[QuantLibAddin-cvs] QuantLibAddin/qlo marketmodels.cpp, 1.14, 1.15 marketmodels.hpp, 1.13, 1.14

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21815/qlo

Modified Files:
	marketmodels.cpp marketmodels.hpp 
Log Message:
MarketModel refactoring

Index: marketmodels.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** marketmodels.hpp	18 Aug 2006 13:43:58 -0000	1.13
--- marketmodels.hpp	21 Aug 2006 08:17:07 -0000	1.14
***************
*** 29,33 ****
  #include <ql/MarketModels/Products/marketmodelforwards.hpp>
  #include <ql/MarketModels/Products/marketmodelcaplets.hpp>
! #include <ql/MarketModels/PseudoRoots/abcdvolatility.hpp>
  
  namespace QuantLibAddin {
--- 29,33 ----
  #include <ql/MarketModels/Products/marketmodelforwards.hpp>
  #include <ql/MarketModels/Products/marketmodelcaplets.hpp>
! #include <ql/MarketModels/PseudoRoots/expcorrabcdvol.hpp>
  
  namespace QuantLibAddin {
***************
*** 36,41 ****
      public:
          EvolutionDescription(
!             const QuantLib::Array& rateTimes,
!             const QuantLib::Array& evolutionTimes,
              const std::vector<QuantLib::Size>& numeraires);
      };
--- 36,41 ----
      public:
          EvolutionDescription(
!             const std::vector<QuantLib::Time>& rateTimes,
!             const std::vector<QuantLib::Time>& evolutionTimes,
              const std::vector<QuantLib::Size>& numeraires);
      };
***************
*** 49,55 ****
      };
  
!     class ExponentialCorrelation : public PseudoRoot {
      public:
!         ExponentialCorrelation(
              double longTermCorr,
              double beta,
--- 49,55 ----
      };
  
!     class ExpCorrFlatVol : public PseudoRoot {
      public:
!         ExpCorrFlatVol(
              double longTermCorr,
              double beta,
***************
*** 57,67 ****
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const QuantLib::Array& initialRates,
!             const QuantLib::Array& displacements);
      };
  
!     class AbcdVolatility : public PseudoRoot {
      public:
!         AbcdVolatility(
              double a,
              double b,
--- 57,67 ----
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const std::vector<QuantLib::Rate>& initialRates,
!             const std::vector<QuantLib::Rate>& displacements);
      };
  
!     class ExpCorrAbcdVol : public PseudoRoot {
      public:
!         ExpCorrAbcdVol(
              double a,
              double b,
***************
*** 73,78 ****
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const QuantLib::Array& initialRates,
!             const QuantLib::Array& displacements);
      };
  
--- 73,78 ----
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const std::vector<QuantLib::Rate>& initialRates,
!             const std::vector<QuantLib::Rate>& displacements);
      };
  
***************
*** 80,84 ****
      class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> {
      public:
!         CurveState(const QuantLib::Array& rateTimes);
      };
  
--- 80,84 ----
      class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> {
      public:
!         CurveState(const std::vector<QuantLib::Time>& rateTimes);
      };
  
***************
*** 87,96 ****
      public:
          DriftCalculator(const QuantLib::Matrix& pseudo,
!                         const QuantLib::Array& displacements,
!                         const QuantLib::Array& taus,
                          QuantLib::Size numeraire,
                          QuantLib::Size alive);
! 		QuantLib::Array compute(const QuantLib::Array& forwards) const;
!         QuantLib::Array computeReduced(const QuantLib::Array& forwards,
                                         QuantLib::Size factors) const;
      private:
--- 87,96 ----
      public:
          DriftCalculator(const QuantLib::Matrix& pseudo,
!                         const std::vector<QuantLib::Rate>& displacements,
!                         const std::vector<QuantLib::Time>& taus,
                          QuantLib::Size numeraire,
                          QuantLib::Size alive);
! 		std::vector<QuantLib::Real> compute(const std::vector<QuantLib::Rate>& forwards) const;
!         std::vector<QuantLib::Real> computeReduced(const std::vector<QuantLib::Rate>& forwards,
                                         QuantLib::Size factors) const;
      private:
***************
*** 107,122 ****
      class MarketModelForwards : public MarketModelProduct {
      public:
!         MarketModelForwards(const QuantLib::Array& rateTimes,
!                             const QuantLib::Array& accruals,
!                             const QuantLib::Array& paymentTimes,
!                             const QuantLib::Array& strikes);
          //EvolutionDescription suggestedEvolution() const;
      };
      class MarketModelCaplets : public MarketModelProduct {
      public:
!         MarketModelCaplets(const QuantLib::Array& rateTimes,
!                            const QuantLib::Array& accruals,
!                            const QuantLib::Array& paymentTimes,
!                            const QuantLib::Array& strikes);
      };
  
