Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29102/qlo
Modified Files:
ratehelpers.cpp ratehelpers.hpp
Log Message:
Index: ratehelpers.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ratehelpers.hpp 9 Oct 2006 15:48:19 -0000 1.5
--- ratehelpers.hpp 11 Oct 2006 11:46:32 -0000 1.6
***************
*** 30,37 ****
class RateHelper : public ObjHandler::LibraryObject<QuantLib::RateHelper> {
- public:
- double setQuote(double quote);
protected:
- boost::shared_ptr<QuantLib::SimpleQuote> quote_;
QuantLib::Handle<QuantLib::Quote> quoteHandle_;
};
--- 30,34 ----
***************
*** 40,44 ****
public:
DepositRateHelper(
! const double quote,
const QuantLib::Period& p,
const long fixingDays,
--- 37,41 ----
public:
DepositRateHelper(
! const QuantLib::Handle<QuantLib::Quote>& quote,
const QuantLib::Period& p,
const long fixingDays,
***************
*** 51,55 ****
public:
FuturesRateHelper(
! const double price,
const std::string& immDateID,
const QuantLib::Integer months,
--- 48,52 ----
public:
FuturesRateHelper(
! const QuantLib::Handle<QuantLib::Quote>& price,
const std::string& immDateID,
const QuantLib::Integer months,
***************
*** 57,64 ****
const QuantLib::BusinessDayConvention& bDayConvention,
const QuantLib::DayCounter& dayCounter,
! const QuantLib::Rate convAdj);
! QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj);
protected:
- boost::shared_ptr<QuantLib::SimpleQuote> convAdj_;
QuantLib::Handle<QuantLib::Quote> convAdjHandle_;
};
--- 54,60 ----
const QuantLib::BusinessDayConvention& bDayConvention,
const QuantLib::DayCounter& dayCounter,
! const QuantLib::Handle<QuantLib::Quote>& convAdj);
!
protected:
QuantLib::Handle<QuantLib::Quote> convAdjHandle_;
};
***************
*** 67,71 ****
public:
SwapRateHelper(
! const double quote,
const QuantLib::Period& p,
const long fixingDays,
--- 63,67 ----
public:
SwapRateHelper(
! const QuantLib::Handle<QuantLib::Quote>& quote,
const QuantLib::Period& p,
const long fixingDays,
Index: ratehelpers.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** ratehelpers.cpp 9 Oct 2006 15:48:18 -0000 1.9
--- ratehelpers.cpp 11 Oct 2006 11:46:31 -0000 1.10
***************
*** 33,42 ****
namespace QuantLibAddin {
- double RateHelper::setQuote(double quote) {
- return quote_->setValue(quote);
- }
-
DepositRateHelper::DepositRateHelper(
! const double quote,
const QuantLib::Period& p,
const long fixingDays,
--- 33,38 ----
namespace QuantLibAddin {
DepositRateHelper::DepositRateHelper(
! const QuantLib::Handle<QuantLib::Quote>& quote,
const QuantLib::Period& p,
const long fixingDays,
***************
*** 45,51 ****
const QuantLib::DayCounter& dayCounter)
{
! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(
! new QuantLib::SimpleQuote(quote));
! quoteHandle_.linkTo(quote_);
libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>(
--- 41,45 ----
const QuantLib::DayCounter& dayCounter)
{
! quoteHandle_ = quote;
libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>(
***************
*** 59,63 ****
FuturesRateHelper::FuturesRateHelper(
! const double price,
const std::string& immDateID,
const QuantLib::Integer months,
--- 53,57 ----
FuturesRateHelper::FuturesRateHelper(
! const QuantLib::Handle<QuantLib::Quote>& price,
const std::string& immDateID,
const QuantLib::Integer months,
***************
*** 65,77 ****
const QuantLib::BusinessDayConvention& bDayConvention,
const QuantLib::DayCounter& dayCounter,
! const QuantLib::Rate convAdj)
{
! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(
! new QuantLib::SimpleQuote(price));
! quoteHandle_.linkTo(quote_);
!
! convAdj_ = boost::shared_ptr<QuantLib::SimpleQuote>(
! new QuantLib::SimpleQuote(convAdj));
! convAdjHandle_.linkTo(convAdj_);
QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID);
--- 59,66 ----
const QuantLib::BusinessDayConvention& bDayConvention,
const QuantLib::DayCounter& dayCounter,
! const QuantLib::Handle<QuantLib::Quote>& convAdj)
{
! quoteHandle_ = price;
! convAdjHandle_= convAdj;
QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID);
***************
*** 88,100 ****
}
- QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj)
- {
- QuantLib::Spread diff = convAdj - convAdj_->value();
- convAdj_->setValue(convAdj);
- return diff;
- }
SwapRateHelper::SwapRateHelper(
! const double quote,
const QuantLib::Period& p,
const long fixingDays,
--- 77,83 ----
}
SwapRateHelper::SwapRateHelper(
! const QuantLib::Handle<QuantLib::Quote>& quote,
const QuantLib::Period& p,
const long fixingDays,
***************
*** 105,110 ****
const boost::shared_ptr<QuantLib::Xibor>& index)
{
! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(quote));
! quoteHandle_.linkTo(quote_);
libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>(
--- 88,92 ----
const boost::shared_ptr<QuantLib::Xibor>& index)
{
! quoteHandle_ = quote;
libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>(
|