[QuantLibAddin-cvs] QuantLibAddin/qlo bonds.cpp, 1.7, 1.8 bonds.hpp, 1.7, 1.8 capfloor.cpp, 1.6, 1.7 capfloor.hpp, 1.5, 1.6 couponvectors.cpp, 1.13, 1.14 couponvectors.hpp, 1.12, 1.13 index.hpp, 1.8, 1.9 swap.cpp, 1.12, 1.13 swap.hpp, 1.9, 1.10 vanillaswap.hpp, 1.9, 1.10

[Giorgio F. <gi...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6215/qlo

Modified Files:
	bonds.cpp bonds.hpp capfloor.cpp capfloor.hpp 
	couponvectors.cpp couponvectors.hpp index.hpp swap.cpp 
	swap.hpp vanillaswap.hpp 
Log Message:
refactoring flowanalysis

Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** couponvectors.hpp	31 Jul 2006 11:21:16 -0000	1.12
--- couponvectors.hpp	31 Jul 2006 15:48:10 -0000	1.13
***************
*** 31,34 ****
--- 31,35 ----
      typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > CashFlowVector;
  
+ //    std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector);
      std::vector<std::vector<double> > flowAnalysis(CashFlowVector);
  
***************
*** 36,43 ****
      class CouponVector : public ObjHandler::Object {
      public:
-         virtual std::vector<std::vector<double> >  getLeg() = 0;
          double getBPS(
              const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const;
          const CashFlowVector& getVector();        
        protected:
          CashFlowVector cashFlowVector_;
--- 37,48 ----
      class CouponVector : public ObjHandler::Object {
      public:
          double getBPS(
              const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const;
          const CashFlowVector& getVector();        
+         const std::vector<std::vector<double> > getLeg()
+         //const std::vector<std::vector<boost::any> > getLeg()
+         {
+             return flowAnalysis(cashFlowVector_);
+         }
        protected:
          CashFlowVector cashFlowVector_;
***************
*** 52,57 ****
              const std::vector<double>&              couponRates,
              const QuantLib::DayCounter&             dayCountID);
-         
-         virtual std::vector<std::vector<double> > getLeg();
      };
      
--- 57,60 ----
***************
*** 64,69 ****
              const boost::shared_ptr<QuantLib::Xibor>& index,
              const std::vector<QuantLib::Spread>& spreads);
-         
-         virtual std::vector<std::vector<double> > getLeg();        
      };
      
--- 67,70 ----
***************
*** 83,89 ****
                  const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
                  QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment);
-         virtual std::vector<std::vector<double> > getLeg();        
      };
- 
  }
  
--- 84,88 ----

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** couponvectors.cpp	31 Jul 2006 11:21:16 -0000	1.13
--- couponvectors.cpp	31 Jul 2006 15:48:10 -0000	1.14
***************
*** 34,41 ****
  
      std::vector<std::vector<double> > flowAnalysis(CashFlowVector cashflows)
      {
          std::vector<std::vector<double> > flowAnalysis_;
!         for(QuantLib::Size i = 0; i < cashflows.size(); i++) {
!             std::vector<double> cf;
  
              cf.push_back(cashflows[i]->date().serialNumber());
--- 34,61 ----
  
      std::vector<std::vector<double> > flowAnalysis(CashFlowVector cashflows)
+     //std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector cashflows)
      {
+         //std::vector<std::vector<boost::any> > flowAnalysis_;
+         //std::vector<boost::any> cf;
+         //cf.push_back(std::string("Date"));
+         //cf.push_back(std::string("Amount"));
+         //cf.push_back(std::string("Nominal"));
+         //cf.push_back(std::string("Accrual Start Date"));
+         //cf.push_back(std::string("Accrual End Date"));
+         //cf.push_back(std::string("Accrual Days"));
+         //cf.push_back(std::string("Day Counter"));
+         //cf.push_back(std::string("Accrual Period"));
+         //cf.push_back(std::string("Effective Rate"));
+         //cf.push_back(std::string("Fixing Days"));
+         //cf.push_back(std::string("Fixing Dates"));
+         //cf.push_back(std::string("Gearing"));
+         //cf.push_back(std::string("Index Fixing"));
+         //cf.push_back(std::string("Conv. Adj."));
+         //cf.push_back(std::string("Spread"));
+ 
          std::vector<std::vector<double> > flowAnalysis_;
!         std::vector<double> cf;
!         //for(QuantLib::Size i = 1; i <= cashflows.size(); i++) {
!         for(QuantLib::Size i=0; i<cashflows.size(); i++) {
  
              cf.push_back(cashflows[i]->date().serialNumber());
***************
*** 110,132 ****
      }
  