--- 107,122 ----
      class MarketModelForwards : public MarketModelProduct {
      public:
!         MarketModelForwards(const std::vector<QuantLib::Time>& rateTimes,
!                             const std::vector<QuantLib::Real>& accruals,
!                             const std::vector<QuantLib::Time>& paymentTimes,
!                             const std::vector<QuantLib::Rate>& strikes);
          //EvolutionDescription suggestedEvolution() const;
      };
      class MarketModelCaplets : public MarketModelProduct {
      public:
!         MarketModelCaplets(const std::vector<QuantLib::Time>& rateTimes,
!                            const std::vector<QuantLib::Real>& accruals,
!                            const std::vector<QuantLib::Time>& paymentTimes,
!                            const std::vector<QuantLib::Rate>& strikes);
      };
  

Index: marketmodels.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** marketmodels.cpp	18 Aug 2006 13:43:58 -0000	1.14
--- marketmodels.cpp	21 Aug 2006 08:17:07 -0000	1.15
***************
*** 20,25 ****
  #endif
  #include <qlo/marketmodels.hpp>
! #include <ql/MarketModels/PseudoRoots/exponentialcorrelation.hpp>
! #include <ql/MarketModels/PseudoRoots/abcdvolatility.hpp>
  #include <ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp>
  #include <ql/MarketModels/Evolvers/forwardratepcevolver.hpp>
--- 20,25 ----
  #endif
  #include <qlo/marketmodels.hpp>
! #include <ql/MarketModels/PseudoRoots/expcorrflatvol.hpp>
! #include <ql/MarketModels/PseudoRoots/expcorrabcdvol.hpp>
  #include <ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp>
  #include <ql/MarketModels/Evolvers/forwardratepcevolver.hpp>
***************
*** 28,32 ****
  namespace QuantLibAddin {
  
!     ExponentialCorrelation::ExponentialCorrelation(
              double longTermCorr,
              double beta,
--- 28,32 ----
  namespace QuantLibAddin {
  
!     ExpCorrFlatVol::ExpCorrFlatVol(
              double longTermCorr,
              double beta,
***************
*** 34,42 ****
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const QuantLib::Array& initialRates,
!             const QuantLib::Array& displacements)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>(
!             new QuantLib::ExponentialCorrelation(longTermCorr,
                                                   beta,
                                                   volatilities,
--- 34,42 ----
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const std::vector<QuantLib::Rate>& initialRates,
!             const std::vector<QuantLib::Rate>& displacements)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>(
!             new QuantLib::ExpCorrFlatVol(longTermCorr,
                                                   beta,
                                                   volatilities,
***************
*** 47,51 ****
      }
  
!     AbcdVolatility::AbcdVolatility(
              double a,
              double b,
--- 47,51 ----
      }
  
!     ExpCorrAbcdVol::ExpCorrAbcdVol(
              double a,
              double b,
***************
*** 57,65 ****
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const QuantLib::Array& initialRates,
!             const QuantLib::Array& displacements)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>(
!             new QuantLib::AbcdVolatility(a, b, c, d, ks,
                                           longTermCorr,
                                           beta,
--- 57,65 ----
              const QuantLib::EvolutionDescription& evolution,
              const QuantLib::Size numberOfFactors,
!             const std::vector<QuantLib::Rate>& initialRates,
!             const std::vector<QuantLib::Rate>& displacements)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>(
!             new QuantLib::ExpCorrAbcdVol(a, b, c, d, ks,
                                           longTermCorr,
                                           beta,
***************
*** 78,83 ****
  
