[QuantLibAddin-cvs] QuantLibAddin/qlo couponvectors.cpp,1.16,1.17

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32394/qlo

Modified Files:
	couponvectors.cpp 
Log Message:
richer flow analysis

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** couponvectors.cpp	31 Jul 2006 18:17:37 -0000	1.16
--- couponvectors.cpp	1 Aug 2006 07:29:17 -0000	1.17
***************
*** 36,69 ****
      {
          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());
!             cf.push_back(cashflows[i]->amount());
  
              boost::shared_ptr<QuantLib::Coupon> c =
--- 36,71 ----
      {
          std::vector<std::vector<boost::any> > flowAnalysis_;
  
!         std::vector<boost::any> headings(18);
!         headings[0]=std::string("Date");
!         headings[1]=std::string("Amount");
! 
!         headings[2]=std::string("Nominal");
!         headings[3]=std::string("Accrual Start Date");
!         headings[4]=std::string("Accrual End Date");
!         headings[5]=std::string("Accrual Days");
!         headings[6]=std::string("Day Counter");
!         headings[7]=std::string("Accrual Period");
!         headings[8]=std::string("Effective Rate");
! 
!         headings[ 9]=std::string("Fixing Days");
!         headings[10]=std::string("Fixing Dates");
!         headings[11]=std::string("Index");
!         headings[12]=std::string("Floor");
!         headings[13]=std::string("Gearing");
!         headings[14]=std::string("Index Fixing");
!         headings[15]=std::string("Conv. Adj.");
!         headings[16]=std::string("Spread");
!         headings[17]=std::string("Cap");
!         headings[18]=std::string("---");
!         headings[19]=std::string("---");
  
          flowAnalysis_.push_back(headings);
  
          for(QuantLib::Size i=0; i<cashflows.size(); i++)
          {
!             std::vector<boost::any> cf(20, std::string("N/A"));
!             cf[0]=cashflows[i]->date().serialNumber();
!             cf[1]=cashflows[i]->amount();
  
              boost::shared_ptr<QuantLib::Coupon> c =
***************
*** 71,82 ****
              QL_REQUIRE(c, "error processing cash flow vector - unable to convert item #" << i << 
                  " to an object of class QuantLib::Coupon")
!             cf.push_back(c->nominal());
!             cf.push_back(c->accrualStartDate().serialNumber());
!             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 =
--- 73,83 ----
              QL_REQUIRE(c, "error processing cash flow vector - unable to convert item #" << i << 
                  " to an object of class QuantLib::Coupon")
!             cf[2]=c->nominal();
!             cf[3]=c->accrualStartDate().serialNumber();
!             cf[4]=c->accrualEndDate().serialNumber();
!             cf[5]=c->accrualDays();
!             cf[6]=c->dayCounter().name();
!             cf[7]=c->accrualPeriod();
!             cf[8]=c->rate();
  
              boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon =
***************
*** 87,122 ****
                      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"));
              }
- 
              flowAnalysis_.push_back(cf);
          }
--- 88,113 ----
                      cashflows[i]);
              if (floatingCoupon!=0) {
!                 cf[ 9]=floatingCoupon->fixingDays();
!                 cf[10]=floatingCoupon->fixingDate().serialNumber();
!                 cf[11]=std::string("N/A");
!                 cf[12]=std::string("N/A");
!                 cf[13]=floatingCoupon->gearing();
!                 cf[14]=floatingCoupon->indexFixing();
!                 cf[15]=floatingCoupon->convexityAdjustment(
!                     floatingCoupon->indexFixing());
!                 cf[16]=floatingCoupon->spread();
!                 cf[17]=std::string("N/A");
              } else if (cmsCoupon!=0) {
!                 cf[ 9]=cmsCoupon->fixingDays();
!                 cf[10]=cmsCoupon->fixingDate().serialNumber();
!                 cf[11]=cmsCoupon->index()->name();
!                 cf[12]=cmsCoupon->floor();
!                 cf[13]=cmsCoupon->gearing();
!                 cf[14]=cmsCoupon->indexFixing();
!                 cf[15]=cmsCoupon->convexityAdjustment(
!                     cmsCoupon->indexFixing());
!                 cf[16]=cmsCoupon->spread();
!                 cf[17]=cmsCoupon->cap();
              }
              flowAnalysis_.push_back(cf);
          }