[QuantLibAddin-cvs] QuantLibAddin/qlo marketmodels.cpp, NONE, 1.1 marketmodels.hpp, NONE, 1.1

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18689/qlo

Added Files:
	marketmodels.cpp marketmodels.hpp 
Log Message:
exporting MarketModels classes

--- NEW FILE: marketmodels.hpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano

 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_market_models_hpp
#define qla_market_models_hpp

#include <oh/objhandler.hpp>
#include <ql/MarketModels/pseudoroot.hpp>
#include <ql/MarketModels/evolutiondescription.hpp>
#include <ql/MarketModels/curvestate.hpp>
#include <ql/MarketModels/driftcalculator.hpp>
#include <ql/MarketModels/browniangenerator.hpp>
#include <ql/MarketModels/marketmodelevolver.hpp>

namespace QuantLibAddin {

    class PseudoRoot : public ObjHandler::LibraryObject<QuantLib::PseudoRoot> {
    };

    class ExponentialCorrelation : public PseudoRoot {
    public:
        ExponentialCorrelation(
            double longTermCorr,
            double beta,
            const std::vector<double>& volatilities,
            const QuantLib::Array& rateTimes,
            const QuantLib::Array& evolutionTimes,
            const QuantLib::Size numberOfFactors,
            const QuantLib::Array& initialRates,
            const QuantLib::Array& displacements);
    };


    class EvolutionDescription : public ObjHandler::LibraryObject<QuantLib::EvolutionDescription> {
    public:
        EvolutionDescription(
            const QuantLib::Array& rateTimes,
            const QuantLib::Array& evolutionTimes,
            const std::vector<QuantLib::Size>& numeraires);
    };


    class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> {
    public:
        CurveState(const QuantLib::Array& rateTimes);
    };

    class DriftCalculator : public ObjHandler::LibraryObject<QuantLib::DriftCalculator> {
    public:
        DriftCalculator(const QuantLib::Matrix& pseudo,
                        const QuantLib::Array& displacements,
                        const QuantLib::Array& taus,
                        QuantLib::Size numeraire,
                        QuantLib::Size alive);
        QuantLib::Array compute(const QuantLib::Array& forwards) const;
    private:
        QuantLib::Size size_;

    };


    class BrownianGeneratorFactory : public ObjHandler::LibraryObject<QuantLib::BrownianGeneratorFactory> {
    };

    class MTBrownianGeneratorFactory : public BrownianGeneratorFactory {
    public:
        MTBrownianGeneratorFactory(unsigned long seed);
    };


    class MarketModelEvolver : public ObjHandler::LibraryObject<QuantLib::MarketModelEvolver> {
    };

    class ForwardRateEvolver : public MarketModelEvolver {
    public:
        ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&,
                           const QuantLib::EvolutionDescription&,
                           const QuantLib::BrownianGeneratorFactory&);
    };


}

#endif

--- NEW FILE: marketmodels.cpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano

 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)     // Dynamically created by configure
    #include <qlo/config.hpp>
#endif
#include <qlo/marketmodels.hpp>
#include <ql/MarketModels/exponentialcorrelation.hpp>
#include <ql/MarketModels/mtbrowniangenerator.hpp>
#include <ql/MarketModels/forwardrateevolver.hpp>

namespace QuantLibAddin {

    ExponentialCorrelation::ExponentialCorrelation(
            double longTermCorr,
            double beta,
            const std::vector<double>& volatilities,
            const QuantLib::Array& rateTimes,
            const QuantLib::Array& evolutionTimes,
            const QuantLib::Size numberOfFactors,
            const QuantLib::Array& initialRates,
            const QuantLib::Array& displacements)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>(
            new QuantLib::ExponentialCorrelation(longTermCorr,
                                                 beta,
                                                 volatilities,
                                                 rateTimes,
                                                 evolutionTimes,
                                                 numberOfFactors,
                                                 initialRates,
                                                 displacements));
    }



    EvolutionDescription::EvolutionDescription(
            const QuantLib::Array& rateTimes,
            const QuantLib::Array& evolutionTimes,
            const std::vector<QuantLib::Size>& numeraires = std::vector<QuantLib::Size>())
    {
        libraryObject_ = boost::shared_ptr<QuantLib::EvolutionDescription>(
            new QuantLib::EvolutionDescription(rateTimes,
                                               evolutionTimes,
                                               numeraires));
    }


    CurveState::CurveState(const QuantLib::Array& rateTimes)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::CurveState>(
            new QuantLib::CurveState(rateTimes));
    }

    DriftCalculator::DriftCalculator(const QuantLib::Matrix& pseudo,
                                    const QuantLib::Array& displacements,
                                    const QuantLib::Array& taus,
                                    QuantLib::Size numeraire,
                                    QuantLib::Size alive)
    : size_(taus.size())
    {
        libraryObject_ = boost::shared_ptr<QuantLib::DriftCalculator>(
            new QuantLib::DriftCalculator(pseudo, displacements,
                                          taus, numeraire, alive));
    }

    QuantLib::Array DriftCalculator::compute(const QuantLib::Array& forwards) const
    {
        QuantLib::Array results(size_);
        libraryObject_->compute(forwards, results);
        return results;
    }

    MTBrownianGeneratorFactory::MTBrownianGeneratorFactory(unsigned long seed)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::BrownianGeneratorFactory>(
            new QuantLib::MTBrownianGeneratorFactory(seed));
    }

    ForwardRateEvolver::ForwardRateEvolver(
        const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot,
        const QuantLib::EvolutionDescription& evolutionDescription,
        const QuantLib::BrownianGeneratorFactory& brownianGeneratorfactory)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>(
            new QuantLib::ForwardRateEvolver(pseudoRoot,
                                             evolutionDescription,
                                             brownianGeneratorfactory));
    }

}