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From: Ferdinando A. <na...@us...> - 2006-09-01 20:12:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19829/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: 1) renamed PseudoRoot as MarketModel 2) expanded its interface 3) code refactoring using MarketModel Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** marketmodels.hpp 1 Sep 2006 14:27:00 -0000 1.16 --- marketmodels.hpp 1 Sep 2006 20:12:32 -0000 1.17 *************** *** 21,25 **** #include <oh/objhandler.hpp> #include <ql/MarketModels/accountingengine.hpp> ! #include <ql/MarketModels/pseudoroot.hpp> #include <ql/MarketModels/evolutiondescription.hpp> #include <ql/MarketModels/curvestate.hpp> --- 21,25 ---- #include <oh/objhandler.hpp> #include <ql/MarketModels/accountingengine.hpp> ! #include <ql/MarketModels/marketmodel.hpp> #include <ql/MarketModels/evolutiondescription.hpp> #include <ql/MarketModels/curvestate.hpp> *************** *** 29,33 **** #include <ql/MarketModels/Products/marketmodelforwards.hpp> #include <ql/MarketModels/Products/marketmodelcaplets.hpp> ! #include <ql/MarketModels/PseudoRoots/expcorrabcdvol.hpp> namespace QuantLibAddin { --- 29,33 ---- #include <ql/MarketModels/Products/marketmodelforwards.hpp> #include <ql/MarketModels/Products/marketmodelcaplets.hpp> ! #include <ql/MarketModels/Models/expcorrabcdvol.hpp> namespace QuantLibAddin { *************** *** 53,60 **** }; ! class PseudoRoot : public ObjHandler::LibraryObject<QuantLib::PseudoRoot> { }; ! class ExpCorrFlatVol : public PseudoRoot { public: ExpCorrFlatVol( --- 53,60 ---- }; ! class MarketModel : public ObjHandler::LibraryObject<QuantLib::MarketModel> { }; ! class ExpCorrFlatVol : public MarketModel { public: ExpCorrFlatVol( *************** *** 68,72 **** }; ! class ExpCorrAbcdVol : public PseudoRoot { public: ExpCorrAbcdVol( --- 68,72 ---- }; ! class ExpCorrAbcdVol : public MarketModel { public: ExpCorrAbcdVol( *************** *** 143,147 **** class ForwardRateEvolver : public MarketModelEvolver { public: ! ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&, const QuantLib::EvolutionDescription&, const QuantLib::BrownianGeneratorFactory&); --- 143,147 ---- class ForwardRateEvolver : public MarketModelEvolver { public: ! ForwardRateEvolver(const boost::shared_ptr<QuantLib::MarketModel>&, const QuantLib::EvolutionDescription&, const QuantLib::BrownianGeneratorFactory&); *************** *** 150,154 **** class ForwardRateIpcEvolver : public MarketModelEvolver { public: ! ForwardRateIpcEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&, const QuantLib::EvolutionDescription&, const QuantLib::BrownianGeneratorFactory&); --- 150,154 ---- class ForwardRateIpcEvolver : public MarketModelEvolver { public: ! ForwardRateIpcEvolver(const boost::shared_ptr<QuantLib::MarketModel>&, const QuantLib::EvolutionDescription&, const QuantLib::BrownianGeneratorFactory&); Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** marketmodels.cpp 1 Sep 2006 14:27:00 -0000 1.17 --- marketmodels.cpp 1 Sep 2006 20:12:32 -0000 1.18 *************** *** 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> --- 20,25 ---- #endif #include <qlo/marketmodels.hpp> ! #include <ql/MarketModels/Models/expcorrflatvol.hpp> ! #include <ql/MarketModels/Models/expcorrabcdvol.hpp> #include <ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp> #include <ql/MarketModels/Evolvers/forwardratepcevolver.hpp> *************** *** 37,41 **** const std::vector<QuantLib::Rate>& displacements) { ! libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>( new QuantLib::ExpCorrFlatVol(longTermCorr, beta, --- 37,41 ---- const std::vector<QuantLib::Rate>& displacements) { ! libraryObject_ = boost::shared_ptr<QuantLib::MarketModel>( new QuantLib::ExpCorrFlatVol(longTermCorr, beta, *************** *** 60,64 **** const std::vector<QuantLib::Rate>& displacements) { ! libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>( new QuantLib::ExpCorrAbcdVol(a, b, c, d, ks, longTermCorr, --- 60,64 ---- const std::vector<QuantLib::Rate>& displacements) { ! libraryObject_ = boost::shared_ptr<QuantLib::MarketModel>( new QuantLib::ExpCorrAbcdVol(a, b, c, d, ks, longTermCorr, *************** *** 165,169 **** ForwardRateEvolver::ForwardRateEvolver( ! const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot, const QuantLib::EvolutionDescription& evolutionDescription, const QuantLib::BrownianGeneratorFactory& generatorFactory) --- 165,169 ---- ForwardRateEvolver::ForwardRateEvolver( ! const boost::shared_ptr<QuantLib::MarketModel>& pseudoRoot, const QuantLib::EvolutionDescription& evolutionDescription, const QuantLib::BrownianGeneratorFactory& generatorFactory) *************** *** 176,180 **** ForwardRateIpcEvolver::ForwardRateIpcEvolver( ! const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot, const QuantLib::EvolutionDescription& evolutionDescription, const QuantLib::BrownianGeneratorFactory& generatorFactory) --- 176,180 ---- ForwardRateIpcEvolver::ForwardRateIpcEvolver( ! const boost::shared_ptr<QuantLib::MarketModel>& pseudoRoot, const QuantLib::EvolutionDescription& evolutionDescription, const QuantLib::BrownianGeneratorFactory& generatorFactory) |
