[QuantLibAddin-cvs] QuantLibAddin/qlo bonds.cpp, 1.8, 1.9 bonds.hpp, 1.8, 1.9 capfloor.cpp, 1.7, 1.8 capfloor.hpp, 1.6, 1.7 couponvectors.cpp, 1.15, 1.16 couponvectors.hpp, 1.13, 1.14 swap.cpp, 1.13, 1.14 swap.hpp, 1.10, 1.11 vanillaswap.hpp, 1.10, 1.11

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16449/qlo

Modified Files:
	bonds.cpp bonds.hpp capfloor.cpp capfloor.hpp 
	couponvectors.cpp couponvectors.hpp swap.cpp swap.hpp 
	vanillaswap.hpp 
Log Message:
richer flow analysis

Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** couponvectors.hpp	31 Jul 2006 15:48:10 -0000	1.13
--- couponvectors.hpp	31 Jul 2006 18:17:37 -0000	1.14
***************
*** 31,37 ****
      typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > CashFlowVector;
  
! //    std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector);
!     std::vector<std::vector<double> > flowAnalysis(CashFlowVector);
! 
          
      class CouponVector : public ObjHandler::Object {
--- 31,35 ----
      typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > CashFlowVector;
  
!     std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector);
          
      class CouponVector : public ObjHandler::Object {
***************
*** 40,45 ****
              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_);
--- 38,42 ----
              const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const;
          const CashFlowVector& getVector();        
!         const std::vector<std::vector<boost::any> > getLeg()
          {
              return flowAnalysis(cashFlowVector_);

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** couponvectors.cpp	31 Jul 2006 17:09:19 -0000	1.15
--- couponvectors.cpp	31 Jul 2006 18:17:37 -0000	1.16
***************
*** 33,62 ****
  namespace QuantLibAddin {
  
!     std::vector<std::vector<double> > flowAnalysis(CashFlowVector cashflows)
!     //std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector cashflows)
      {
!         std::vector<std::vector<double> > flowAnalysis_;
!         //std::vector<std::vector<boost::any> > flowAnalysis_;
!         //std::vector<boost::any> headings;
!         //headings.push_back(std::string("Date"));
!         //headings.push_back(std::string("Amount"));
!         //headings.push_back(std::string("Nominal"));
!         //headings.push_back(std::string("Accrual Start Date"));
!         //headings.push_back(std::string("Accrual End Date"));
!         //headings.push_back(std::string("Accrual Days"));
!         //headings.push_back(std::string("Day Counter"));
!         //headings.push_back(std::string("Accrual Period"));
!         //headings.push_back(std::string("Effective Rate"));
!         //headings.push_back(std::string("Fixing Days"));
!         //headings.push_back(std::string("Fixing Dates"));
!         //headings.push_back(std::string("Gearing"));
!         //headings.push_back(std::string("Index Fixing"));
!         //headings.push_back(std::string("Conv. Adj."));
!         //headingspush_back(std::string("Spread"));
!         //flowAnalysis_.push_back(headings);
  
          for(QuantLib::Size i=0; i<cashflows.size(); i++)
          {
!             std::vector<double> cf;
  
              cf.push_back(cashflows[i]->date().serialNumber());
--- 33,66 ----
  namespace QuantLibAddin {
  
!     std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector cashflows)
      {
!         std::vector<std::vector<boost::any> > flowAnalysis_;
!         std::vector<boost::any> headings;
!         headings.push_back(std::string("Date"));
!         headings.push_back(std::string("Amount"));
! 
!         headings.push_back(std::string("Nominal"));
!         headings.push_back(std::string("Accrual Start Date"));
!         headings.push_back(std::string("Accrual End Date"));
!         headings.push_back(std::string("Accrual Days"));
!         headings.push_back(std::string("Day Counter"));
!         headings.push_back(std::string("Accrual Period"));
!         headings.push_back(std::string("Effective Rate"));
!         headings.push_back(std::string("Accrued Amount"));
! 
!         headings.push_back(std::string("Fixing Days"));
!         headings.push_back(std::string("Fixing Dates"));
!         //headings.push_back(std::string("Index"));
!         headings.push_back(std::string("Floor"));
!         headings.push_back(std::string("Gearing"));
!         headings.push_back(std::string("Index Fixing"));
!         headings.push_back(std::string("Conv. Adj."));
!         headings.push_back(std::string("Spread"));
!         headings.push_back(std::string("Cap"));
!         flowAnalysis_.push_back(headings);
  