-     std::vector<std::vector<double> > FixedRateCouponVector::getLeg()
-     {
-         std::vector<std::vector<double> > leg;
- 
-         for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) {
-             std::vector<double> cf;
-             QuantLib::FixedRateCoupon& c =
-                 (QuantLib::FixedRateCoupon&) *(cashFlowVector_[i]);
-             cf.push_back(c.accrualStartDate().serialNumber());
-             cf.push_back(c.accrualEndDate().serialNumber());
-             cf.push_back(c.date().serialNumber());
-             cf.push_back(c.accrualPeriod());
-             cf.push_back(c.accrualDays());
-             cf.push_back(c.amount());
-             leg.push_back(cf);
-         }
-         return leg;
-     }
- 
      FloatingRateCouponVector::FloatingRateCouponVector(
              const boost::shared_ptr<QuantLib::Schedule>& schedule,
--- 130,133 ----
***************
*** 146,184 ****
      }
  
-     std::vector<std::vector<double> > FloatingRateCouponVector::getLeg() {
-         std::vector<std::vector<double> > leg;
- 
-         for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) {
-             std::vector<double> cf;
-             QuantLib::ParCoupon& c =
-                 (QuantLib::ParCoupon&) *(cashFlowVector_[i]);
-             cf.push_back(c.accrualStartDate().serialNumber());
-             cf.push_back(c.accrualEndDate().serialNumber());
-             cf.push_back(c.date().serialNumber());
-             cf.push_back(c.fixingDate().serialNumber());
-             cf.push_back(c.accrualPeriod());
-             cf.push_back(c.accrualDays());
-             cf.push_back(c.amount());
-             cf.push_back(c.indexFixing());
-             leg.push_back(cf);
-         }
- 
-         return leg;
-     }
- 
      CMSCouponVector::CMSCouponVector(
!         const boost::shared_ptr<QuantLib::Schedule>& schedule,
!         QuantLib::BusinessDayConvention paymentAdjustment,
!         const std::vector<QuantLib::Real>& nominals,
!         const boost::shared_ptr<QuantLib::SwapIndex>& index,
!         QuantLib::Integer fixingDays,
!         const QuantLib::DayCounter& dayCounter,
!         const std::vector<QuantLib::Rate>& baseRates,
!         const std::vector<QuantLib::Real>& fractions,
!         const std::vector<QuantLib::Rate>& caps,
!         const std::vector<QuantLib::Rate>& floors,
!         const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!         QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment)
!     {
          cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
                                                      paymentAdjustment,
--- 147,164 ----
      }
  
      CMSCouponVector::CMSCouponVector(
!                 const boost::shared_ptr<QuantLib::Schedule>& schedule,
!                 QuantLib::BusinessDayConvention paymentAdjustment,
!                 const std::vector<QuantLib::Real>& nominals,
!                 const boost::shared_ptr<QuantLib::SwapIndex>& index,
!                 QuantLib::Integer fixingDays,
!                 const QuantLib::DayCounter& dayCounter,
!                 const std::vector<QuantLib::Rate>& baseRates,
!                 const std::vector<QuantLib::Real>& fractions,
!                 const std::vector<QuantLib::Rate>& caps,
!                 const std::vector<QuantLib::Rate>& floors,
!                 const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!                 QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment) {
! 
          cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
                                                      paymentAdjustment,
***************
*** 195,217 ****
      }
  
-     std::vector<std::vector<double> > CMSCouponVector::getLeg()
-     {
-         std::vector<std::vector<double> > leg;
-         for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) {
-             std::vector<double> cf;
-             QuantLib::ParCoupon& c =
-                 (QuantLib::ParCoupon&) *(cashFlowVector_[i]);
-             cf.push_back(c.accrualStartDate().serialNumber());
-             cf.push_back(c.accrualEndDate().serialNumber());
-             cf.push_back(c.date().serialNumber());
-             cf.push_back(c.fixingDate().serialNumber());
-             cf.push_back(c.accrualPeriod());
-             cf.push_back(c.accrualDays());
-             cf.push_back(c.amount());
-             cf.push_back(c.indexFixing());
-             leg.push_back(cf);
-         }
-         return leg;
-     }
- 
  }
--- 175,177 ----

Index: capfloor.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** capfloor.cpp	27 Jul 2006 09:37:46 -0000	1.6
--- capfloor.cpp	31 Jul 2006 15:48:10 -0000	1.7
***************
*** 45,48 ****
--- 45,49 ----
  
      std::vector<std::vector<double> > CapFloor::legAnalysis()
+     //std::vector<std::vector<boost::any> > CapFloor::legAnalysis()
      {
          boost::shared_ptr<QuantLib::CapFloor> temp;

