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From: Eric E. <eri...@us...> - 2006-07-04 08:42:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21706/qlo Modified Files: conversions.hpp enumclassctors.cpp enumclassctors.hpp typefactory.hpp Log Message: Euribor as Enumerated Class Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** conversions.hpp 22 Jun 2006 10:56:36 -0000 1.5 --- conversions.hpp 4 Jul 2006 08:42:52 -0000 1.6 *************** *** 28,34 **** #include <ql/calendar.hpp> #include <ql/interestrate.hpp> ! #include <ohxl/conversions.hpp> #include <vector> namespace QuantLibAddin { --- 28,125 ---- #include <ql/calendar.hpp> #include <ql/interestrate.hpp> ! #include <qlo/handle.hpp> #include <vector> + // Accept an id of an Object in the Repository and return a QuantLib::Handle<qlClass>. + // 1) If the id is an empty string then return an empty handle + // 2) If the Object is of class QuantLibAddin::Handle then return the contained QuantLib::Handle<qlClass> + // 3) If the Object is of class QuantLibAddin::qloClass then convert it to a QuantLib::Handle<qlClass> + // 4) Otherwise the Object is of an unexpected class so raise an exception + + template <class qlClass, class qloClass> + inline QuantLib::Handle<qlClass> libToHandle(const std::string &id) { + if (id.empty()) { + return QuantLib::Handle<qlClass>(); + } + + OH_GET_OBJECT(objectPointer, id, ObjHandler::Object) + boost::shared_ptr<QuantLibAddin::Handle<qlClass> > handlePointer = + boost::dynamic_pointer_cast<QuantLibAddin::Handle<qlClass> >(objectPointer); + + if (handlePointer) { + return handlePointer->getHandle(); + } else { + boost::shared_ptr<qloClass> qloPointer = + boost::dynamic_pointer_cast<qloClass>(objectPointer); + + if (qloPointer) + return QuantLib::Handle<qlClass>( + qloPointer->getLibraryObject<qlClass>()); + else { + std::ostringstream msg; + msg << "error retrieving object with id '" << id + << "' from repository - this object could be converted neither " + << " to " << std::endl << " " << typeid(QuantLib::Handle<qlClass>).name() + << " nor " << std::endl << " " << typeid(qloClass).name(); + throw ObjHandler::Exception(msg.str()); + } + } + } + + // Accept an id of an Object in the Repository and return a boost::shared_ptr<qlClass>. + // 1) If the Object is of class QuantLibAddin::Handle then return the contained boost::shared_ptr<qlClass> + // 2) If the Object is of class QuantLibAddin::qloClass then return the contained boost::shared_ptr<qlClass> + // 3) Otherwise the Object is of an unexpected class so raise an exception + + template <class qlClass, class qloClass> + inline boost::shared_ptr<qlClass> handleToLib(const std::string &id) { + + OH_GET_OBJECT(objectPointer, id, ObjHandler::Object) + boost::shared_ptr<QuantLibAddin::Handle<qlClass> > handlePointer = + boost::dynamic_pointer_cast<QuantLibAddin::Handle<qlClass> >(objectPointer); + + if (handlePointer) { + return handlePointer->getHandle().currentLink(); + } else { + boost::shared_ptr<qloClass> qloPointer = + boost::dynamic_pointer_cast<qloClass>(objectPointer); + + if (qloPointer) + return qloPointer->getLibraryObject<qlClass>(); + else { + std::ostringstream msg; + msg << "error retrieving object with id '" << id + << "' from repository - this object could be converted neither " + << " to " << std::endl << " " << typeid(QuantLib::Handle<qlClass>).name() + << " nor " << std::endl << " " << typeid(qloClass).name(); + throw ObjHandler::Exception(msg.str()); + } + } + } + + // Accept a string which is the ID of either + // 1) A Euribor Enumerated Class + // 2) An Object of class Index (or its derived classes e.g. Xibor, Euribor) + template <class qlClass, class qloClass> + inline boost::shared_ptr<qlClass> convertEuribor(const std::string &id) { + if (id.empty()) { + return boost::shared_ptr<qlClass>(); + } + if (QuantLibAddin::Create<boost::shared_ptr<QuantLib::Euribor> >().checkType(id)) { + boost::shared_ptr<QuantLib::Euribor> ret = + QuantLibAddin::Create<boost::shared_ptr<QuantLib::Euribor> >()(id); + boost::shared_ptr<qlClass> ret2 = + boost::dynamic_pointer_cast<qlClass>(ret); + if (ret2) + return ret2; + else + QL_FAIL("Unable to