[QuantLibAddin-cvs] QuantLibAddin/qlo capfloor.cpp, 1.10, 1.11 capfloor.hpp, 1.9, 1.10 couponvectors.cpp, 1.37, 1.38 couponvectors.hpp, 1.26, 1.27 swap.cpp, 1.15, 1.16 swap.hpp, 1.12, 1.13

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21901/qlo

Modified Files:
	capfloor.cpp capfloor.hpp couponvectors.cpp couponvectors.hpp 
	swap.cpp swap.hpp 
Log Message:
BPS, NPV, analysis functions/methods for Swap, VanillaSwap, and CashFlowStream

Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** couponvectors.hpp	12 Oct 2006 10:51:30 -0000	1.26
--- couponvectors.hpp	18 Oct 2006 20:11:37 -0000	1.27
***************
*** 22,58 ****
  
  #include <oh/objhandler.hpp>
  #include <qlo/schedule.hpp>
  #include <qlo/index.hpp>
! #include <ql/CashFlows/cashflowvectors.hpp>
! #include <ql/CashFlows/simplecashflow.hpp>
! #include <ql/CashFlows/cmscoupon.hpp>
  #include <ql/CashFlows/conundrumpricer.hpp>
- #include <ql/CashFlows/analysis.hpp>
  
  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()
-         {
-             return flowAnalysis(cashFlowVector_);
-         }
        protected:
          Leg cashFlowVector_;
      };
  
!     class SimpleCashFlow : public LegWrapper {
        public:
          SimpleCashFlow(double amount, const QuantLib::Date& date);
      };
  
!     class SimpleCashFlowVector : public LegWrapper {
        public:
          SimpleCashFlowVector(const std::vector<double> amounts, 
--- 22,50 ----
  
  #include <oh/objhandler.hpp>
+ 
  #include <qlo/schedule.hpp>
  #include <qlo/index.hpp>
! #include <qlo/analysis.hpp>
! 
  #include <ql/CashFlows/conundrumpricer.hpp>
  
  namespace QuantLibAddin {
      
!     class CashFlowStream : public ObjHandler::Object {
!       public:
!         QuantLib::Real npv(const QuantLib::Handle<QuantLib::YieldTermStructure>&) const;
!         QuantLib::Real bps(const QuantLib::Handle<QuantLib::YieldTermStructure>&) const;
!         std::vector<std::vector<boost::any> > analysis() const;
          const Leg& getVector();        
        protected:
          Leg cashFlowVector_;
      };
  
!     class SimpleCashFlow : public CashFlowStream {
        public:
          SimpleCashFlow(double amount, const QuantLib::Date& date);
      };
  
!     class SimpleCashFlowVector : public CashFlowStream {
        public:
          SimpleCashFlowVector(const std::vector<double> amounts, 
***************
*** 60,64 ****
      };
      
!     class FixedRateCouponVector : public LegWrapper {
        public:
          FixedRateCouponVector(
--- 52,56 ----
      };
      
!     class FixedRateCouponVector : public CashFlowStream {
        public:
          FixedRateCouponVector(
***************
*** 70,74 ****
      };
      
!     class FloatingRateCouponVector : public LegWrapper {
        public:
          FloatingRateCouponVector(
--- 62,66 ----
      };
      
!     class FloatingRateCouponVector : public CashFlowStream {
        public:
          FloatingRateCouponVector(
***************
*** 95,99 ****
      };
      
!     class CMSCouponVector : public LegWrapper {
        public:
              CMSCouponVector(
--- 87,91 ----
      };
      
!     class CMSCouponVector : public CashFlowStream {
        public:
              CMSCouponVector(
***************
*** 114,118 ****
      };
  
!     class CMSZeroCouponVector : public LegWrapper {
        public:
              CMSZeroCouponVector(
--- 106,110 ----
      };
  
!     class CMSZeroCouponVector : public CashFlowStream {
        public:
              CMSZeroCouponVector(
***************
*** 133,137 ****
      };
  
!     class CMSInArrearsCouponVector : public LegWrapper {
        public:
              CMSInArrearsCouponVector(
--- 125,129 ----
      };
  
!     class CMSInArrearsCouponVector : public CashFlowStream {
        public:
              CMSInArrearsCouponVector(
***************
*** 155,157 ****
  
  #endif
- 
--- 147,148 ----

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.37
retrieving revision 1.38
diff -C2 -d -r1.37 -r1.38
*** couponvectors.cpp	13 Oct 2006 10:53:59 -0000	1.37
--- couponvectors.cpp	18 Oct 2006 20:11:37 -0000	1.38
***************
*** 27,166 ****
  #include <qlo/typefactory.hpp>
  
! #include <ql/CashFlows/fixedratecoupon.hpp>
! #include <ql/CashFlows/floatingratecoupon.hpp>
! #include <ql/CashFlows/parcoupon.hpp>
! 
  
  namespace QuantLibAddin {
  
!     std::vector<std::vector<boost::any> > flowAnalysis(Leg cashflows)
!     {
!         std::vector<std::vector<boost::any> > flowAnalysis_;
! 
!         QuantLib::Size numberOfColumn = 20;
! 
!         std::vector<boost::any> headings(numberOfColumn);
!         headings[0]=std::string("Payment Date");
!         headings[1]=std::string("Amount");
! 
!         headings[2]=std::string("Nominal");
!         headings[3]=std::string("Accrual Start Date");
!         headings[4]=std::string("Accrual End Date");
!         headings[5]=std::string("Accrual Days");
!         headings[6]=std::string("Day Counter");
!         headings[7]=std::string("Accrual Period");
!         headings[8]=std::string("Effective Rate");
! 
!         headings[ 9]=std::string("Fixing Days");
!         headings[10]=std::string("Fixing Dates");
!         headings[11]=std::string("Index");
!         headings[12]=std::string("Floor");
!         headings[13]=std::string("Gearing");
!         headings[14]=std::string("Index Fixing");
!         headings[15]=std::string("Conv. Adj.");
!         headings[16]=std::string("Spread");
!         headings[17]=std::string("Cap");
!         headings[18]=std::string("---");
!         headings[19]=std::string("---");
! 
!         flowAnalysis_.push_back(headings);
! 
!         for(QuantLib::Size i=0; i<cashflows.size(); i++)
!         {
!             std::vector<boost::any> cf(numberOfColumn, std::string("N/A"));
!             cf[0]=cashflows[i]->date().serialNumber();
!             try {
!                 cf[1]=cashflows[i]->amount();
!             } catch(...) {
!             }
!             boost::shared_ptr<QuantLib::SimpleCashFlow> simpleCashFlow =
!                 boost::dynamic_pointer_cast<QuantLib::SimpleCashFlow>(cashflows[i]);
!             if (simpleCashFlow) {
!                 flowAnalysis_.push_back(cf);
!                 continue;
!             }
! 
!             boost::shared_ptr<QuantLib::Coupon> c =
!                 boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]);
!             QL_REQUIRE(c, "error processing cash flow vector - unable to convert item #" << i << 
!                 " to an object of class QuantLib::Coupon")
!             cf[2]=c->nominal();
!             cf[3]=c->accrualStartDate().serialNumber();
!             cf[4]=c->accrualEndDate().serialNumber();
!             cf[5]=c->accrualDays();
!             cf[6]=c->dayCounter().name();
!             cf[7]=c->accrualPeriod();
!             try {
!                 cf[8]=c->rate(); 
!             } catch(...) {
!             }
!             boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon =
!                 boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>(
!                     cashflows[i]);
!             boost::shared_ptr<QuantLib::CMSCoupon> cmsCoupon =
!                 boost::dynamic_pointer_cast<QuantLib::CMSCoupon>(
!                     cashflows[i]);
!             if (cmsCoupon!=0) {
!                 cf[ 9]=cmsCoupon->fixingDays();
!                 cf[10]=cmsCoupon->fixingDate().serialNumber();
!                 cf[11]=cmsCoupon->index()->name();
!                 cf[12]=cmsCoupon->floor();
!                 cf[13]=cmsCoupon->gearing();
!                 try {
!                     cf[14]=cmsCoupon->indexFixing();
!                 } catch(...) {
!                 }
!                 try {
!                     cf[15]=cmsCoupon->convexityAdjustment();
!                 } 
!                 catch(...) {
!                 }
!                 cf[16]=cmsCoupon->spread();
!                 cf[17]=cmsCoupon->cap();
!             } else if (floatingCoupon!=0) {
!                 cf[ 9]=floatingCoupon->fixingDays();
!                 cf[10]=floatingCoupon->fixingDate().serialNumber();
!                 cf[11]=floatingCoupon->index()->name();
!                 cf[12]=std::string("N/A");
!                 cf[13]=floatingCoupon->gearing();
!                 try {
!                     cf[14]=floatingCoupon->indexFixing();
!                 } catch(...) {
!                 }
!                 try {
!                     cf[15]=floatingCoupon->convexityAdjustment();
!                 } catch(...) {
!                 }
!                 cf[16]=floatingCoupon->spread();
!                 cf[17]=std::string("N/A");
!             }
!             flowAnalysis_.push_back(cf);
!         }
!         return flowAnalysis_;
      }
  
!     double LegWrapper::getBPS(const QuantLib::Handle<
!         QuantLib::YieldTermStructure>& hYTS) const
!     {
          return QuantLib::Cashflows::bps(cashFlowVector_, hYTS);
      }
  
  
!     const Leg& LegWrapper::getVector()
!     {
          return cashFlowVector_;
      }
!         
!     SimpleCashFlow::SimpleCashFlow(double amount, const QuantLib::Date& date) 
!     {
!         cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>(new QuantLib::SimpleCashFlow(amount,date)));
      }
  
!     SimpleCashFlowVector::SimpleCashFlowVector(const std::vector<double> amounts, 
                                                 const std::vector<QuantLib::Date>& dates)
      {
          for (QuantLib::Size i=0; i < amounts.size(); i++) {
              cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>(
!                 new QuantLib::SimpleCashFlow(amounts[i],dates[i])));  
          }
      }
--- 27,63 ----
  #include <qlo/typefactory.hpp>
  