Index: vanillaswap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** vanillaswap.hpp	27 Jun 2006 21:17:33 -0000	1.9
--- vanillaswap.hpp	31 Jul 2006 15:48:11 -0000	1.10
***************
*** 40,47 ****
              const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
                                        
!         std::vector<std::vector<double> > fixedLeg() {
              return Swap::legAnalysis(0);
          }
!         std::vector<std::vector<double> > floatingLeg() {
              return Swap::legAnalysis(1);
          }
--- 40,52 ----
              const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
                                        
!         //std::vector<std::vector<boost::any> > fixedLeg()
!         std::vector<std::vector<double> > fixedLeg()
!         {
              return Swap::legAnalysis(0);
          }
! 
!         //std::vector<std::vector<boost::any> > floatingLeg()
!         std::vector<std::vector<double> > floatingLeg()
!         {
              return Swap::legAnalysis(1);
          }

Index: capfloor.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** capfloor.hpp	26 Jun 2006 21:31:03 -0000	1.5
--- capfloor.hpp	31 Jul 2006 15:48:10 -0000	1.6
***************
*** 35,38 ****
--- 35,39 ----
                   const boost::shared_ptr<QuantLib::PricingEngine>& engine);
  
+         //std::vector<std::vector<boost::any> > legAnalysis();
          std::vector<std::vector<double> > legAnalysis();
      };

Index: index.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** index.hpp	28 Jul 2006 16:10:55 -0000	1.8
--- index.hpp	31 Jul 2006 15:48:10 -0000	1.9
***************
*** 26,29 ****
--- 26,30 ----
  #include <ql/handle.hpp>
  #include <ql/yieldtermstructure.hpp>
+ #include <ql/Indexes/swapindex.hpp>
  
  namespace QuantLibAddin {

Index: bonds.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** bonds.hpp	22 Jun 2006 10:18:48 -0000	1.7
--- bonds.hpp	31 Jul 2006 15:48:10 -0000	1.8
***************
*** 28,35 ****
  namespace QuantLibAddin {
  
!     class Bond : public Instrument {
      public:
          std::vector<std::vector<double> > flowAnalysis();
! 
      };
  
--- 28,36 ----
  namespace QuantLibAddin {
  
!     class Bond : public Instrument
!     {
      public:
          std::vector<std::vector<double> > flowAnalysis();
!         //std::vector<std::vector<boost::any> > flowAnalysis();
      };
  

Index: bonds.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** bonds.cpp	27 Jul 2006 09:37:46 -0000	1.7
--- bonds.cpp	31 Jul 2006 15:48:10 -0000	1.8
***************
*** 33,37 ****
  namespace QuantLibAddin {
  
!     std::vector<std::vector<double> > Bond::flowAnalysis() {
          boost::shared_ptr<QuantLib::Bond> temp;
          getLibraryObject(temp);
--- 33,39 ----
  namespace QuantLibAddin {
  
!     //std::vector<std::vector<boost::any> > Bond::flowAnalysis()
!     std::vector<std::vector<double> > Bond::flowAnalysis()
!     {
          boost::shared_ptr<QuantLib::Bond> temp;
          getLibraryObject(temp);

Index: swap.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** swap.cpp	27 Jul 2006 09:37:46 -0000	1.12
--- swap.cpp	31 Jul 2006 15:48:11 -0000	1.13
***************
*** 29,36 ****
  namespace QuantLibAddin {
  
!     Swap::Swap(
!             const boost::shared_ptr<CouponVector>& paidLegWrapper,
!             const boost::shared_ptr<CouponVector>& recvLegWrapper,
!             const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS)
      {
          const CashFlowVector& paidLeg = paidLegWrapper->getVector();
--- 29,35 ----
  namespace QuantLibAddin {
  
!     Swap::Swap(const boost::shared_ptr<CouponVector>& paidLegWrapper,
!                const boost::shared_ptr<CouponVector>& recvLegWrapper,
!                const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS)
      {
          const CashFlowVector& paidLeg = paidLegWrapper->getVector();
***************
*** 40,43 ****
--- 39,43 ----
      }
  
+     //std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i)
      std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i)
      {

Index: swap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** swap.hpp	26 Jun 2006 21:31:03 -0000	1.9
--- swap.hpp	31 Jul 2006 15:48:11 -0000	1.10
***************
*** 34,37 ****
--- 34,38 ----
               const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
  
+         //std::vector<std::vector<boost::any> > legAnalysis(QuantLib::Size i);
          std::vector<std::vector<double> > legAnalysis(QuantLib::Size i);