
                  const QuantLib::Matrix& zData) {
!             ExtrapolatorConstructor2D extrapolatorConstructor = 
!                 static_cast<ExtrapolatorConstructor2D>(getType(extrapolatorID));
              return extrapolatorConstructor(xBegin, xEnd, yBegin, yEnd, zData);
          }