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From: Eric E. <eri...@us...> - 2006-07-02 15:50:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6411/qlo Modified Files: .cvsignore Added Files: enumclassctors.cpp enumclassctors.hpp Removed Files: enumclassregistry.cpp Log Message: autogenerate source for enumerated classes Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** .cvsignore 29 Jun 2006 16:52:12 -0000 1.11 --- .cvsignore 2 Jul 2006 15:50:26 -0000 1.12 *************** *** 8,11 **** --- 8,12 ---- stamp-h1 enumtyperegistry.cpp + enumclassregistry.cpp qladdin.hpp vo_bonds.*pp --- enumclassregistry.cpp DELETED --- --- NEW FILE: enumclassctors.cpp --- /* Copyright (C) 2005 Plamen Neykov 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. */ #include <qlo/enumclassctors.hpp> namespace QuantLibAddin { /* *** StrikedTypePayoff - strike only *** */ 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 - strike & strikeIncrement *** */ 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)); } /* *** PricingEngine - without timesteps *** */ boost::shared_ptr<QuantLib::PricingEngine> AB_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticBarrierEngine); } boost::shared_ptr<QuantLib::PricingEngine> AC_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticCliquetEngine); } boost::shared_ptr<QuantLib::PricingEngine> ACGAPA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine); } boost::shared_ptr<QuantLib::PricingEngine> ADA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDigitalAmericanEngine); } boost::shared_ptr<QuantLib::PricingEngine> ADGAPA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine); } boost::shared_ptr<QuantLib::PricingEngine> ADE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDividendEuropeanEngine); } boost::shared_ptr<QuantLib::PricingEngine> AE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticEuropeanEngine); } boost::shared_ptr<QuantLib::PricingEngine> AP_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticPerformanceEngine); } boost::shared_ptr<QuantLib::PricingEngine> BAWA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BaroneAdesiWhaleyApproximationEngine); } boost::shared_ptr<QuantLib::PricingEngine> I_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::IntegralEngine); } boost::shared_ptr<QuantLib::PricingEngine> BSA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BjerksundStenslandApproximationEngine); } boost::shared_ptr<QuantLib::PricingEngine> PE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine>(); } boost::shared_ptr<QuantLib::PricingEngine> SE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::StulzEngine); } boost::shared_ptr<QuantLib::PricingEngine> FE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::ForwardEngine<QuantLib::VanillaOption::arguments, QuantLib::VanillaOption::results>(underlyingEngine)); } boost::shared_ptr<QuantLib::PricingEngine> FPE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::ForwardPerformanceEngine <QuantLib::VanillaOption::arguments, QuantLib::VanillaOption::results>(underlyingEngine)); } boost::shared_ptr<QuantLib::PricingEngine> QE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::QuantoEngine<QuantLib::VanillaOption::arguments, QuantLib::VanillaOption::results>(underlyingEngine)); } boost::shared_ptr<QuantLib::PricingEngine> QFE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); boost::shared_ptr<QuantLib::ForwardVanillaOption::engine> forwardEngine( new QuantLib::ForwardEngine<QuantLib::VanillaOption::arguments, QuantLib::VanillaOption::results>(underlyingEngine)); return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::QuantoEngine<QuantLib::ForwardVanillaOption::arguments, QuantLib::ForwardVanillaOption::results>(forwardEngine)); } /* *** PricingEngine - with timesteps *** */ boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BinomialVanillaEngine<QuantLib::AdditiveEQPBinomialTree>(timeSteps)); } boost::shared_ptr<QuantLib::PricingEngine> CRR_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BinomialVanillaEngine<QuantLib::CoxRossRubinstein>(timeSteps)); } boost::shared_ptr<QuantLib::PricingEngine> FDA_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::FDAmericanEngine(timeSteps, timeSteps-1)); } boost::shared_ptr<QuantLib::PricingEngine> FDE_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::FDEuropeanEngine(timeSteps, timeSteps-1)); } boost::shared_ptr<QuantLib::PricingEngine> FDB_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