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From: Giorgio F. <gi...@us...> - 2006-09-12 09:38:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5556/qlo Added Files: cmsmarket.cpp cmsmarket.hpp vo_cmsmarket.cpp vo_cmsmarket.hpp Log Message: Added files --- NEW FILE: cmsmarket.hpp --- /* Copyright (C) 2006 Giorgio Facchinetti 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. */ #ifndef qla_cmsmarket_hpp #define qla_cmsmarket_hpp #include <oh/objhandler.hpp> #include <ql/swaptionvolstructure.hpp> //#include <ql/Volatilities/swaptionvolcubebysabr.hpp> #include <ql/Volatilities/cmsmarket.hpp> #include <ql/termstructure.hpp> #include <ql/CashFlows/conundrumpricer.hpp> namespace QuantLibAddin { class CmsMarket: public ObjHandler::LibraryObject<QuantLib::CmsMarket>{ public: CmsMarket( const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, const QuantLib::Matrix& bidsAsks, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volStructure, const std::string & typeOfVanillaCMSCouponPricer, const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); }; } #endif --- NEW FILE: cmsmarket.cpp --- /* Copyright (C) 2006 Giorgio Facchinetti 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. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <qlo/cmsmarket.hpp> #include <qlo/couponvectors.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> namespace QuantLibAddin { CmsMarket::CmsMarket( const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, const QuantLib::Matrix& bidsAsks, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volStructure, const std::string & typeOfVanillaCMSCouponPricer, const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject(); libraryObject_ = boost::shared_ptr<QuantLib::CmsMarket>( new QuantLib::CmsMarket( expiries, lengths, bidsAsks, meanReversions, pricer, yieldTermStructure, volStructure)); } } --- NEW FILE: vo_cmsmarket.hpp --- /* Copyright (C) 2005, 2006 Plamen Neykov 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. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #ifndef qla_vo_cmsmarket_hpp #define qla_vo_cmsmarket_hpp #include <oh/valueobject.hpp> #include <string> #include <vector> #include <boost/any.hpp> namespace QuantLibAddin { namespace ValueObjects { class qlCmsMarket : public ObjHandler::ValueObject { public: qlCmsMarket( const std::string& objectID, const std::vector<std::string>& expiries, const std::vector<std::string>& swapLengths, const std::vector<std::vector <double> >& bidsAsks, const std::vector<std::vector <double> >& meanReversions, const std::string& YTStructure, const std::string& volStructure, const std::string& VanillaCMSCouponPricerType, const std::string& modelOfYieldCurve); std::vector<std::string> getPropertyNames() const; boost::any getProperty(const std::string& name) const; protected: static const char* mPropertyNames[]; std::string objectID_; std::vector<std::string> expiries_; std::vector<std::string> swapLengths_; std::vector<std::vector <double> > bidsAsks_; std::vector<std::vector <double> > meanReversions_; std::string YTStructure_; std::string volStructure_; std::string VanillaCMSCouponPricerType_; std::string modelOfYieldCurve_; }; } } #endif --- NEW FILE: vo_cmsmarket.cpp --- /* Copyright (C) 2005, 2006 Plamen Neykov 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. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> #include <qlo/conversions.hpp> #include <qlo/cmsmarket.hpp> #include <qlo/vo_cmsmarket.hpp> namespace QuantLibAddin { namespace ValueObjects { const char* qlCmsMarket::mPropertyNames[] = { "objectID", "expiries", "swapLengths", "bidsAsks", "meanReversions", "YTStructure", "volStructure", "VanillaCMSCouponPricerType", "modelOfYieldCurve"}; std::vector<std::string> qlCmsMarket::getPropertyNames() const { return std::vector<std::string>( mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*)); } boost::any qlCmsMarket::getProperty(const std::string& name) const { if(name == "objectID") return objectID_; else if(name == "expiries") return expiries_; else if(name == "swapLengths") return swapLengths_; else if(name == "bidsAsks") return bidsAsks_; else if(name == "meanReversions") return meanReversions_; else if(name == "YTStructure") return YTStructure_; else if(name == "volStructure") return volStructure_; else if(name == "VanillaCMSCouponPricerType") return VanillaCMSCouponPricerType_; else if(name == "modelOfYieldCurve") return modelOfYieldCurve_; else throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'"); return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */ } qlCmsMarket::qlCmsMarket( const std::string& objectID, const std::vector<std::string>& expiries, const std::vector<std::string>& swapLengths, const std::vector<std::vector <double> >& bidsAsks, const std::vector<std::vector <double> >& meanReversions, const std::string& YTStructure, const std::string& volStructure, const std::string& VanillaCMSCouponPricerType, const std::string& modelOfYieldCurve) : objectID_(objectID), expiries_(expiries), swapLengths_(swapLengths), bidsAsks_(bidsAsks), meanReversions_(meanReversions), YTStructure_(YTStructure), volStructure_(volStructure), VanillaCMSCouponPricerType_(VanillaCMSCouponPricerType), modelOfYieldCurve_(modelOfYieldCurve) {} } } |