convert enumerated class with ID " << id << + " to class " << typeid(qloClass).name()); + } else { + OH_GET_REFERENCE(ret, id, qloClass, qlClass) + return ret; + } + } + namespace QuantLibAddin { Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** enumclassctors.cpp 3 Jul 2006 13:25:52 -0000 1.2 --- enumclassctors.cpp 4 Jul 2006 08:42:52 -0000 1.3 *************** *** 18,21 **** --- 18,23 ---- #include <qlo/enumclassctors.hpp> + #include <qlo/conversions.hpp> + #include <qlo/termstructures.hpp> namespace QuantLibAddin { *************** *** 187,191 **** /* *** Interpolation *** */ ! boost::shared_ptr<QuantLib::Interpolation> Linear_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { return boost::shared_ptr<QuantLib::Interpolation>( --- 189,193 ---- /* *** Interpolation *** */ ! boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { return boost::shared_ptr<QuantLib::Interpolation>( *************** *** 193,197 **** xBegin, xEnd, yBegin)); } ! boost::shared_ptr<QuantLib::Interpolation> BackwardFlat_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { return boost::shared_ptr<QuantLib::Interpolation>( --- 195,199 ---- xBegin, xEnd, yBegin)); } ! boost::shared_ptr<QuantLib::Interpolation> BACKWARDFLAT_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { return boost::shared_ptr<QuantLib::Interpolation>( *************** *** 199,203 **** xBegin, xEnd, yBegin)); } ! boost::shared_ptr<QuantLib::Interpolation> ForwardFlat_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { return boost::shared_ptr<QuantLib::Interpolation>( --- 201,205 ---- xBegin, xEnd, yBegin)); } ! boost::shared_ptr<QuantLib::Interpolation> FORWARDFLAT_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { return boost::shared_ptr<QuantLib::Interpolation>( *************** *** 207,211 **** /* *** Interpolation2D *** */ ! boost::shared_ptr<QuantLib::Interpolation2D> Bilinear_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData) { --- 209,213 ---- /* *** Interpolation2D *** */ ! boost::shared_ptr<QuantLib::Interpolation2D> BILINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData) { *************** *** 214,218 **** xBegin, xEnd, yBegin, yEnd, zData)); } ! boost::shared_ptr<QuantLib::Interpolation2D> BicubicSpline( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData) { --- 216,220 ---- xBegin, xEnd, yBegin, yEnd, zData)); } ! boost::shared_ptr<QuantLib::Interpolation2D> BICUBICSPLINE( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData) { *************** *** 222,225 **** --- 224,349 ---- } + /* *** EURIBOR *** */ + boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::EuriborSW(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor2W(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor3W(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor1M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor2M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor3M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor4M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor5M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor6M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor7M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor8M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor9M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor10M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor11M(handleYieldTermStructure)); + } + boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y( + const std::string& handleYieldTermStructureID) { + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = + libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> + (handleYieldTermStructureID); + return boost::shared_ptr<QuantLib::Euribor>( + new QuantLib::Euribor1Y(handleYieldTermStructure)); + } + } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** enumclassctors.hpp 3 Jul 2006 13:25:52 -0000 1.2 --- enumclassctors.hpp 4 Jul 2006 08:42:52 -0000 1.3 *************** *** 43,46 **** --- 43,47 ---- const QuantLib::Option::Type& optionType, const double &moneyness); + /* *** StrikedTypePayoff - strike & strikeIncrement *** */ boost::shared_ptr<QuantLib::StrikedTypePayoff> SUPERSHARE_Payoff( *************** *** 