[QuantLibAddin-cvs] QuantLibAddin/qlo capfloor.cpp, 1.8, 1.9 capfloor.hpp, 1.7, 1.8 couponvectors.cpp, 1.33, 1.34 couponvectors.hpp, 1.23, 1.24 swap.cpp, 1.14, 1.15 swap.hpp, 1.11, 1.12

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6488/qlo

Modified Files:
	capfloor.cpp capfloor.hpp couponvectors.cpp couponvectors.hpp 
	swap.cpp swap.hpp 
Log Message:
toward multi-leg swap

Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.23
retrieving revision 1.24
diff -C2 -d -r1.23 -r1.24
*** couponvectors.hpp	29 Sep 2006 10:07:27 -0000	1.23
--- couponvectors.hpp	5 Oct 2006 14:42:51 -0000	1.24
***************
*** 31,43 ****
  namespace QuantLibAddin {
      
!     typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > CashFlowVector;
  
!     std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector);
          
!     class CouponVector : public ObjHandler::Object {
      public:
          double getBPS(
              const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const;
!         const CashFlowVector& getVector();        
          const std::vector<std::vector<boost::any> > getLeg()
          {
--- 31,43 ----
  namespace QuantLibAddin {
      
!     typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > Leg;
  
!     std::vector<std::vector<boost::any> > flowAnalysis(Leg);
          
!     class LegWrapper : public ObjHandler::Object {
      public:
          double getBPS(
              const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const;
!         const Leg& getVector();        
          const std::vector<std::vector<boost::any> > getLeg()
          {
***************
*** 45,52 ****
          }
        protected:
!         CashFlowVector cashFlowVector_;
      };
      
!     class FixedRateCouponVector : public CouponVector {
        public:
          FixedRateCouponVector(
--- 45,52 ----
          }
        protected:
!         Leg cashFlowVector_;
      };
      
!     class FixedRateCouponVector : public LegWrapper {
        public:
          FixedRateCouponVector(
***************
*** 58,62 ****
      };
      
!     class FloatingRateCouponVector : public CouponVector {
        public:
          FloatingRateCouponVector(
--- 58,62 ----
      };
      
!     class FloatingRateCouponVector : public LegWrapper {
        public:
          FloatingRateCouponVector(
***************
*** 83,87 ****
      };
      
!     class CMSCouponVector : public CouponVector {
        public:
              CMSCouponVector(
--- 83,87 ----
      };
      
!     class CMSCouponVector : public LegWrapper {
        public:
              CMSCouponVector(
***************
*** 102,106 ****
      };
  
!     class CMSZeroCouponVector : public CouponVector {
        public:
              CMSZeroCouponVector(
--- 102,106 ----
      };
  
!     class CMSZeroCouponVector : public LegWrapper {
        public:
              CMSZeroCouponVector(
***************
*** 121,125 ****
      };
  
!     class CMSInArrearsCouponVector : public CouponVector {
        public:
              CMSInArrearsCouponVector(
--- 121,125 ----
      };
  
!     class CMSInArrearsCouponVector : public LegWrapper {
        public:
              CMSInArrearsCouponVector(

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.33
retrieving revision 1.34
diff -C2 -d -r1.33 -r1.34
*** couponvectors.cpp	29 Sep 2006 10:07:27 -0000	1.33
--- couponvectors.cpp	5 Oct 2006 14:42:51 -0000	1.34
***************
*** 34,38 ****
  namespace QuantLibAddin {
  
!     std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector cashflows)
      {
          std::vector<std::vector<boost::any> > flowAnalysis_;
--- 34,38 ----
  namespace QuantLibAddin {
  
!     std::vector<std::vector<boost::any> > flowAnalysis(Leg cashflows)
      {
          std::vector<std::vector<boost::any> > flowAnalysis_;
***************
*** 140,144 ****
      }
  
!     double CouponVector::getBPS(const QuantLib::Handle<
          QuantLib::YieldTermStructure>& hYTS) const
      {
--- 140,144 ----
      }
  
!     double LegWrapper::getBPS(const QuantLib::Handle<
          QuantLib::YieldTermStructure>& hYTS) const
      {
***************
*** 147,151 ****
  
  
!     const CashFlowVector& CouponVector::getVector()
      {
          return cashFlowVector_;
--- 147,151 ----
  
