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From: Eric E. <eri...@us...> - 2006-09-07 21:27:42
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13364/qlo Modified Files: Makefile.am typefactory.hpp Added Files: calendarfactory.cpp Removed Files: calendar.cpp calendar.hpp Log Message: calendar factory --- NEW FILE: calendarfactory.cpp --- /* Copyright (C) 2006 The QuantLib Group This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #include <oh/objhandlerdefines.hpp> #include <algorithm> #include <vector> #include <boost/regex.hpp> #include <qlo/typefactory.hpp> namespace QuantLibAddin { bool Create<QuantLib::Calendar>::parseID(const std::string &id) { // strip out whitespace static boost::regex regex_whitespace("\\s"); std::string idStrip = boost::regex_replace(id, regex_whitespace, ""); // parse the ID static boost::regex jointCalendarID( "([\\w:]+)(\\+|\\^)([\\w:]+)(?:\\2([\\w:]+))?(?:\\2([\\w:]+))?"); boost::smatch m; if (!boost::regex_match(idStrip, m, jointCalendarID)) return false; // derive the inputs to the JointCalendar constructor calendarIDs.push_back(m[1]); if (m[2] == "+") jointCalendarRule = QuantLib::JointCalendarRule(QuantLib::JoinBusinessDays); else // "^" jointCalendarRule = QuantLib::JointCalendarRule(QuantLib::JoinHolidays); calendarIDs.push_back(m[3]); if (m[5].matched) { calendarIDs.push_back(m[4]); calendarIDs.push_back(m[5]); } else if (m[4].matched) { calendarIDs.push_back(m[4]); } else if (m[3].matched) { ; } else { QL_FAIL("the string '" << id << "' is not a valid joint calendar identifier"); } // set the key equal to the list of sorted, delimited IDs std::sort(calendarIDs.begin(), calendarIDs.end()); std::ostringstream s; s << calendarIDs[0]; unsigned int i = 1; while (i < calendarIDs.size()) { s << m[2] << calendarIDs[i]; i++; } fullID = s.str(); return true; } QuantLib::Calendar *Create<QuantLib::Calendar>::makeJointCalendar2() { QuantLib::Calendar *calendar1 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[0])); QuantLib::Calendar *calendar2 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[1])); return new QuantLib::JointCalendar( *calendar1, *calendar2, jointCalendarRule); } QuantLib::Calendar *Create<QuantLib::Calendar>::makeJointCalendar3() { QuantLib::Calendar *calendar1 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[0])); QuantLib::Calendar *calendar2 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[1])); QuantLib::Calendar *calendar3 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[2])); return new QuantLib::JointCalendar( *calendar1, *calendar2, *calendar3, jointCalendarRule); } QuantLib::Calendar *Create<QuantLib::Calendar>::makeJointCalendar4() { QuantLib::Calendar *calendar1 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[0])); QuantLib::Calendar *calendar2 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[1])); QuantLib::Calendar *calendar3 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[2])); QuantLib::Calendar *calendar4 = static_cast<QuantLib::Calendar*>(this->getType(calendarIDs[3])); return new QuantLib::JointCalendar( *calendar1, *calendar2, *calendar3, *calendar4, jointCalendarRule); } void Create<QuantLib::Calendar>::resetParameters() { calendarIDs.clear(); fullID = ""; jointCalendarRule = QuantLib::JointCalendarRule(); } QuantLib::Calendar Create<QuantLib::Calendar>::operator()(const std::string &id) { resetParameters(); if (parseID(id)) { if (checkType(fullID)) { return *(static_cast<QuantLib::Calendar*>(this->getType(fullID))); } else { QuantLib::Calendar *jointCalendar; switch (calendarIDs.size()) { case 2: jointCalendar = makeJointCalendar2(); break; case 3: jointCalendar = makeJointCalendar3(); break; case 4: jointCalendar = makeJointCalendar4(); break; default: QL_FAIL("error creating calendar"); } registerType(fullID, jointCalendar); return *jointCalendar; } } else { return *(static_cast<QuantLib::Calendar*>(this->getType(id))); } } } Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** typefactory.hpp 7 Sep 2006 15:40:57 -0000 1.34 --- typefactory.hpp 7 Sep 2006 21:27:37 -0000 1.35 *************** *** 32,35 **** --- 32,36 ---- #include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/conundrumpricer.hpp> + #include <ql/Calendars/jointcalendar.hpp> #include <oh/exception.hpp> *************** *** 78,81 **** --- 79,87 ---- return false; } + + void registerType(const std::string& id, void *type) { + typename RegistryClass::TypeMapPtr type_map = getTypeMap(); + (*type_map)[id] = type; + } private: const typename RegistryClass::TypeMapPtr &getTypeMap() { *************** *** 94,97 **** --- 100,105 ---- /* *** Enumerated Types *** */ + + /* *** Generic *** */ template<typename T> class Create : private RegistryManager<T, EnumTypeRegistry> { *************** *** 103,106 **** --- 111,132 ---- }; + /* *** Calendar *** */ + template<> + class Create<QuantLib::Calendar> : + private RegistryManager<QuantLib::Calendar, EnumTypeRegistry> { + public: + QuantLib::Calendar operator()(const std::string& id); + using RegistryManager<QuantLib::Calendar, EnumTypeRegistry>::checkType; + private: + std::vector<std::string> calendarIDs; + QuantLib::JointCalendarRule jointCalendarRule; + std::string fullID; + void resetParameters(); + bool parseID(const std::string &id); + QuantLib::Calendar *makeJointCalendar2(); + QuantLib::Calendar *makeJointCalendar3(); + QuantLib::Calendar *makeJointCalendar4(); + }; + /* *** Enumerated Classes *** */ *************** *** 244,248 **** QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure_; }; ! // a singleton to store the Handle<YieldTermStructure> // shared by all enumerated Euribor365 classes class Euribor365Handle : public QuantLib::Singleton<Euribor365Handle> { --- 270,274 ---- QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure_; }; ! // a singleton to store the Handle<YieldTermStructure> // shared by all enumerated Euribor365 classes class Euribor365Handle : public QuantLib::Singleton<Euribor365Handle> { --- calendar.hpp DELETED --- Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Makefile.am,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Makefile.am 28 Aug 2006 10:05:25 -0000 1.3 --- Makefile.am 7 Sep 2006 21:27:37 -0000 1.4 *************** *** 14,18 **** baseinstruments.hpp \ bonds.hpp \ ! calendar.hpp \ capfloor.hpp \ capletvolstructure.hpp \ --- 14,18 ---- baseinstruments.hpp \ bonds.hpp \ ! calendarfactory.cpp \ capfloor.hpp \ capletvolstructure.hpp \ *************** *** 58,62 **** vcconfig.hpp \ vo_bonds.hpp \ - vo_calendar.hpp \ vo_capfloor.hpp \ vo_capletvolstructure.hpp \ --- 58,61 ---- *************** *** 88,92 **** barrieroption.cpp \ bonds.cpp \ - calendar.cpp \ capfloor.cpp \ capletvolstructure.cpp \ --- 87,90 ---- *************** *** 125,129 **** vanillaswap.cpp \ vo_bonds.cpp \ - vo_calendar.cpp \ vo_capfloor.cpp \ vo_capletvolstructure.cpp \ --- 123,126 ---- --- calendar.cpp DELETED --- |
