[QuantLibAddin-cvs] QuantLibAddin/qlo couponvectors.cpp, 1.20, 1.21 couponvectors.hpp, 1.14, 1.15 enumclassctors.cpp, 1.12, 1.13 enumclassctors.hpp, 1.10, 1.11 typefactory.hpp, 1.24, 1.25

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5325/qlo

Modified Files:
	couponvectors.cpp couponvectors.hpp enumclassctors.cpp 
	enumclassctors.hpp typefactory.hpp 
Log Message:
new CMSCoupon/Conundrum interface

Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** couponvectors.hpp	31 Jul 2006 18:17:37 -0000	1.14
--- couponvectors.hpp	3 Aug 2006 15:39:55 -0000	1.15
***************
*** 65,68 ****
--- 65,82 ----
              const std::vector<QuantLib::Spread>& spreads);
      };
+ 
+     class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> {
+         public:
+         VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer);
+         boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject()
+         {
+             return libraryObject_;
+         }
+     };
+ 
+     //class ConundrumPricer : public VanillaCMSCouponPricer {
+     //  public:
+     //      ConundrumPricer(const std::string &typeOfVanillaCMSCouponPricer);
+     //};
      
      class CMSCouponVector : public CouponVector {
***************
*** 80,84 ****
                  const std::vector<QuantLib::Real>& floors,
                  const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!                 QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment);
      };
  }
--- 94,98 ----
                  const std::vector<QuantLib::Real>& floors,
                  const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!                 const std::string & typeOfVanillaCMSCouponPricer);
      };
  }

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** couponvectors.cpp	2 Aug 2006 07:08:00 -0000	1.20
--- couponvectors.cpp	3 Aug 2006 15:39:55 -0000	1.21
***************
*** 92,96 ****
                  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();
--- 92,96 ----
                  cf[ 9]=floatingCoupon->fixingDays();
                  cf[10]=floatingCoupon->fixingDate().serialNumber();
!                 cf[11]=floatingCoupon->index()->name();
                  cf[12]=std::string("N/A");
                  cf[13]=floatingCoupon->gearing();
***************
*** 159,162 ****
--- 159,169 ----
      }
  
+     VanillaCMSCouponPricer::VanillaCMSCouponPricer(
+         const std::string &typeOfVanillaCMSCouponPricer)
+     {
+         libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >()
+             (typeOfVanillaCMSCouponPricer);
+     }
+ 
      CMSCouponVector::CMSCouponVector(
                  const boost::shared_ptr<QuantLib::Schedule>& schedule,
***************
*** 171,176 ****
                  const std::vector<QuantLib::Rate>& floors,
                  const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!                 QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment) {
  
          cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
                                                      paymentAdjustment,
--- 178,185 ----
                  const std::vector<QuantLib::Rate>& floors,
                  const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!                 const std::string & typeOfVanillaCMSCouponPricer) {
  
+         VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer);
+         boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject();
          cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
                                                      paymentAdjustment,
***************
*** 183,188 ****
                                                      caps,
                                                      floors,
!                                                     vol,
!                                                     typeOfConvexityAdjustment);
      }
  
--- 192,197 ----
                                                      caps,
                                                      floors,
!                                                     pricer,
!                                                     vol);
      }
  

Index: enumclassctors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** enumclassctors.cpp	31 Jul 2006 11:21:16 -0000	1.12
--- enumclassctors.cpp	3 Aug 2006 15:39:55 -0000	1.13
***************
*** 499,502 ****
--- 499,511 ----
      }
  
+     //VanillaCMSCouponPricer
+     boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ){
+         return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(
+             new QuantLib::ConundrumPricerByBlack( ));
+     };
+     boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ){
+         return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(
+             new QuantLib::ConundrumPricerByNumericalIntegration( ));
+     };
  }
  

Index: enumclassctors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** enumclassctors.hpp	31 Jul 2006 11:21:16 -0000	1.10
--- enumclassctors.hpp	3 Aug 2006 15:39:55 -0000	1.11
***************
*** 30,33 ****
--- 30,35 ----
  #include <ql/Math/bilinearinterpolation.hpp>
  #include <ql/Math/bicubicsplineinterpolation.hpp>
+ #include <ql/cashflows/cmscoupon.hpp>
+ #include <ql/cashflows/conundrumpricer.hpp>
  
  namespace QuantLibAddin {
***************
*** 188,191 ****
--- 190,197 ----
              const QuantLib::DayCounter &dayCounter);
  
+     //VanillaCMSCouponPricer
+     boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( );
+     boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>
+         CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( );
  }
  

Index: typefactory.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** typefactory.hpp	31 Jul 2006 11:21:16 -0000	1.24
--- typefactory.hpp	3 Aug 2006 15:39:55 -0000	1.25
***************
*** 28,31 ****
--- 28,32 ----
  #include <ql/Indexes/euriborswapfixa.hpp>
  #include <ql/TermStructures/ratehelpers.hpp>
+ #include <ql/CashFlows/cmscoupon.hpp>
  #include <oh/exception.hpp>
  
***************
*** 265,268 ****
--- 266,284 ----
      };
  
+     /* *** VanillaCMSCouponPricer *** */
+     typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( );
+ 
+     template<>
+     class Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> > :
+         private RegistryManager<QuantLib::VanillaCMSCouponPricer, EnumClassRegistry> {
+     public:
+         boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() (
+                 const std::string& vanillaCMSCouponPricerID) {
+             VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = 
+                 getType<std::string, VanillaCMSCouponPricerConstructor>(vanillaCMSCouponPricerID);
+             return vanillaCMSCouponPricerConstructor();
+         }
+     };
+ 
   }