[QuantLibAddin-cvs] QuantLibAddin/qlo marketmodels.cpp, 1.4, 1.5 marketmodels.hpp, 1.5, 1.6

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25773/qlo

Modified Files:
	marketmodels.cpp marketmodels.hpp 
Log Message:
exported more MarketModels functions

Index: marketmodels.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** marketmodels.hpp	14 Jul 2006 09:38:53 -0000	1.5
--- marketmodels.hpp	14 Jul 2006 17:37:16 -0000	1.6
***************
*** 20,23 ****
--- 20,24 ----
  
  #include <oh/objhandler.hpp>
+ #include <ql/MarketModels/accountingengine.hpp>
  #include <ql/MarketModels/pseudoroot.hpp>
  #include <ql/MarketModels/evolutiondescription.hpp>
***************
*** 78,81 ****
--- 79,83 ----
  
  
+     //??
      inline QuantLib::Array drifts(const QuantLib::Matrix& pseudo,
                             std::vector<double> vdisplacements,
***************
*** 105,109 ****
  
  
!     class MarketModelForwards : public ObjHandler::LibraryObject<QuantLib::MarketModelForwards> {
      public:
          MarketModelForwards(const QuantLib::Array& rateTimes,
--- 107,118 ----
  
  
!     
!     class MarketModelProduct : public ObjHandler::LibraryObject<
!         QuantLib::MarketModelProduct> {
!     //public:
!     //    virtual EvolutionDescription suggestedEvolution() const=0;
!     };
! 
!     class MarketModelForwards : public MarketModelProduct {
      public:
          MarketModelForwards(const QuantLib::Array& rateTimes,
***************
*** 111,114 ****
--- 120,124 ----
                              const QuantLib::Array& paymentTimes,
                              const QuantLib::Array& strikes);
+         //EvolutionDescription suggestedEvolution() const;
      };
  
***************
*** 131,137 ****
          ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&,
                             const QuantLib::EvolutionDescription&,
!                            unsigned long seed);
      };
  
  
  }
--- 141,164 ----
          ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&,
                             const QuantLib::EvolutionDescription&,
!                            const QuantLib::BrownianGeneratorFactory&);
      };
  
+     class ForwardRateIpcEvolver : public MarketModelEvolver {
+     public:
+         ForwardRateIpcEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&,
+                               const QuantLib::EvolutionDescription&,
+                               const QuantLib::BrownianGeneratorFactory&);
+     };
+ 
+ 
+     class AccountingEngine : public ObjHandler::LibraryObject<
+         QuantLib::AccountingEngine> {
+     public:
+         AccountingEngine(
+             const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver,
+             const boost::shared_ptr<QuantLib::MarketModelProduct>& product,
+             const QuantLib::EvolutionDescription& evolution,
+             double initialNumeraireValue);
+     };
  
  }

Index: marketmodels.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** marketmodels.cpp	14 Jul 2006 09:38:53 -0000	1.4
--- marketmodels.cpp	14 Jul 2006 17:37:16 -0000	1.5
***************
*** 120,128 ****
          const QuantLib::Array& strikes)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::MarketModelForwards>(
              new QuantLib::MarketModelForwards(rateTimes, accruals,
                                                paymentTimes, strikes));
      }
  
  
  
--- 120,137 ----
          const QuantLib::Array& strikes)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>(
              new QuantLib::MarketModelForwards(rateTimes, accruals,
                                                paymentTimes, strikes));
      }
  
+     /*
+     EvolutionDescription MarketModelForwards::suggestedEvolution() const
+     {
+         QuantLib::EvolitionDescription ed = libraryObject_->suggestedEvolution();
+         
+         boost::shared_ptr<ObjHandler::Object> objectPointer(
+             new QuantLibAddin::EvolutionDescription());
+     }
+     */
  
  
***************
*** 136,144 ****
          const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot,
          const QuantLib::EvolutionDescription& evolutionDescription,
!         unsigned long seed)
      {
  
!         QuantLib::MTBrownianGeneratorFactory generatorFactory(seed);
! 
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>(
              new QuantLib::ForwardRateEvolver(pseudoRoot,
--- 145,161 ----
          const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot,
          const QuantLib::EvolutionDescription& evolutionDescription,
!         const QuantLib::BrownianGeneratorFactory& generatorFactory)
      {
+         libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>(
+             new QuantLib::ForwardRateEvolver(pseudoRoot,
+                                              evolutionDescription,
+                                              generatorFactory));
+     }
  
!     ForwardRateIpcEvolver::ForwardRateIpcEvolver(
!         const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot,
!         const QuantLib::EvolutionDescription& evolutionDescription,
!         const QuantLib::BrownianGeneratorFactory& generatorFactory)
!     {
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>(
              new QuantLib::ForwardRateEvolver(pseudoRoot,
***************
*** 147,149 ****
--- 164,179 ----
      }
  
+     AccountingEngine::AccountingEngine(
+         const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver,
+         const boost::shared_ptr<QuantLib::MarketModelProduct>& product,
+         const QuantLib::EvolutionDescription& evolution,
+         double initialNumeraireValue)
+     {
+         libraryObject_ = boost::shared_ptr<QuantLib::AccountingEngine>(
+             new QuantLib::AccountingEngine(evolver,
+                                            product,
+                                            evolution,
+                                            initialNumeraireValue));
+     }
+ 
  }