|
From: Eric E. <eri...@us...> - 2006-08-28 10:05:56
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17144/Clients/C Modified Files: ClientCDemo_vc8.vcproj qlademo.c Log Message: merge R000313f0-branch Index: qlademo.c =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/qlademo.c,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** qlademo.c 16 Jul 2006 10:42:39 -0000 1.2 --- qlademo.c 28 Aug 2006 10:05:22 -0000 1.3 *************** *** 1,5 **** /* ! Copyright (C) 2004, 2005 Eric Ehlers This file is part of QuantLib, a free-software/open-source library --- 1,5 ---- /* ! Copyright (C) 2004, 2005, 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library *************** *** 26,43 **** double underlying = 36; double strike = 40; ! long exerciseDate = 43903; // (13, March, 2020); ! long settlementDate = 43537; // (13, March, 2019); char returnString[100]; ! Boolean returnCode; Varies dummy; - Varies logLevel; dummy.type = LONG; dummy.data.AsLong = 0; - logLevel.type = LONG; - logLevel.data.AsLong = 4; ! ohSetLogFile("quantlib.log", logLevel, &returnCode); // specify log file ! ohSetConsole(1, logLevel, &returnCode); // log messages to stdout ! ohLogMessage("begin example program", logLevel, &returnCode); if (qlBlackConstantVol( --- 26,42 ---- double underlying = 36; double strike = 40; ! long exerciseDate = 36297; // (17, May, 1999); ! long settlementDate = 35932; // (17, May, 1998); char returnString[100]; ! long logLevel = 4; ! Boolean result; Varies dummy; dummy.type = LONG; dummy.data.AsLong = 0; ! initialize(); ! ohSetLogFile("quantlib.log", logLevel, returnString); // specify log file ! ohSetConsole(1, logLevel, &result); // log messages to stdout ! ohLogMessage("begin example program", logLevel, &result); if (qlBlackConstantVol( *************** *** 45,51 **** settlementDate, volatility, ! "Actual360", returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackConstantVol", logLevel, &returnCode); goto fail; } --- 44,51 ---- settlementDate, volatility, ! "Actual/365 (Fixed)", ! dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackConstantVol", logLevel, &result); goto fail; } *************** *** 55,74 **** "my_blackconstantvol", underlying, ! "Actual360", settlementDate, riskFreeRate, dividendYield, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackScholesProcess", logLevel, &returnCode); goto fail; } ! if (qlAmericanExercise( "my_exercise", ! settlementDate, ! exerciseDate, dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &returnCode); goto fail; } --- 55,94 ---- "my_blackconstantvol", underlying, ! "Actual/365 (Fixed)", settlementDate, riskFreeRate, dividendYield, + dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackScholesProcess", logLevel, &result); goto fail; } ! if (qlEuropeanExercise( "my_exercise", ! exerciseDate, dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &result); ! goto fail; ! } ! ! if (qlStrikedTypePayoff( ! "my_payoff", ! "vanilla", ! "put", ! strike, ! dummy, ! returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &result); ! goto fail; ! } ! ! if (qlPricingEngine( ! "my_engine", ! "AE", // analytic european ! dummy, ! returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &result); goto fail; } *************** *** 77,95 **** "my_option", // option object ID "my_stochastic", // stochastic process object ID ! "Put", // option type ! "Vanilla", // payoff type ! strike, // strike price "my_exercise", // exercise object ID ! "JR", // engine type (jarrow rudd) dummy, // time steps returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlVanillaOption", logLevel, &returnCode); goto fail; } ! ohLogMessage("high-level interrogation - after qlVanillaOption", logLevel, &returnCode); ! ohLogObject("my_option", &returnCode); ! ohLogMessage("end example program", logLevel, &returnCode); return 0; --- 97,113 ---- "my_option", // option object ID "my_stochastic", // stochastic process object ID ! "my_payoff", // payoff object ID "my_exercise", // exercise object ID ! "my_engine", // engine object ID dummy, // time steps returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlVanillaOption", logLevel, &result); goto fail; } ! ohLogMessage("high-level interrogation - after qlVanillaOption", logLevel, &result); ! ohLogObject("my_option", &result); ! ohLogMessage("end example program", logLevel, &result); return 0; Index: ClientCDemo_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/ClientCDemo_vc8.vcproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** ClientCDemo_vc8.vcproj 11 Jun 2006 18:16:49 -0000 1.3 --- ClientCDemo_vc8.vcproj 28 Aug 2006 10:05:22 -0000 1.4 *************** *** 45,49 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" --- 45,49 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" *************** *** 137,141 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" --- 137,141 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" *************** *** 232,236 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" --- 232,236 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" *************** *** 324,328 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" --- 324,328 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" |