  
!     const Leg& LegWrapper::getVector()
      {
          return cashFlowVector_;

Index: capfloor.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** capfloor.cpp	31 Jul 2006 18:17:37 -0000	1.8
--- capfloor.cpp	5 Oct 2006 14:42:51 -0000	1.9
***************
*** 28,32 ****
      CapFloor::CapFloor(
                   QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<CouponVector>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& capRates,
                   const std::vector<QuantLib::Rate>& floorRates,
--- 28,32 ----
      CapFloor::CapFloor(
                   QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<LegWrapper>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& capRates,
                   const std::vector<QuantLib::Rate>& floorRates,
***************
*** 34,38 ****
                   const boost::shared_ptr<QuantLib::PricingEngine>& engine)
      {
!         const CashFlowVector& floatingLeg = floatingLegWrapper->getVector();
          libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(
              new QuantLib::CapFloor(type,
--- 34,38 ----
                   const boost::shared_ptr<QuantLib::PricingEngine>& engine)
      {
!         const Leg& floatingLeg = floatingLegWrapper->getVector();
          libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(
              new QuantLib::CapFloor(type,

Index: capfloor.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** capfloor.hpp	31 Jul 2006 18:17:37 -0000	1.7
--- capfloor.hpp	5 Oct 2006 14:42:51 -0000	1.8
***************
*** 29,33 ****
        public:
          CapFloor(QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<CouponVector>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& capRates,
                   const std::vector<QuantLib::Rate>& floorRates,
--- 29,33 ----
        public:
          CapFloor(QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<LegWrapper>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& capRates,
                   const std::vector<QuantLib::Rate>& floorRates,

Index: swap.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** swap.cpp	31 Jul 2006 18:17:37 -0000	1.14
--- swap.cpp	5 Oct 2006 14:42:51 -0000	1.15
***************
*** 29,42 ****
  namespace QuantLibAddin {
  
!     Swap::Swap(const boost::shared_ptr<CouponVector>& paidLegWrapper,
!                const boost::shared_ptr<CouponVector>& recvLegWrapper,
                 const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS)
      {
!         const CashFlowVector& paidLeg = paidLegWrapper->getVector();
!         const CashFlowVector& recvLeg = recvLegWrapper->getVector();
          libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(
              new QuantLib::Swap(hYTS, paidLeg, recvLeg));
      }
  
      std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i)
      {
--- 29,53 ----
  namespace QuantLibAddin {
  
!     Swap::Swap(const boost::shared_ptr<LegWrapper>& paidLegWrapper,
!                const boost::shared_ptr<LegWrapper>& recvLegWrapper,
                 const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS)
      {
!         const Leg& paidLeg = paidLegWrapper->getVector();
!         const Leg& recvLeg = recvLegWrapper->getVector();
          libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(
              new QuantLib::Swap(hYTS, paidLeg, recvLeg));
      }
  
+     Swap::Swap(const std::vector<boost::shared_ptr<LegWrapper> >& legWrappers,
+                const std::vector<bool>& payer,
+                const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) {
+ 
+         std::vector<Leg> legs(legWrappers.size());
+         for (QuantLib::Size i = 0; i<legWrappers.size(); ++i)
+             legs[i] = legWrappers[i]->getVector();
+         libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(
+             new QuantLib::Swap(hYTS, legs, payer));
+     }
+ 
      std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i)
      {

Index: swap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** swap.hpp	31 Jul 2006 18:17:37 -0000	1.11
--- swap.hpp	5 Oct 2006 14:42:51 -0000	1.12
***************
*** 30,35 ****
      class Swap : public Instrument {
        public:
!         Swap(const boost::shared_ptr<CouponVector>& paidLegWrapper,
!              const boost::shared_ptr<CouponVector>& recvLegWrapper,
               const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
  
--- 30,38 ----
      class Swap : public Instrument {
        public:
!         Swap(const boost::shared_ptr<LegWrapper>& paidLegWrapper,
!              const boost::shared_ptr<LegWrapper>& recvLegWrapper,
!              const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
!         Swap(const std::vector<boost::shared_ptr<LegWrapper> >& legWrappers,
!              const std::vector<bool>& payer,
               const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);