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From: Giorgio F. <gi...@us...> - 2006-08-07 10:33:16
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13494/qlo Modified Files: couponvectors.cpp couponvectors.hpp enumclassctors.cpp enumclassctors.hpp typefactory.hpp Log Message: new CMSCoupon/Conundrum interface (added Model of Yield Curve) Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** couponvectors.hpp 3 Aug 2006 15:39:55 -0000 1.15 --- couponvectors.hpp 7 Aug 2006 10:33:10 -0000 1.16 *************** *** 25,28 **** --- 25,29 ---- #include <ql/CashFlows/cashflowvectors.hpp> #include <ql/CashFlows/cmscoupon.hpp> + #include <ql/CashFlows/conundrumpricer.hpp> #include <ql/CashFlows/analysis.hpp> *************** *** 68,72 **** class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { public: ! VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() { --- 69,74 ---- class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { public: ! VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() { *************** *** 93,98 **** const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer); }; } --- 95,102 ---- const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, + const std::vector<QuantLib::Real>& meanReversions, const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); }; } Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** couponvectors.cpp 3 Aug 2006 15:39:55 -0000 1.21 --- couponvectors.cpp 7 Aug 2006 10:33:10 -0000 1.22 *************** *** 160,167 **** VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! const std::string &typeOfVanillaCMSCouponPricer) { libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! (typeOfVanillaCMSCouponPricer); } --- 160,168 ---- VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! const std::string &typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! (typeOfVanillaCMSCouponPricer,modelOfYieldCurve); } *************** *** 177,184 **** const std::vector<QuantLib::Rate>& caps, 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, --- 178,187 ---- const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, + const std::vector<QuantLib::Real>& meanReversions, const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { ! VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject(); cashFlowVector_ = QuantLib::CMSCouponVector(*schedule, *************** *** 192,195 **** --- 195,199 ---- caps, floors, + meanReversions, pricer, vol); Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** enumclassctors.cpp 3 Aug 2006 15:39:55 -0000 1.13 --- enumclassctors.cpp 7 Aug 2006 10:33:10 -0000 1.14 *************** *** 500,510 **** //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( )); }; } --- 500,512 ---- //VanillaCMSCouponPricer ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve){ return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( ! new QuantLib::ConundrumPricerByBlack(modelOfYieldCurve)); }; ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ){ return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( ! new QuantLib::ConundrumPricerByNumericalIntegration(modelOfYieldCurve)); }; } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** enumclassctors.hpp 3 Aug 2006 15:39:55 -0000 1.11 --- enumclassctors.hpp 7 Aug 2006 10:33:10 -0000 1.12 *************** *** 191,197 **** //VanillaCMSCouponPricer ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> ! CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ); } --- 191,200 ---- //VanillaCMSCouponPricer ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> ! CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> ! CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ); } Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** typefactory.hpp 3 Aug 2006 15:39:55 -0000 1.25 --- typefactory.hpp 7 Aug 2006 10:33:10 -0000 1.26 *************** *** 29,32 **** --- 29,33 ---- #include <ql/TermStructures/ratehelpers.hpp> #include <ql/CashFlows/cmscoupon.hpp> + #include <ql/CashFlows/conundrumpricer.hpp> #include <oh/exception.hpp> *************** *** 267,271 **** /* *** VanillaCMSCouponPricer *** */ ! typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ); template<> --- 268,273 ---- /* *** VanillaCMSCouponPricer *** */ ! typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); template<> *************** *** 274,281 **** public: boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( ! const std::string& vanillaCMSCouponPricerID) { VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = getType<std::string, VanillaCMSCouponPricerConstructor>(vanillaCMSCouponPricerID); ! return vanillaCMSCouponPricerConstructor(); } }; --- 276,284 ---- public: boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( ! const std::string& vanillaCMSCouponPricerID, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = getType<std::string, VanillaCMSCouponPricerConstructor>(vanillaCMSCouponPricerID); ! return vanillaCMSCouponPricerConstructor(modelOfYieldCurve); } }; |