! #include <ql/CashFlows/cashflowvectors.hpp>
! #include <ql/CashFlows/simplecashflow.hpp>
! #include <ql/CashFlows/cmscoupon.hpp>
  
  namespace QuantLibAddin {
  
!     double CashFlowStream::npv(const QuantLib::Handle< QuantLib::YieldTermStructure>& hYTS) const {
!         return QuantLib::Cashflows::bps(cashFlowVector_, hYTS);
      }
  
!     double CashFlowStream::bps(const QuantLib::Handle< QuantLib::YieldTermStructure>& hYTS) const {
          return QuantLib::Cashflows::bps(cashFlowVector_, hYTS);
      }
  
+     std::vector<std::vector<boost::any> > CashFlowStream::analysis() const {
+         return flowAnalysis(cashFlowVector_);
+     }
  
!     const Leg& CashFlowStream::getVector() {
          return cashFlowVector_;
      }
! 
!     SimpleCashFlow::SimpleCashFlow(double amount, const QuantLib::Date& date) {
!         cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>(new
!             QuantLib::SimpleCashFlow(amount,date)));
      }
  
!     SimpleCashFlowVector::SimpleCashFlowVector(const std::vector<double> amounts,
                                                 const std::vector<QuantLib::Date>& dates)
      {
          for (QuantLib::Size i=0; i < amounts.size(); i++) {
              cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>(
!                 new QuantLib::SimpleCashFlow(amounts[i],dates[i])));
          }
      }
***************
*** 172,176 ****
              const std::vector<double>& couponRates,
              const QuantLib::DayCounter& dayCount)
!     {        
          cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule,
                                                            convention,
--- 69,73 ----
              const std::vector<double>& couponRates,
              const QuantLib::DayCounter& dayCount)
!     {
          cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule,
                                                            convention,

Index: capfloor.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** capfloor.cpp	13 Oct 2006 18:41:48 -0000	1.10
--- capfloor.cpp	18 Oct 2006 20:11:37 -0000	1.11
***************
*** 28,32 ****
      CapFloor::CapFloor(
                   QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<LegWrapper>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& strikes,
                   const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure,
--- 28,32 ----
      CapFloor::CapFloor(
                   QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<CashFlowStream>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& strikes,
                   const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure,

Index: capfloor.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** capfloor.hpp	13 Oct 2006 18:41:48 -0000	1.9
--- capfloor.hpp	18 Oct 2006 20:11:37 -0000	1.10
***************
*** 29,33 ****
        public:
          CapFloor(QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<LegWrapper>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& strikes,
                   const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure,
--- 29,33 ----
        public:
          CapFloor(QuantLib::CapFloor::Type type,
!                  const boost::shared_ptr<CashFlowStream>& floatingLegWrapper,
                   const std::vector<QuantLib::Rate>& strikes,
                   const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure,

Index: swap.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** swap.cpp	5 Oct 2006 14:42:51 -0000	1.15
--- swap.cpp	18 Oct 2006 20:11:37 -0000	1.16
***************
*** 29,34 ****
  namespace QuantLibAddin {
  
!     Swap::Swap(const boost::shared_ptr<LegWrapper>& paidLegWrapper,
!                const boost::shared_ptr<LegWrapper>& recvLegWrapper,
                 const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS)
      {
--- 29,34 ----
  namespace QuantLibAddin {
  
!     Swap::Swap(const boost::shared_ptr<CashFlowStream>& paidLegWrapper,
!                const boost::shared_ptr<CashFlowStream>& recvLegWrapper,
                 const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS)
      {
***************
*** 39,43 ****
      }
  
!     Swap::Swap(const std::vector<boost::shared_ptr<LegWrapper> >& legWrappers,
                 const std::vector<bool>& payer,
                 const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) {
--- 39,43 ----
      }
  
!     Swap::Swap(const std::vector<boost::shared_ptr<CashFlowStream> >& legWrappers,
                 const std::vector<bool>& payer,
                 const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) {
***************
*** 54,60 ****
          boost::shared_ptr<QuantLib::Swap> temp;
          getLibraryObject(temp);
!         const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = 
!             temp->leg(i);
!         return flowAnalysis(cashflows);
      }
  
--- 54,58 ----
          boost::shared_ptr<QuantLib::Swap> temp;
          getLibraryObject(temp);
!         return flowAnalysis(temp->leg(i));
      }
  

Index: swap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** swap.hpp	5 Oct 2006 14:42:51 -0000	1.12
--- swap.hpp	18 Oct 2006 20:11:37 -0000	1.13
***************
*** 30,37 ****
      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);
--- 30,37 ----
      class Swap : public Instrument {
        public:
!         Swap(const boost::shared_ptr<CashFlowStream>& paidLegWrapper,
!              const boost::shared_ptr<CashFlowStream>& recvLegWrapper,
               const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);
!         Swap(const std::vector<boost::shared_ptr<CashFlowStream> >& legWrappers,
               const std::vector<bool>& payer,
               const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS);