[QuantLibAddin-cvs] QuantLibAddin/qlo enumclassctors.cpp, 1.3, 1.4 enumclassctors.hpp, 1.3, 1.4 termstructures.cpp, 1.13, 1.14 typefactory.hpp, 1.15, 1.16 typeregistry.hpp, 1.2, 1.3

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30876/qlo

Modified Files:
	enumclassctors.cpp enumclassctors.hpp termstructures.cpp 
	typefactory.hpp typeregistry.hpp 
Log Message:
extend Enumeration Registry to support creation of curves based on pair of strings

Index: typeregistry.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typeregistry.hpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** typeregistry.hpp	29 Jun 2006 10:47:33 -0000	1.2
--- typeregistry.hpp	4 Jul 2006 17:07:56 -0000	1.3
***************
*** 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
***************
*** 27,36 ****
  namespace QuantLibAddin {
  
!     typedef std::map<std::string, void*> TypeMap;
!     typedef boost::shared_ptr<TypeMap> TypeMapPtr;
!     typedef std::map<std::string, TypeMapPtr> AllTypeMap;
! 
      class Registry {
      public:
          std::vector<std::string> getAllRegisteredTypes() const;
          std::vector<std::string> getTypeElements(const std::string&) const;
--- 28,38 ----
  namespace QuantLibAddin {
  
!     template <typename KeyClass>
      class Registry {
      public:
+         typedef std::map<KeyClass, void*> TypeMap;
+         typedef boost::shared_ptr<TypeMap> TypeMapPtr;
+         typedef std::map<std::string, TypeMapPtr> AllTypeMap;
+ 
          std::vector<std::string> getAllRegisteredTypes() const;
          std::vector<std::string> getTypeElements(const std::string&) const;
***************
*** 42,46 ****
      };
  
!     class EnumTypeRegistry : public Registry, public QuantLib::Singleton<EnumTypeRegistry> {
          friend class QuantLib::Singleton<EnumTypeRegistry>;
      private:
--- 44,48 ----
      };
  
!     class EnumTypeRegistry : public Registry<std::string>, public QuantLib::Singleton<EnumTypeRegistry> {
          friend class QuantLib::Singleton<EnumTypeRegistry>;
      private:
***************
*** 48,56 ****
      };
  
!     class EnumClassRegistry : public Registry, public QuantLib::Singleton<EnumClassRegistry> {
          friend class QuantLib::Singleton<EnumClassRegistry>;
      private:
          EnumClassRegistry();
      };
  }
  
--- 50,66 ----
      };
  
!     class EnumClassRegistry : public Registry<std::string>, public QuantLib::Singleton<EnumClassRegistry> {
          friend class QuantLib::Singleton<EnumClassRegistry>;
      private:
          EnumClassRegistry();
      };
+ 
+     typedef std::pair<std::string, std::string> KeyPair;
+     class EnumCurveRegistry : public Registry<KeyPair>, public QuantLib::Singleton<EnumCurveRegistry> {
+         friend class QuantLib::Singleton<EnumCurveRegistry>;
+     private:
+         EnumCurveRegistry();
+     };
+ 
  }
  

Index: termstructures.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** termstructures.cpp	3 Jul 2006 10:27:21 -0000	1.13
--- termstructures.cpp	4 Jul 2006 17:07:56 -0000	1.14
***************
*** 63,73 ****
          //    true);
  
!         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!             new QuantLib::PiecewiseYieldCurve<QuantLib::Discount,
!                                               QuantLib::LogLinear>(
!                 nDays, calendar,
!                 rateHelpersQL,
!                 dayCounter,
!                 1.0e-6));
  
          /*
--- 63,76 ----
          //    true);
  
!         //libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!         //    new QuantLib::PiecewiseYieldCurve<QuantLib::Discount,
!         //                                      QuantLib::LogLinear>(
!         //        nDays, calendar,
!         //        rateHelpersQL,
!         //        dayCounter,
!         //        1.0e-6));
! 
!         libraryObject_ = Create<boost::shared_ptr<QuantLib::YieldTermStructure> >()
!             ("Discount", "LogLinear", nDays, calendar, rateHelpersQL, dayCounter);
  