          for(QuantLib::Size i=0; i<cashflows.size(); i++)
          {
!             std::vector<boost::any> cf;
  
              cf.push_back(cashflows[i]->date().serialNumber());
***************
*** 71,100 ****
              cf.push_back(c->accrualEndDate().serialNumber());
              cf.push_back(c->accrualDays());
!             //cf.push_back(c->dayCounter().name());
              cf.push_back(c->accrualPeriod());
              cf.push_back(c->rate());
  
              boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon =
                  boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>(
                      cashflows[i]);
              if (floatingCoupon!=0) {
                  cf.push_back(floatingCoupon->fixingDays());
                  cf.push_back(floatingCoupon->fixingDate().serialNumber());
                  cf.push_back(floatingCoupon->gearing());
                  cf.push_back(floatingCoupon->indexFixing());
!                 QuantLib::Rate convAdj = floatingCoupon->rate()- floatingCoupon->spread();
!                 convAdj -= floatingCoupon->gearing()*
!                                     floatingCoupon->indexFixing();
!                 if (floatingCoupon->gearing()!=0)
!                     convAdj /= floatingCoupon->gearing();
!                 cf.push_back(convAdj);
                  cf.push_back(floatingCoupon->spread());
              } else {
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
!                 cf.push_back(0.0);
              }
  
--- 75,120 ----
              cf.push_back(c->accrualEndDate().serialNumber());
              cf.push_back(c->accrualDays());
!             cf.push_back(c->dayCounter().name());
              cf.push_back(c->accrualPeriod());
              cf.push_back(c->rate());
+             cf.push_back(c->accruedAmount(QuantLib::Settings::instance().evaluationDate()));
  
              boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon =
                  boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>(
                      cashflows[i]);
+             boost::shared_ptr<QuantLib::CMSCoupon> cmsCoupon =
+                 boost::dynamic_pointer_cast<QuantLib::CMSCoupon>(
+                     cashflows[i]);
              if (floatingCoupon!=0) {
                  cf.push_back(floatingCoupon->fixingDays());
                  cf.push_back(floatingCoupon->fixingDate().serialNumber());
+                 //cf.push_back(floatingCoupon->index());
+                 cf.push_back(std::string("N/A"));
                  cf.push_back(floatingCoupon->gearing());
                  cf.push_back(floatingCoupon->indexFixing());
!                 cf.push_back(floatingCoupon->convexityAdjustment(
!                     floatingCoupon->indexFixing()));
                  cf.push_back(floatingCoupon->spread());
+                 cf.push_back(std::string("N/A"));
+             } else if (cmsCoupon!=0) {
+                 cf.push_back(cmsCoupon->fixingDays());
+                 cf.push_back(cmsCoupon->fixingDate().serialNumber());
+                 //cf.push_back(cmsCoupon->index());
+                 cf.push_back(cmsCoupon->floor());
+                 cf.push_back(cmsCoupon->gearing());
+                 cf.push_back(cmsCoupon->indexFixing());
+                 cf.push_back(cmsCoupon->convexityAdjustment(
+                     cmsCoupon->indexFixing()));
+                 cf.push_back(cmsCoupon->spread());
+                 cf.push_back(cmsCoupon->cap());
              } else {
!                 cf.push_back(std::string("N/A"));
!                 cf.push_back(std::string("N/A"));
!                 cf.push_back(std::string("N/A"));
!                 cf.push_back(std::string("N/A"));
!                 cf.push_back(std::string("N/A"));
!                 cf.push_back(std::string("N/A"));
!                 cf.push_back(std::string("N/A"));
!                 cf.push_back(std::string("N/A"));
              }
  