      EvolutionDescription::EvolutionDescription(
!             const QuantLib::Array& rateTimes,
!             const QuantLib::Array& evolutionTimes,
              const std::vector<QuantLib::Size>& numeraires = std::vector<QuantLib::Size>())
      {
--- 78,83 ----
  
      EvolutionDescription::EvolutionDescription(
!             const std::vector<QuantLib::Time>& rateTimes,
!             const std::vector<QuantLib::Time>& evolutionTimes,
              const std::vector<QuantLib::Size>& numeraires = std::vector<QuantLib::Size>())
      {
***************
*** 89,93 ****
  
  
!     CurveState::CurveState(const QuantLib::Array& rateTimes)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::CurveState>(
--- 89,93 ----
  
  
!     CurveState::CurveState(const std::vector<QuantLib::Time>& rateTimes)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::CurveState>(
***************
*** 96,101 ****
  
      DriftCalculator::DriftCalculator(const QuantLib::Matrix& pseudo,
!                                      const QuantLib::Array& displacements,
!                                      const QuantLib::Array& taus,
                                       QuantLib::Size numeraire,
                                       QuantLib::Size alive)
--- 96,101 ----
  
      DriftCalculator::DriftCalculator(const QuantLib::Matrix& pseudo,
!                                      const std::vector<QuantLib::Rate>& displacements,
!                                      const std::vector<QuantLib::Time>& taus,
                                       QuantLib::Size numeraire,
                                       QuantLib::Size alive)
***************
*** 107,121 ****
      }
  
!     QuantLib::Array DriftCalculator::compute(const QuantLib::Array& forwards) const
      {
!         QuantLib::Array results(size_);
          libraryObject_->compute(forwards, results);
          return results;
      }
  
!     QuantLib::Array DriftCalculator::computeReduced(const QuantLib::Array& forwards,
  													QuantLib::Size factors) const
      {
!         QuantLib::Array results(size_);
          libraryObject_->computeReduced(forwards, factors, results);
          return results;
--- 107,121 ----
      }
  
!     std::vector<QuantLib::Real> DriftCalculator::compute(const std::vector<QuantLib::Rate>& forwards) const
      {
!         std::vector<QuantLib::Real> results(size_);
          libraryObject_->compute(forwards, results);
          return results;
      }
  
!     std::vector<QuantLib::Real> DriftCalculator::computeReduced(const std::vector<QuantLib::Rate>& forwards,
  													QuantLib::Size factors) const
      {
!         std::vector<QuantLib::Real> results(size_);
          libraryObject_->computeReduced(forwards, factors, results);
          return results;
***************
*** 125,132 ****
  
      MarketModelForwards::MarketModelForwards(
!         const QuantLib::Array& rateTimes,
!         const QuantLib::Array& accruals,
!         const QuantLib::Array& paymentTimes,
!         const QuantLib::Array& strikes)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>(
--- 125,132 ----
  
      MarketModelForwards::MarketModelForwards(
!         const std::vector<QuantLib::Time>& rateTimes,
!         const std::vector<QuantLib::Real>& accruals,
!         const std::vector<QuantLib::Time>& paymentTimes,
!         const std::vector<QuantLib::Rate>& strikes)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>(
***************
*** 143,150 ****
      //}
  
!     MarketModelCaplets::MarketModelCaplets(const QuantLib::Array& rateTimes,
!                        const QuantLib::Array& accruals,
!                        const QuantLib::Array& paymentTimes,
!                        const QuantLib::Array& strikes)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>(
--- 143,150 ----
      //}
  
!     MarketModelCaplets::MarketModelCaplets(const std::vector<QuantLib::Time>& rateTimes,
!                        const std::vector<QuantLib::Real>& accruals,
!                        const std::vector<QuantLib::Time>& paymentTimes,
!                        const std::vector<QuantLib::Rate>& strikes)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>(