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From: Marco B. <mar...@us...> - 2006-11-06 16:46:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19889/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: coherently changed function calls from CalculatorCompute to DriftCalculatorComputePlain Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** marketmodels.hpp 3 Oct 2006 08:25:31 -0000 1.22 --- marketmodels.hpp 6 Nov 2006 16:46:39 -0000 1.23 *************** *** 25,28 **** --- 25,29 ---- #include <ql/MarketModels/curvestate.hpp> #include <ql/MarketModels/driftcalculator.hpp> + #include <ql/MarketModels/swapforwardconversionmatrix.hpp> #include <ql/MarketModels/browniangenerator.hpp> #include <ql/MarketModels/marketmodelevolver.hpp> *************** *** 85,89 **** }; - class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> { public: --- 86,89 ---- *************** *** 91,95 **** }; - class DriftCalculator : public ObjHandler::LibraryObject<QuantLib::DriftCalculator> { public: --- 91,94 ---- *************** *** 99,103 **** QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> compute( const std::vector<QuantLib::Rate>& forwards) const; std::vector<QuantLib::Real> computeReduced( --- 98,102 ---- QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> computePlain( const std::vector<QuantLib::Rate>& forwards) const; std::vector<QuantLib::Real> computeReduced( *************** *** 107,110 **** --- 106,120 ---- }; + // class SwapCovarianceApproximator : public ObjHandler::LibraryObject< + // QuantLib::SwapCovarianceApproximator> { + // public: + // SwapCovarianceApproximator(const QuantLib::CurveState& initialCurveState, + // QuantLib::Size expiry, + // QuantLib::Size maturity, + // QuantLib::Spread displacement, + // const QuantLib::Matrix& forwardCovarianceMatrix); + //QuantLib::Disposable<Matrix> swapCovarianceMatrix(); + // }; + class MarketModelMultiProduct : public ObjHandler::LibraryObject< QuantLib::MarketModelMultiProduct> { *************** *** 130,134 **** ! class BrownianGeneratorFactory : public ObjHandler::LibraryObject<QuantLib::BrownianGeneratorFactory> { }; --- 140,145 ---- ! class BrownianGeneratorFactory : public ObjHandler::LibraryObject< ! QuantLib::BrownianGeneratorFactory> { }; *************** *** 138,143 **** }; ! ! class MarketModelEvolver : public ObjHandler::LibraryObject<QuantLib::MarketModelEvolver> { }; --- 149,154 ---- }; ! class MarketModelEvolver : public ObjHandler::LibraryObject< ! QuantLib::MarketModelEvolver> { }; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** marketmodels.cpp 17 Oct 2006 13:43:56 -0000 1.25 --- marketmodels.cpp 6 Nov 2006 16:46:39 -0000 1.26 *************** *** 37,41 **** } - EvolutionDescription::EvolutionDescription( const QuantLib::EvolutionDescription& ev) --- 37,40 ---- *************** *** 45,49 **** } - ExpCorrFlatVol::ExpCorrFlatVol( double longTermCorr, --- 44,47 ---- *************** *** 88,92 **** } - Abcd::Abcd(QuantLib::Real a, QuantLib::Real b, QuantLib::Real c, QuantLib::Real d, --- 86,89 ---- *************** *** 98,102 **** } - CurveState::CurveState(const std::vector<QuantLib::Time>& rateTimes) { --- 95,98 ---- *************** *** 117,124 **** } ! std::vector<QuantLib::Real> DriftCalculator::compute( const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); ! libraryObject_->compute(forwards, results); return results; } --- 113,120 ---- } ! std::vector<QuantLib::Real> DriftCalculator::computePlain( const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); ! libraryObject_->computePlain(forwards, results); return results; } *************** *** 131,135 **** --- 127,149 ---- } + //SwapCovarianceApproximator::SwapCovarianceApproximator( + // const QuantLib::CurveState& initialCurveState, + // QuantLib::Size expiry, + // QuantLib::Size maturity, + // QuantLib::Spread displacement, + // const QuantLib::Matrix& forwardCovarianceMatrix) + //: size_(taus.size()) + //{ + // libraryObject_ = boost::shared_ptr<QuantLib::SwapCovarianceApproximator>( + // new QuantLib::SwapCovarianceApproximator( + // initialCurveState, expiry,maturity, displacement, + // forwardCovarianceMatrix)); + //} + //QuantLib::Disposable<Matrix> SwapCovarianceApproximator::swapCovarianceMatrix() + // { + // libraryObject_->compute(forwards, results); + // return results; + //} OneStepForwards::OneStepForwards( *************** *** 147,157 **** { const QuantLib::EvolutionDescription& ev = libraryObject_->evolution(); - boost::shared_ptr<ObjHandler::Object> objectPointer( new QuantLibAddin::EvolutionDescription(ev)); - std::string anonymousID = ObjHandler::ObjectHandler::instance().storeObject("", objectPointer); - objectPointer->setProperties( boost::shared_ptr<ObjHandler::ValueObject>( --- 161,168 ---- *************** *** 160,164 **** ev.rateTimes(), ev.evolutionTimes()))); - return anonymousID; } --- 171,174 ---- *************** *** 174,178 **** } - MTBrownianGeneratorFactory::MTBrownianGeneratorFactory(unsigned long seed) { --- 184,187 ---- |