          /*

Index: enumclassctors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** enumclassctors.cpp	4 Jul 2006 08:42:52 -0000	1.3
--- enumclassctors.cpp	4 Jul 2006 17:07:56 -0000	1.4
***************
*** 224,228 ****
      }
  
!     /* *** EURIBOR *** */
      boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW(
              const std::string& handleYieldTermStructureID) {
--- 224,228 ----
      }
  
!     /* *** Euribor *** */
      boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW(
              const std::string& handleYieldTermStructureID) {
***************
*** 346,349 ****
--- 346,364 ----
      }
  
+     /* *** YieldTermStructure *** */
+     boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve(
+             const long &nDays,
+             const QuantLib::Calendar &calendar,
+             const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers,
+             const QuantLib::DayCounter &dayCounter) {
+         return boost::shared_ptr<QuantLib::YieldTermStructure>(
+             new QuantLib::PiecewiseYieldCurve<QuantLib::Discount,
+                                               QuantLib::LogLinear>(
+                 nDays, calendar,
+                 rateHelpers,
+                 dayCounter,
+                 1.0e-6));
+     }
+ 
  }
  

Index: enumclassctors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** enumclassctors.hpp	4 Jul 2006 08:42:52 -0000	1.3
--- enumclassctors.hpp	4 Jul 2006 17:07:56 -0000	1.4
***************
*** 104,108 ****
              const QuantLib::Matrix& zData);
  
!     /* *** EURIBOR *** */
      boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW(
          const std::string& handleYieldTermStructureID);
--- 104,108 ----
              const QuantLib::Matrix& zData);
  
!     /* *** Euribor *** */
      boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW(
          const std::string& handleYieldTermStructureID);
***************
*** 136,139 ****
--- 136,145 ----
          const std::string& handleYieldTermStructureID);
  
+     /* *** YieldTermStructure *** */
+     boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve(
+             const long &nDays,
+             const QuantLib::Calendar &calendar,
+             const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers,
+             const QuantLib::DayCounter &dayCounter);
  }
  

Index: typefactory.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** typefactory.hpp	4 Jul 2006 08:42:52 -0000	1.15
--- typefactory.hpp	4 Jul 2006 17:07:56 -0000	1.16
***************
*** 25,48 ****
  #include <ql/Math/matrix.hpp>
  #include <ql/Math/interpolation2D.hpp>
- #include <oh/exception.hpp>
  #include <ql/Indexes/euribor.hpp>
  
  namespace QuantLibAddin {
  
      template<typename T, typename RegistryClass>
      class RegistryManager {
      protected:
!         template<typename ConstructorSignature>
!         ConstructorSignature getType(const std::string& id) {
!             TypeMapPtr type_map = getTypeMap();
!             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 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()) {
--- 25,72 ----
  #include <ql/Math/matrix.hpp>
  #include <ql/Math/interpolation2D.hpp>
  #include <ql/Indexes/euribor.hpp>
+ #include <ql/TermStructures/ratehelpers.hpp>
+ #include <oh/exception.hpp>
  
  namespace QuantLibAddin {
  
+     inline std::string uppercase(const std::string &s) {
+         return QuantLib::uppercase(s);
+     }
+ 
+     inline KeyPair uppercase(const KeyPair &s) {
+         return KeyPair(QuantLib::uppercase(s.first), QuantLib::uppercase(s.second));
+     }
+ 
+     inline std::ostream& operator<<(std::ostream& left, const KeyPair &right) {
+         left << right.first << ":" << right.second;
+         return left;
+     }
+ 
      template<typename T, typename RegistryClass>
      class RegistryManager {
      protected:
!         //template<typename ConstructorSignature>
!         //ConstructorSignature getType(const std::string& id) {
!         //    typename RegistryClass::TypeMapPtr type_map = getTypeMap();
!         //    std::string idUpper = QuantLib::uppercase(id);
!         //    for (typename RegistryClass::TypeMap::iterator i = type_map->begin(); i != type_map->end(); i++)
!         //        if (QuantLib::uppercase(i->first) == idUpper)
!         //            return static_cast<ConstructorSignature>(i->second);
!         //    QL_FAIL("Unknown id for Type: " << id);
!         //}
!         template<typename KeyClass, typename ConstructorSignature>
!         ConstructorSignature getType(const KeyClass& id) {
!             typename RegistryClass::TypeMapPtr type_map = getTypeMap();
!             KeyClass idUpper = uppercase(id);
!             for (typename RegistryClass::TypeMap::iterator i = type_map->begin(); i != type_map->end(); i++)
!                 if (uppercase(i->first) == idUpper)
                      return static_cast<ConstructorSignature>(i->second);
!             QL_FAIL("Unknown id for Type: " << id);
          }
+ 
          bool checkType(const std::string& id) {
!             typename RegistryClass::TypeMapPtr type_map;
!             typename RegistryClass::AllTypeMap::const_iterator i =
                  RegistryClass::instance().getAllTypesMap().find(typeid(T).name());
              if (i == RegistryClass::instance().getAllTypesMap().end()) {
***************
*** 52,56 ****
              }
              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;
--- 76,80 ----
              }
              std::string idUpper = QuantLib::uppercase(id);
!             for (typename RegistryClass::TypeMap::iterator i = type_map->begin(); i != type_map->end(); i++)
                  if (QuantLib::uppercase(i->first) == idUpper)
                      return true;
***************
*** 58,65 ****
          }
      private:
!         const TypeMapPtr &getTypeMap() {
!             static TypeMapPtr type_map;
              if(!type_map) {
!                 AllTypeMap::const_iterator i =
                      RegistryClass::instance().getAllTypesMap().find(typeid(T).name());
                  QL_REQUIRE(i != RegistryClass::instance().getAllTypesMap().end(), 
--- 82,89 ----
          }
      private:
!         const typename RegistryClass::TypeMapPtr &getTypeMap() {
!             static typename RegistryClass::TypeMapPtr type_map;
              if(!type_map) {
!                 typename RegistryClass::AllTypeMap::const_iterator i =
                      RegistryClass::instance().getAllTypesMap().find(typeid(T).name());
                  QL_REQUIRE(i != RegistryClass::instance().getAllTypesMap().end(), 
***************
*** 77,81 ****
      public:
          T operator()(const std::string& id) {
!             return *(getType<T*>(id));
          }
          using RegistryManager<T, EnumTypeRegistry>::checkType;
--- 101,105 ----
      public:
          T operator()(const std::string& id) {
!             return *(getType<std::string, T*>(id));
          }
          using RegistryManager<T, EnumTypeRegistry>::checkType;
***************
*** 99,103 ****
                  const double& strike) {
              StrikedTypePayoffConstructor1 strikedTypePayoffConstructor =
!                 getType<StrikedTypePayoffConstructor1>(payoffID);
              return strikedTypePayoffConstructor(optionType, strike);
          }
--- 123,127 ----
                  const double& strike) {
              StrikedTypePayoffConstructor1 strikedTypePayoffConstructor =
!                 getType<std::string, StrikedTypePayoffConstructor1>(payoffID);
              return strikedTypePayoffConstructor(optionType, strike);
          }
***************
*** 108,112 ****
                  const double& strikeIncrement) {
              StrikedTypePayoffConstructor2 strikedTypePayoffConstructor =
!                 getType<StrikedTypePayoffConstructor2>(payoffID);
              return strikedTypePayoffConstructor(optionType, strike, strikeIncrement);
          }
--- 132,136 ----
                  const double& strikeIncrement) {
              StrikedTypePayoffConstructor2 strikedTypePayoffConstructor =
!                 getType<std::string, StrikedTypePayoffConstructor2>(payoffID);
              return strikedTypePayoffConstructor(optionType, strike, strikeIncrement);
          }
***************
*** 124,128 ****
          boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID) {
              PricingEngineConstructor1 pricingEngineConstructor =
!                 getType<PricingEngineConstructor1>(engineID);
              return pricingEngineConstructor();
          }
--- 148,152 ----
          boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID) {
              PricingEngineConstructor1 pricingEngineConstructor =
!                 getType<std::string, PricingEngineConstructor1>(engineID);
              return pricingEngineConstructor();
          }
***************
*** 131,135 ****
              QL_REQUIRE(timeSteps>0, "timeSteps must be positive");  // FIXME move this validation into QL
              PricingEngineConstructor2 pricingEngineConstructor =
!                 getType<PricingEngineConstructor2>(engineID);
              return pricingEngineConstructor(timeSteps);
          }
--- 155,159 ----
              QL_REQUIRE(timeSteps>0, "timeSteps must be positive");  // FIXME move this validation into QL
              PricingEngineConstructor2 pricingEngineConstructor =
!                 getType<std::string, PricingEngineConstructor2>(engineID);
              return pricingEngineConstructor(timeSteps);
          }
***************
*** 149,153 ****
                  dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) {
              InterpolationConstructor interpolationConstructor = 
!                 getType<InterpolationConstructor>(interpolationID);
              return interpolationConstructor(xBegin, xEnd, yBegin);
          }
--- 173,177 ----
                  dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) {
              InterpolationConstructor interpolationConstructor = 
!                 getType<std::string, InterpolationConstructor>(interpolationID);
              return interpolationConstructor(xBegin, xEnd, yBegin);
          }
***************
*** 167,176 ****
                  const QuantLib::Matrix& zData) {
              Interpolation2DConstructor interpolation2DConstructor = 
!                 getType<Interpolation2DConstructor>(interpolationID);
              return interpolation2DConstructor(xBegin, xEnd, yBegin, yEnd, zData);
          }
      };
  
