[QuantLibAddin-cvs] QuantLibAddin/qlo couponvectors.cpp, 1.24, 1.25 couponvectors.hpp, 1.17, 1.18

[Eric E. <eri...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19928

Modified Files:
	couponvectors.cpp couponvectors.hpp 
Log Message:
merge R000313f0-branch

Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** couponvectors.hpp	21 Aug 2006 13:53:10 -0000	1.17
--- couponvectors.hpp	28 Aug 2006 10:11:00 -0000	1.18
***************
*** 24,29 ****
  #include <qlo/index.hpp>
  #include <ql/CashFlows/cashflowvectors.hpp>
! #include <ql/CashFlows/cmscoupon.hpp>
! #include <ql/CashFlows/conundrumpricer.hpp>
  #include <ql/CashFlows/analysis.hpp>
  
--- 24,28 ----
  #include <qlo/index.hpp>
  #include <ql/CashFlows/cashflowvectors.hpp>
! //#include <ql/CashFlows/cmscoupon.hpp>
  #include <ql/CashFlows/analysis.hpp>
  
***************
*** 82,104 ****
      //};
      
!     class CMSCouponVector : public CouponVector {
!       public:
!             CMSCouponVector(
!                 const boost::shared_ptr<QuantLib::Schedule>& schedule,
!                 QuantLib::BusinessDayConvention paymentAdjustment,
!                 const std::vector<QuantLib::Real>& nominals,
!                 const boost::shared_ptr<QuantLib::SwapIndex>& index,
!                 QuantLib::Integer fixingDays,
!                 const QuantLib::DayCounter& dayCounter,
!                 const std::vector<QuantLib::Real>& spreads,
!                 const std::vector<QuantLib::Real>& gearings,
!                 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);
!     };
  }
  
  #endif
--- 81,104 ----
      //};
      
!     //class CMSCouponVector : public CouponVector {
!     //  public:
!     //        CMSCouponVector(
!     //            const boost::shared_ptr<QuantLib::Schedule>& schedule,
!     //            QuantLib::BusinessDayConvention paymentAdjustment,
!     //            const std::vector<QuantLib::Real>& nominals,
!     //            const boost::shared_ptr<QuantLib::SwapIndex>& index,
!     //            QuantLib::Integer fixingDays,
!     //            const QuantLib::DayCounter& dayCounter,
!     //            const std::vector<QuantLib::Real>& baseRates,
!     //            const std::vector<QuantLib::Real>& fractions,
!     //            const std::vector<QuantLib::Real>& caps,
!     //            const std::vector<QuantLib::Real>& floors,
!     //            const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!     //            QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment);
!     //    virtual std::vector<std::vector<double> > getLeg();        
!     //};
! 
  }
  
  #endif
+ 

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** couponvectors.cpp	22 Aug 2006 18:40:22 -0000	1.24
--- couponvectors.cpp	28 Aug 2006 10:11:00 -0000	1.25
***************
*** 174,209 ****
      }
  
!     CMSCouponVector::CMSCouponVector(
!                 const boost::shared_ptr<QuantLib::Schedule>& schedule,
!                 QuantLib::BusinessDayConvention paymentAdjustment,
!                 const std::vector<QuantLib::Real>& nominals,
!                 const boost::shared_ptr<QuantLib::SwapIndex>& index,
!                 QuantLib::Integer fixingDays,
!                 const QuantLib::DayCounter& dayCounter,
!                 const std::vector<QuantLib::Real>& spreads,
!                 const std::vector<QuantLib::Real>& gearings,
!                 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,
!                                                     paymentAdjustment,
!                                                     nominals,
!                                                     index,
!                                                     fixingDays,
!                                                     dayCounter,
!                                                     spreads,
!                                                     gearings,
!                                                     caps,
!                                                     floors,
!                                                     meanReversions,
!                                                     pricer,
!                                                     vol);
!     }
  
  }
--- 174,225 ----
      }
  
!     //CMSCouponVector::CMSCouponVector(
!     //    const boost::shared_ptr<QuantLib::Schedule>& schedule,
!     //    QuantLib::BusinessDayConvention paymentAdjustment,
!     //    const std::vector<QuantLib::Real>& nominals,
!     //    const boost::shared_ptr<QuantLib::SwapIndex>& index,
!     //    QuantLib::Integer fixingDays,
!     //    const QuantLib::DayCounter& dayCounter,
!     //    const std::vector<QuantLib::Rate>& baseRates,
!     //    const std::vector<QuantLib::Real>& fractions,
!     //    const std::vector<QuantLib::Rate>& caps,
!     //    const std::vector<QuantLib::Rate>& floors,
!     //    const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!     //    QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment)
!     //{
!     //    cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
!     //                                                paymentAdjustment,
!     //                                                nominals,
!     //                                                index,
!     //                                                fixingDays,
!     //                                                dayCounter,
!     //                                                baseRates,
!     //                                                fractions,
!     //                                                caps,
!     //                                                floors,
!     //                                                vol,
!     //                                                typeOfConvexityAdjustment);
!     //}
  
!     //std::vector<std::vector<double> > CMSCouponVector::getLeg()
!     //{
!     //    std::vector<std::vector<double> > leg;
!     //    for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) {
!     //        std::vector<double> cf;
!     //        QuantLib::ParCoupon& c =
!     //            (QuantLib::ParCoupon&) *(cashFlowVector_[i]);
!     //        cf.push_back(c.accrualStartDate().serialNumber());
!     //        cf.push_back(c.accrualEndDate().serialNumber());
!     //        cf.push_back(c.date().serialNumber());
!     //        cf.push_back(c.fixingDate().serialNumber());
!     //        cf.push_back(c.accrualPeriod());
!     //        cf.push_back(c.accrualDays());
!     //        cf.push_back(c.amount());
!     //        cf.push_back(c.indexFixing());
!     //        leg.push_back(cf);
!     //    }
!     //    return leg;
!     //}
  
  }
+