[QuantLibAddin-cvs] QuantLibAddin/qlo couponvectors.cpp, 1.26, 1.27 couponvectors.hpp, 1.19, 1.20 optimization.cpp, 1.5, 1.6 optimization.hpp, 1.3, 1.4 typefactory.hpp, 1.30, 1.31

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2547/qlo

Modified Files:
	couponvectors.cpp couponvectors.hpp optimization.cpp 
	optimization.hpp typefactory.hpp 
Log Message:
restoring back functionalities

Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** couponvectors.hpp	28 Aug 2006 12:04:52 -0000	1.19
--- couponvectors.hpp	28 Aug 2006 15:56:17 -0000	1.20
***************
*** 24,28 ****
  #include <qlo/index.hpp>
  #include <ql/CashFlows/cashflowvectors.hpp>
! //#include <ql/CashFlows/cmscoupon.hpp>
  #include <ql/CashFlows/analysis.hpp>
  
--- 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>
  
***************
*** 66,101 ****
      };
  
!     //class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> {
!     //    public:
!     //    VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer,
!     //                           const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
!     //    boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject()
!     //    {
!     //        return libraryObject_;
!     //    }
!     //};
  
!     //class ConundrumPricer : public VanillaCMSCouponPricer {
!     //  public:
!     //      ConundrumPricer(const std::string &typeOfVanillaCMSCouponPricer);
!     //};
      
!     //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();        
!     //};
  
  }
--- 67,103 ----
      };
  
!     class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> {
!         public:
!         VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer,
!                                const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
!         boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject()
!         {
!             return libraryObject_;
!         }
!     };
  
!     class ConundrumPricer : public VanillaCMSCouponPricer {
!       public:
!           ConundrumPricer(const std::string &typeOfVanillaCMSCouponPricer);
!     };
      
!     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);
!     };
  
  }

Index: optimization.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.hpp,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** optimization.hpp	28 Aug 2006 10:05:25 -0000	1.3
--- optimization.hpp	28 Aug 2006 15:56:17 -0000	1.4
***************
*** 36,46 ****
          QuantLib::OptimizationMethod> {};
  
!     //class ConjugateGradient : public OptimizationMethod
!     //{
!     //  public:
!     //    ConjugateGradient(const QuantLib::EndCriteria& endCriteria,
!     //                      const QuantLib::Array& initialValue,
!     //                      const boost::shared_ptr<QuantLib::LineSearch>& lineSearch);
!     //};
  
      class LevenbergMarquardt : public OptimizationMethod
--- 36,46 ----
          QuantLib::OptimizationMethod> {};
  
!     class ConjugateGradient : public OptimizationMethod
!     {
!       public:
!         ConjugateGradient(const QuantLib::EndCriteria& endCriteria,
!                           const QuantLib::Array& initialValue,
!                           const boost::shared_ptr<QuantLib::LineSearch>& lineSearch);
!     };
  
      class LevenbergMarquardt : public OptimizationMethod

Index: optimization.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.cpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** optimization.cpp	28 Aug 2006 10:05:25 -0000	1.5
--- optimization.cpp	28 Aug 2006 15:56:17 -0000	1.6
***************
*** 36,49 ****
  
  
!     //ConjugateGradient::ConjugateGradient(
!     //    const QuantLib::EndCriteria& endCriteria,
!     //    const QuantLib::Array& initialValue,
!     //    const boost::shared_ptr<QuantLib::LineSearch>& lineSearch)
!     //{
!     //    libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
!     //                            new QuantLib::ConjugateGradient(endCriteria,
!     //                                                            initialValue,
!     //                                                            lineSearch));
!     //}
  
      LevenbergMarquardt::LevenbergMarquardt()
--- 36,49 ----
  
  
!     ConjugateGradient::ConjugateGradient(
!         const QuantLib::EndCriteria& endCriteria,
!         const QuantLib::Array& initialValue,
!         const boost::shared_ptr<QuantLib::LineSearch>& lineSearch)
!     {
!         libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
!                                 new QuantLib::ConjugateGradient(endCriteria,
!                                                                 initialValue,
!                                                                 lineSearch));
!     }
  
      LevenbergMarquardt::LevenbergMarquardt()

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** couponvectors.cpp	28 Aug 2006 12:04:52 -0000	1.26
--- couponvectors.cpp	28 Aug 2006 15:56:17 -0000	1.27
***************
*** 166,225 ****
      }
  
!     //VanillaCMSCouponPricer::VanillaCMSCouponPricer(
!     //    const std::string &typeOfVanillaCMSCouponPricer,
!     //    const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve)
!     //{
!     //    libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >()
!     //        (typeOfVanillaCMSCouponPricer,modelOfYieldCurve);
!     //}
! 
!     //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;
!     //}
  
  }
- 
--- 166,209 ----
      }
  
!     VanillaCMSCouponPricer::VanillaCMSCouponPricer(
!         const std::string &typeOfVanillaCMSCouponPricer,
!         const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve)
!     {
!         libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >()
!             (typeOfVanillaCMSCouponPricer,modelOfYieldCurve);
!     }
  
!     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);
!     }
  
  }

Index: typefactory.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v
retrieving revision 1.30
retrieving revision 1.31
diff -C2 -d -r1.30 -r1.31
*** typefactory.hpp	28 Aug 2006 15:20:45 -0000	1.30
--- typefactory.hpp	28 Aug 2006 15:56:17 -0000	1.31
***************
*** 260,279 ****
      };
  
!     ///* *** VanillaCMSCouponPricer *** */
!     //typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( 
!     //                 const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
  
!     //template<>
!     //class Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> > :
!     //    private RegistryManager<QuantLib::VanillaCMSCouponPricer, EnumClassRegistry> {
!     //public:
!     //    boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() (
!     //            const std::string& vanillaCMSCouponPricerID,
!     //            const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) {
!     //        VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor =
!     //            (VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID));
!     //        return vanillaCMSCouponPricerConstructor(modelOfYieldCurve);
!     //    }
!     //};
      
      ///* *** InterestRateIndex *** */
--- 260,279 ----
      };
  
!     /* *** VanillaCMSCouponPricer *** */
!     typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( 
!                      const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
  
!     template<>
!     class Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> > :
!         private RegistryManager<QuantLib::VanillaCMSCouponPricer, EnumClassRegistry> {
!     public:
!         boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() (
!                 const std::string& vanillaCMSCouponPricerID,
!                 const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) {
!             VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor =
!                 (VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID));
!             return vanillaCMSCouponPricerConstructor(modelOfYieldCurve);
!         }
!     };
      
      ///* *** InterestRateIndex *** */