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From: Eric E. <eri...@us...> - 2006-07-27 14:56:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/qlo Modified Files: Makefile.am conversions.hpp enumclassctors.cpp getcovariance.hpp index.cpp index.hpp quantovanillaoption.hpp symmetricschurdecomposition.hpp typefactory.hpp Log Message: changes for linux/gcc4.1.0 Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** conversions.hpp 27 Jul 2006 09:37:46 -0000 1.13 --- conversions.hpp 27 Jul 2006 14:06:31 -0000 1.14 *************** *** 28,32 **** --- 28,35 ---- #include <ql/calendar.hpp> #include <ql/interestrate.hpp> + #include <ql/handle.hpp> + #include <oh/objecthandler.hpp> #include <qlo/handle.hpp> + #include <qlo/typefactory.hpp> #include <vector> Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** index.cpp 21 Jul 2006 18:19:17 -0000 1.6 --- index.cpp 27 Jul 2006 14:06:31 -0000 1.7 *************** *** 62,64 **** --- 62,65 ---- fixedLegDayCounter, index)); } + } Index: symmetricschurdecomposition.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/symmetricschurdecomposition.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** symmetricschurdecomposition.hpp 23 Jun 2006 17:20:55 -0000 1.1 --- symmetricschurdecomposition.hpp 27 Jul 2006 14:06:32 -0000 1.2 *************** *** 28,32 **** { public: ! SymmetricSchurDecomposition::SymmetricSchurDecomposition( const QuantLib::Matrix & s); }; --- 28,32 ---- { public: ! SymmetricSchurDecomposition( const QuantLib::Matrix & s); }; Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** typefactory.hpp 25 Jul 2006 14:18:11 -0000 1.20 --- typefactory.hpp 27 Jul 2006 14:06:32 -0000 1.21 *************** *** 48,69 **** 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) { --- 48,53 ---- class RegistryManager { protected: template<typename KeyClass, typename ConstructorSignature> ! ConstructorSignature getType(const KeyClass& id); bool checkType(const std::string& id) { *************** *** 97,100 **** --- 81,98 ---- }; + template<typename T, typename RegistryClass> + template<typename KeyClass, typename ConstructorSignature> + ConstructorSignature + RegistryManager<T, RegistryClass>::getType(const KeyClass& id) { + typename RegistryClass::TypeMapPtr type_map = getTypeMap(); + KeyClass idUpper = uppercase(id); + typename RegistryClass::TypeMap::iterator i; + for (i = type_map->begin(); i != type_map->end(); i++) + if (uppercase(i->first) == idUpper) + //return static_cast<ConstructorSignature>(i->second); + return reinterpret_cast<ConstructorSignature>(i->second); + QL_FAIL("Unknown id for Type: " << id); + } + /* *** Enumerated Types *** */ template<typename T> *************** *** 102,106 **** public: T operator()(const std::string& id) { ! return *(getType<std::string, T*>(id)); } using RegistryManager<T, EnumTypeRegistry>::checkType; --- 100,105 ---- public: T operator()(const std::string& id) { ! //return *(getType<std::string, T*>(id)); ! return *(this->getType(id)); } using RegistryManager<T, EnumTypeRegistry>::checkType; *************** *** 148,152 **** boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID, const long& timeSteps) { ! QL_REQUIRE(timeSteps>0, "timeSteps must be positive"); // FIXME move this validation into QL PricingEngineConstructor pricingEngineConstructor = getType<std::string, PricingEngineConstructor>(engineID); --- 147,152 ---- boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID, const long& timeSteps) { ! // FIXME move this validation into QL ! QL_REQUIRE(timeSteps>0, "timeSteps must be positive"); PricingEngineConstructor pricingEngineConstructor = getType<std::string, PricingEngineConstructor>(engineID); Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 27 Jul 2006 14:06:31 -0000 1.2 *************** *** 2,11 **** AM_CPPFLAGS = -I${top_srcdir} AM_LDFLAGS = -release $(PACKAGE_VERSION) ! includedir = $(prefix)/include/qla lib_LTLIBRARIES = libQuantLibAddin.la EXTRA_DIST = \ ! autolink.hpp include_HEADERS = \ --- 2,11 ---- AM_CPPFLAGS = -I${top_srcdir} AM_LDFLAGS = -release $(PACKAGE_VERSION) ! includedir = $(prefix)/include/qlo lib_LTLIBRARIES = libQuantLibAddin.la EXTRA_DIST = \ ! auto_link.hpp include_HEADERS = \ *************** *** 13,31 **** barrieroption.hpp \ baseinstruments.hpp \ calendar.hpp \ capfloor.hpp \ ! clientutils.hpp \ cliquetoption.hpp \ ! config.hpp \ couponvectors.hpp \ dividendvanillaoption.hpp \ europeanoption.hpp \ exercise.hpp \ ! fixedcouponbond.hpp \ forwardvanillaoption.hpp \ ! generalutils.hpp \ ! instruments.hpp \ interpolation.hpp \ options.hpp \ processes.hpp \ qladdindefines.hpp \ --- 13,39 ---- barrieroption.hpp \ baseinstruments.hpp \ + bonds.hpp \ calendar.hpp \ capfloor.hpp \ ! capletvolstructure.hpp \ cliquetoption.hpp \ ! conversions.hpp \ couponvectors.hpp \ dividendvanillaoption.hpp \ + enumclassctors.hpp \ europeanoption.hpp \ exercise.hpp \ ! forwardrateagreement.hpp \ forwardvanillaoption.hpp \ ! getcovariance.hpp \ ! handle.hpp \ ! index.hpp \ ! interpolation2D.hpp \ interpolation.hpp \ + mathf.hpp \ + optimization.hpp \ options.hpp \ + payoffs.hpp \ + pricingengines.hpp \ processes.hpp \ qladdindefines.hpp \ *************** *** 34,41 **** quantovanillaoption.hpp \ randomsequencegenerator.hpp \ schedule.hpp \ shortratemodels.hpp \ - simpleswap.hpp \ swap.hpp \ termstructures.hpp \ typefactory.hpp \ --- 42,52 ---- quantovanillaoption.hpp \ randomsequencegenerator.hpp \ + ratehelpers.hpp \ schedule.hpp \ shortratemodels.hpp \ swap.hpp \ + swaption.hpp \ + swaptionvolstructure.hpp \ + symmetricschurdecomposition.hpp \ termstructures.hpp \ typefactory.hpp \ *************** *** 43,110 **** utilities.hpp \ vanillaoption.hpp \ vo_capfloor.hpp \ vo_couponvectors.hpp \ vo_exercise.hpp \ ! vo_instruments.hpp \ vo_interpolation.hpp \ volatilities.hpp \ vo_options.hpp \ vo_processes.hpp \ vo_randomsequencegenerator.hpp \ vo_schedule.hpp \ vo_shortratemodels.hpp \ - vo_simpleswap.hpp \ vo_swap.hpp \ vo_termstructures.hpp \ ! vo_volatilities.hpp \ ! vo_xibor.hpp \ ! xibor.hpp \ ! zerocouponbond.hpp libQuantLibAddin_la_SOURCES = \ asianoption.cpp \ barrieroption.cpp \ calendar.cpp \ capfloor.cpp \ ! clientutils.cpp \ cliquetoption.cpp \ ! complextyperegistry.cpp \ couponvectors.cpp \ dividendvanillaoption.cpp \ ! enumregistry.cpp \ europeanoption.cpp \ exercise.cpp \ ! fixedcouponbond.cpp \ forwardvanillaoption.cpp \ ! generalutils.cpp \ interpolation.cpp \ processes.cpp \ quantoforwardvanillaoption.cpp \ quantovanillaoption.cpp \ randomsequencegenerator.cpp \ schedule.cpp \ shortratemodels.cpp \ - simpleswap.cpp \ swap.cpp \ termstructures.cpp \ utilities.cpp \ vanillaoption.cpp \ vo_capfloor.cpp \ vo_couponvectors.cpp \ vo_exercise.cpp \ ! vo_instruments.cpp \ vo_interpolation.cpp \ volatilities.cpp \ vo_options.cpp \ vo_processes.cpp \ vo_randomsequencegenerator.cpp \ vo_schedule.cpp \ vo_shortratemodels.cpp \ - vo_simpleswap.cpp \ vo_swap.cpp \ vo_termstructures.cpp \ ! vo_volatilities.cpp \ ! vo_xibor.cpp \ ! xibor.cpp \ ! zerocouponbond.cpp --- 54,152 ---- utilities.hpp \ vanillaoption.hpp \ + vanillaswap.hpp \ + vcconfig.hpp \ + vo_bonds.hpp \ + vo_calendar.hpp \ vo_capfloor.hpp \ + vo_capletvolstructure.hpp \ vo_couponvectors.hpp \ vo_exercise.hpp \ ! vo_forwardrateagreement.hpp \ ! vo_index.hpp \ vo_interpolation.hpp \ volatilities.hpp \ + vo_mathf.hpp \ + vo_optimization.hpp \ vo_options.hpp \ + vo_payoffs.hpp \ + vo_pricingengines.hpp \ vo_processes.hpp \ vo_randomsequencegenerator.hpp \ + vo_ratehelpers.hpp \ vo_schedule.hpp \ vo_shortratemodels.hpp \ vo_swap.hpp \ + vo_swaption.hpp \ + vo_swaptionvolstructure.hpp \ vo_termstructures.hpp \ ! vo_vanillaswap.hpp \ ! vo_volatilities.hpp libQuantLibAddin_la_SOURCES = \ asianoption.cpp \ barrieroption.cpp \ + bonds.cpp \ calendar.cpp \ capfloor.cpp \ ! capletvolstructure.cpp \ cliquetoption.cpp \ ! conversions.cpp \ couponvectors.cpp \ dividendvanillaoption.cpp \ ! enumclassctors.cpp \ ! enumclassregistry.cpp \ ! enumtyperegistry.cpp \ europeanoption.cpp \ exercise.cpp \ ! forwardrateagreement.cpp \ forwardvanillaoption.cpp \ ! getcovariance.cpp \ ! index.cpp \ ! interpolation2D.cpp \ interpolation.cpp \ + optimization.cpp \ + payoffs.cpp \ + pricingengines.cpp \ processes.cpp \ quantoforwardvanillaoption.cpp \ quantovanillaoption.cpp \ randomsequencegenerator.cpp \ + ratehelpers.cpp \ schedule.cpp \ shortratemodels.cpp \ swap.cpp \ + swaption.cpp \ + swaptionvolstructure.cpp \ + symmetricschurdecomposition.cpp \ termstructures.cpp \ utilities.cpp \ vanillaoption.cpp \ + vanillaswap.cpp \ + vo_bonds.cpp \ + vo_calendar.cpp \ vo_capfloor.cpp \ + vo_capletvolstructure.cpp \ vo_couponvectors.cpp \ vo_exercise.cpp \ ! vo_forwardrateagreement.cpp \ ! vo_index.cpp \ vo_interpolation.cpp \ volatilities.cpp \ + vo_mathf.cpp \ + vo_optimization.cpp \ vo_options.cpp \ + vo_payoffs.cpp \ + vo_pricingengines.cpp \ vo_processes.cpp \ vo_randomsequencegenerator.cpp \ + vo_ratehelpers.cpp \ vo_schedule.cpp \ vo_shortratemodels.cpp \ vo_swap.cpp \ + vo_swaption.cpp \ + vo_swaptionvolstructure.cpp \ vo_termstructures.cpp \ ! vo_vanillaswap.cpp \ ! vo_volatilities.cpp ! Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** index.hpp 21 Jul 2006 18:19:17 -0000 1.6 --- index.hpp 27 Jul 2006 14:06:32 -0000 1.7 *************** *** 27,31 **** #include <ql/yieldtermstructure.hpp> #include <ql/Indexes/xibor.hpp> ! #include <ql/Indexes/swaprate.hpp> namespace QuantLibAddin { --- 27,31 ---- #include <ql/yieldtermstructure.hpp> #include <ql/Indexes/xibor.hpp> ! //#include <ql/Indexes/swaprate.hpp> namespace QuantLibAddin { *************** *** 57,60 **** --- 57,61 ---- const boost::shared_ptr<QuantLib::Xibor>& index); }; + } Index: getcovariance.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/getcovariance.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** getcovariance.hpp 12 Jul 2006 14:03:39 -0000 1.1 --- getcovariance.hpp 27 Jul 2006 14:06:31 -0000 1.2 *************** *** 35,39 **** { public: ! CovarianceDecomposition::CovarianceDecomposition( const QuantLib::Matrix& cov, double tol); --- 35,39 ---- { public: ! CovarianceDecomposition( const QuantLib::Matrix& cov, double tol); Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** enumclassctors.cpp 25 Jul 2006 16:38:26 -0000 1.9 --- enumclassctors.cpp 27 Jul 2006 14:06:31 -0000 1.10 *************** *** 301,305 **** } ! /* *** EuriborSwapFixA *** */ boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( --- 301,305 ---- } ! /* *** EuriborSwapFixA *** */ boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( Index: quantovanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** quantovanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.6 --- quantovanillaoption.hpp 27 Jul 2006 14:06:32 -0000 1.7 *************** *** 27,37 **** class QuantoVanillaOption : public OneAssetOption { public: ! QuantoVanillaOption::QuantoVanillaOption( const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); }; --- 27,37 ---- class QuantoVanillaOption : public OneAssetOption { public: ! QuantoVanillaOption( const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr<QuantLib::BlackVolTermStructure> &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> &blackScholesProcess, const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, ! const boost::shared_ptr<QuantLib::Exercise> &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); }; |
