Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8933/qlo
Modified Files:
couponvectors.cpp couponvectors.hpp
Log Message:
added CMSZeroCouponVector
Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** couponvectors.hpp 5 Sep 2006 07:49:04 -0000 1.21
--- couponvectors.hpp 28 Sep 2006 16:42:41 -0000 1.22
***************
*** 102,105 ****
--- 102,124 ----
};
+ class CMSZeroCouponVector : public CouponVector {
+ public:
+ CMSZeroCouponVector(
+ 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: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** couponvectors.cpp 6 Sep 2006 12:42:02 -0000 1.31
--- couponvectors.cpp 28 Sep 2006 16:42:41 -0000 1.32
***************
*** 225,227 ****
--- 225,261 ----
}
+ CMSZeroCouponVector::CMSZeroCouponVector(
+ 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::CMSZeroCouponVector(*schedule,
+ paymentAdjustment,
+ nominals,
+ index,
+ fixingDays,
+ dayCounter,
+ spreads,
+ gearings,
+ caps,
+ floors,
+ meanReversions,
+ pricer,
+ vol);
+ }
+
+
}
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