!     /* *** EURIBOR *** */
      typedef boost::shared_ptr<QuantLib::Euribor>(*EuriborConstructor)(
          const std::string& handleYieldTermStructureID);
--- 191,200 ----
                  const QuantLib::Matrix& zData) {
              Interpolation2DConstructor interpolation2DConstructor = 
!                 getType<std::string, Interpolation2DConstructor>(interpolationID);
              return interpolation2DConstructor(xBegin, xEnd, yBegin, yEnd, zData);
          }
      };
  
!     /* *** Euribor *** */
      typedef boost::shared_ptr<QuantLib::Euribor>(*EuriborConstructor)(
          const std::string& handleYieldTermStructureID);
***************
*** 184,188 ****
                  const std::string& handleYieldTermStructureID = "") {
              EuriborConstructor euriborConstructor = 
!                 getType<EuriborConstructor>(euriborID);
              return euriborConstructor(handleYieldTermStructureID);
          }
--- 208,212 ----
                  const std::string& handleYieldTermStructureID = "") {
              EuriborConstructor euriborConstructor = 
!                 getType<std::string, EuriborConstructor>(euriborID);
              return euriborConstructor(handleYieldTermStructureID);
          }
***************
*** 190,193 ****
--- 214,244 ----
      };
  
+ 
+ 
+     /* *** YieldTermStructure *** */
+     typedef boost::shared_ptr<QuantLib::YieldTermStructure>(*YieldTermStructureConstructor)(
+             const long &nDays,
+             const QuantLib::Calendar &calendar,
+             const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers,
+             const QuantLib::DayCounter &dayCounter);
+ 
+     template<>
+     class Create<boost::shared_ptr<QuantLib::YieldTermStructure> > :
+         private RegistryManager<QuantLib::YieldTermStructure, EnumCurveRegistry> {
+     public:
+         boost::shared_ptr<QuantLib::YieldTermStructure> operator() (
+                 const std::string& traitsID, 
+                 const std::string& interpolatorID, 
+                 const long &nDays,
+                 const QuantLib::Calendar &calendar,
+                 const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers,
+                 const QuantLib::DayCounter &dayCounter) {
+             KeyPair key(traitsID, interpolatorID);
+             YieldTermStructureConstructor yieldTermStructureConstructor = 
+                 getType<KeyPair, YieldTermStructureConstructor>(key);
+             return yieldTermStructureConstructor(nDays, calendar, rateHelpers, dayCounter);
+         }
+     };
+ 
   }