88,106 **** /* *** Interpolation *** */ ! boost::shared_ptr<QuantLib::Interpolation> Linear_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); ! boost::shared_ptr<QuantLib::Interpolation> BackwardFlat_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); ! boost::shared_ptr<QuantLib::Interpolation> ForwardFlat_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); /* *** Interpolation2D *** */ ! boost::shared_ptr<QuantLib::Interpolation2D> Bilinear_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData); ! boost::shared_ptr<QuantLib::Interpolation2D> BicubicSpline( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData); } --- 89,139 ---- /* *** Interpolation *** */ ! boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); ! boost::shared_ptr<QuantLib::Interpolation> BACKWARDFLAT_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); ! boost::shared_ptr<QuantLib::Interpolation> FORWARDFLAT_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin); /* *** Interpolation2D *** */ ! boost::shared_ptr<QuantLib::Interpolation2D> BILINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData); ! boost::shared_ptr<QuantLib::Interpolation2D> BICUBICSPLINE( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin, dbl_itr& yEnd, const QuantLib::Matrix& zData); + /* *** EURIBOR *** */ + boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M( + const std::string& handleYieldTermStructureID); + boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y( + const std::string& handleYieldTermStructureID); + } Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** typefactory.hpp 3 Jul 2006 13:25:52 -0000 1.14 --- typefactory.hpp 4 Jul 2006 08:42:52 -0000 1.15 *************** *** 26,29 **** --- 26,30 ---- #include <ql/Math/interpolation2D.hpp> #include <oh/exception.hpp> + #include <ql/Indexes/euribor.hpp> namespace QuantLibAddin { *************** *** 33,37 **** protected: template<typename ConstructorSignature> ! ConstructorSignature getType(const std::string& id, bool failIfNotFound = true) { TypeMapPtr type_map = getTypeMap(); std::string idUpper = QuantLib::uppercase(id); --- 34,38 ---- protected: template<typename ConstructorSignature> ! ConstructorSignature getType(const std::string& id) { TypeMapPtr type_map = getTypeMap(); std::string idUpper = QuantLib::uppercase(id); *************** *** 39,46 **** if (QuantLib::uppercase(i->first) == idUpper) return static_cast<ConstructorSignature>(i->second); ! if (failIfNotFound) ! throw ObjHandler::Exception("Unknown id for Type: " + id); ! else ! return 0; } private: --- 40,59 ---- if (QuantLib::uppercase(i->first) == idUpper) return static_cast<ConstructorSignature>(i->second); ! QL_FAIL("Unknown id for Type: " + id); ! } ! bool checkType(const std::string& id) { ! TypeMapPtr type_map; ! AllTypeMap::const_iterator i = ! RegistryClass::instance().getAllTypesMap().find(typeid(T).name()); ! if (i == RegistryClass::instance().getAllTypesMap().end()) { ! return false; ! } else { ! type_map = i->second; ! } ! std::string idUpper = QuantLib::uppercase(id); ! for (TypeMap::iterator i = type_map->begin(); i != type_map->end(); i++) ! if (QuantLib::uppercase(i->first) == idUpper) ! return true; ! return false; } private: *************** *** 66,70 **** return *(getType<T*>(id)); } ! using RegistryManager<T, EnumTypeRegistry>::getType; }; --- 79,83 ---- return *(getType<T*>(id)); } ! using RegistryManager<T, EnumTypeRegistry>::checkType; }; *************** *** 159,162 **** --- 172,193 ---- }; + /* *** EURIBOR *** */ + typedef boost::shared_ptr<QuantLib::Euribor>(*EuriborConstructor)( + const std::string& handleYieldTermStructureID); + + template<> + class Create<boost::shared_ptr<QuantLib::Euribor> > : + private RegistryManager<QuantLib::Euribor, EnumClassRegistry> { + public: + boost::shared_ptr<QuantLib::Euribor> operator() ( + const std::string& euriborID, + const std::string& handleYieldTermStructureID = "") { + EuriborConstructor euriborConstructor = + getType<EuriborConstructor>(euriborID); + return euriborConstructor(handleYieldTermStructureID); + } + using RegistryManager<QuantLib::Euribor, EnumClassRegistry>::checkType; + }; + } |