::FDBermudanEngine(timeSteps, timeSteps-1)); } boost::shared_ptr<QuantLib::PricingEngine> JR_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BinomialVanillaEngine<QuantLib::JarrowRudd>(timeSteps)); } boost::shared_ptr<QuantLib::PricingEngine> LR_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BinomialVanillaEngine<QuantLib::LeisenReimer>(timeSteps)); } boost::shared_ptr<QuantLib::PricingEngine> TIAN_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BinomialVanillaEngine<QuantLib::Tian>(timeSteps)); } boost::shared_ptr<QuantLib::PricingEngine> TRI_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BinomialVanillaEngine<QuantLib::Trigeorgis>(timeSteps)); } /* *** 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>( new QuantLib::BilinearInterpolation( xBegin, xEnd, yBegin, yEnd, zData)); } 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>( new QuantLib::BicubicSpline( xBegin, xEnd, yBegin, yEnd, zData)); } } --- NEW FILE: enumclassctors.hpp --- /* Copyright (C) 2005 Plamen Neykov 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_enumclassctors_hpp #define qla_enumclassctors_hpp #include <qlo/typefactory.hpp> #include <ql/option.hpp> #include <ql/Instruments/payoffs.hpp> #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> namespace QuantLibAddin { /* *** StrikedTypePayoff - strike only *** */ boost::shared_ptr<QuantLib::StrikedTypePayoff> VANILLA_Payoff( const QuantLib::Option::Type& optionType, const double &strike); boost::shared_ptr<QuantLib::StrikedTypePayoff> ASSETORNOTHING_Payoff( const QuantLib::Option::Type& optionType, const double &strike); boost::shared_ptr<QuantLib::StrikedTypePayoff> PERCENTAGESTRIKE_Payoff( const QuantLib::Option::Type& optionType, const double &moneyness); /* *** StrikedTypePayoff - strike & strikeIncrement *** */ boost::shared_ptr<QuantLib::StrikedTypePayoff> SUPERSHARE_Payoff( const QuantLib::Option::Type& optionType, const double &strike, const double &strikeIncrement); boost::shared_ptr<QuantLib::StrikedTypePayoff> CASHORNOTHING_Payoff( const QuantLib::Option::Type& optionType, const double &strike, const double &strikeIncrement); boost::shared_ptr<QuantLib::StrikedTypePayoff> GAP_Payoff( const QuantLib::Option::Type& optionType, const double &strike, const double &strikeIncrement); /* *** PricingEngine - without timesteps *** */ boost::shared_ptr<QuantLib::PricingEngine> AB_Engine(); boost::shared_ptr<QuantLib::PricingEngine> AC_Engine(); boost::shared_ptr<QuantLib::PricingEngine> ACGAPA_Engine(); boost::shared_ptr<QuantLib::PricingEngine> ADA_Engine(); boost::shared_ptr<QuantLib::PricingEngine> ADGAPA_Engine(); boost::shared_ptr<QuantLib::PricingEngine> ADE_Engine(); boost::shared_ptr<QuantLib::PricingEngine> AE_Engine(); boost::shared_ptr<QuantLib::PricingEngine> AP_Engine(); boost::shared_ptr<QuantLib::PricingEngine> BAWA_Engine(); boost::shared_ptr<QuantLib::PricingEngine> I_Engine(); boost::shared_ptr<QuantLib::PricingEngine> BSA_Engine(); boost::shared_ptr<QuantLib::PricingEngine> PE_Engine(); boost::shared_ptr<QuantLib::PricingEngine> SE_Engine(); boost::shared_ptr<QuantLib::PricingEngine> FE_Engine(); boost::shared_ptr<QuantLib::PricingEngine> FPE_Engine(); boost::shared_ptr<QuantLib::PricingEngine> QE_Engine(); boost::shared_ptr<QuantLib::PricingEngine> QFE_Engine(); /* *** PricingEngine - with timesteps *** */ boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> CRR_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> FDA_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> FDE_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> FDB_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> JR_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> LR_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> TIAN_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> TRI_Engine(const long& timeSteps); /* *** Extrapolator - 1D *** */ boost::shared_ptr<QuantLib::Extrapolator> LinearInterpolation_Extrapolator( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); boost::shared_ptr<QuantLib::Extrapolator> BackwardFlatInterpolation_Extrapolator( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); boost::shared_ptr<QuantLib::Extrapolator> ForwardFlatInterpolation_Extrapolator( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& 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); boost::shared_ptr<QuantLib::Extrapolator> BicubicSpline_Extrapolator( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData); } #endif |