Index: capfloor.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** capfloor.cpp	31 Jul 2006 15:48:10 -0000	1.7
--- capfloor.cpp	31 Jul 2006 18:17:37 -0000	1.8
***************
*** 44,49 ****
      }
  
!     std::vector<std::vector<double> > CapFloor::legAnalysis()
!     //std::vector<std::vector<boost::any> > CapFloor::legAnalysis()
      {
          boost::shared_ptr<QuantLib::CapFloor> temp;
--- 44,48 ----
      }
  
!     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 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** vanillaswap.hpp	31 Jul 2006 15:48:11 -0000	1.10
--- vanillaswap.hpp	31 Jul 2006 18:17:37 -0000	1.11
***************
*** 40,51 ****
              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);
--- 40,49 ----
              const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
                                        
!         std::vector<std::vector<boost::any> > fixedLeg()
          {
              return Swap::legAnalysis(0);
          }
  
!         std::vector<std::vector<boost::any> > floatingLeg()
          {
              return Swap::legAnalysis(1);

Index: capfloor.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** capfloor.hpp	31 Jul 2006 15:48:10 -0000	1.6
--- capfloor.hpp	31 Jul 2006 18:17:37 -0000	1.7
***************
*** 35,40 ****
                   const boost::shared_ptr<QuantLib::PricingEngine>& engine);
  
!         //std::vector<std::vector<boost::any> > legAnalysis();
!         std::vector<std::vector<double> > legAnalysis();
      };
      
--- 35,39 ----
                   const boost::shared_ptr<QuantLib::PricingEngine>& engine);
  
!         std::vector<std::vector<boost::any> > legAnalysis();
      };
      

Index: bonds.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** bonds.hpp	31 Jul 2006 15:48:10 -0000	1.8
--- bonds.hpp	31 Jul 2006 18:17:37 -0000	1.9
***************
*** 31,36 ****
      {
      public:
!         std::vector<std::vector<double> > flowAnalysis();
!         //std::vector<std::vector<boost::any> > flowAnalysis();
      };
  
--- 31,35 ----
      {
      public:
!         std::vector<std::vector<boost::any> > flowAnalysis();
      };
  

Index: bonds.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** bonds.cpp	31 Jul 2006 15:48:10 -0000	1.8
--- bonds.cpp	31 Jul 2006 18:17:37 -0000	1.9
***************
*** 33,38 ****
  namespace QuantLibAddin {
  
!     //std::vector<std::vector<boost::any> > Bond::flowAnalysis()
!     std::vector<std::vector<double> > Bond::flowAnalysis()
      {
          boost::shared_ptr<QuantLib::Bond> temp;
--- 33,37 ----
  namespace QuantLibAddin {
  
!     std::vector<std::vector<boost::any> > Bond::flowAnalysis()
      {
          boost::shared_ptr<QuantLib::Bond> temp;

Index: swap.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** swap.cpp	31 Jul 2006 15:48:11 -0000	1.13
--- swap.cpp	31 Jul 2006 18:17:37 -0000	1.14
***************
*** 39,44 ****
      }
  
!     //std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i)
!     std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i)
      {
          boost::shared_ptr<QuantLib::Swap> temp;
--- 39,43 ----
      }
  
!     std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i)
      {
          boost::shared_ptr<QuantLib::Swap> temp;

Index: swap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** swap.hpp	31 Jul 2006 15:48:11 -0000	1.10
--- swap.hpp	31 Jul 2006 18:17:37 -0000	1.11
***************
*** 34,39 ****
               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);
  
        protected:
--- 34,38 ----
               const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
  
!         std::vector<std::vector<boost::any> > legAnalysis(QuantLib::Size i);
  
        protected: