Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23506/qlo Modified Files: calendarfactory.cpp capletvolstructure.cpp capletvolstructure.hpp cmsmarket.cpp cmsmarket.hpp couponvectors.hpp enumclassctors.cpp enumclassctors.hpp forwardrateagreement.cpp forwardrateagreement.hpp marketmodels.hpp smilesection.cpp smilesection.hpp swap.hpp swaption.cpp swaption.hpp swaptionvolstructure.cpp swaptionvolstructure.hpp typefactory.hpp Log Message: moving Quotes in their own folder Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** enumclassctors.cpp 21 Nov 2006 08:11:40 -0000 1.32 --- enumclassctors.cpp 5 Dec 2006 10:20:21 -0000 1.33 *************** *** 349,362 **** //VanillaCMSCouponPricer boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion){ return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( new QuantLib::ConundrumPricerByBlack(swaptionVol, modelOfYieldCurve, meanReversion)); }; boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion ){ return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( new QuantLib::ConundrumPricerByNumericalIntegration(swaptionVol, modelOfYieldCurve, meanReversion)); --- 349,362 ---- //VanillaCMSCouponPricer boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion){ return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( new QuantLib::ConundrumPricerByBlack(swaptionVol, modelOfYieldCurve, meanReversion)); }; boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion ){ return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( new QuantLib::ConundrumPricerByNumericalIntegration(swaptionVol, modelOfYieldCurve, meanReversion)); Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** couponvectors.hpp 24 Nov 2006 09:17:24 -0000 1.31 --- couponvectors.hpp 5 Dec 2006 10:20:21 -0000 1.32 *************** *** 90,94 **** // const std::string & typeOfVanillaCMSCouponPricer, // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! // QuantLib::Real meanReversion); //}; --- 90,94 ---- // const std::string & typeOfVanillaCMSCouponPricer, // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! // QuantLib::Real meanReversion); //}; Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** cmsmarket.cpp 21 Nov 2006 08:11:40 -0000 1.14 --- cmsmarket.cpp 5 Dec 2006 10:20:20 -0000 1.15 *************** *** 57,63 **** headings[5]=std::string("Implied (bps)"); headings[6]=std::string("Error (bps)"); ! headings[7]=std::string("Overreach bid/ask"); ! headings[8]=std::string("Market bid Price Cms Leg"); headings[9]=std::string("Market ask Price Cms Leg"); headings[10]=std::string("Market mid Price Cms Leg"); --- 57,63 ---- headings[5]=std::string("Implied (bps)"); headings[6]=std::string("Error (bps)"); ! headings[7]=std::string("Overreach bid/ask"); ! headings[8]=std::string("Market bid Price Cms Leg"); headings[9]=std::string("Market ask Price Cms Leg"); headings[10]=std::string("Market mid Price Cms Leg"); *************** *** 65,75 **** headings[12]=std::string("Price Error"); ! headings[13]=std::string("Market bid Price Forward Cms Leg"); headings[14]=std::string("Market ask Price Forward Cms Leg"); headings[15]=std::string("Market mid Price Forward Cms Leg"); headings[16]=std::string("Model Price Forward Cms Leg"); headings[17]=std::string("Forward Price Error"); ! ! headings[18]=std::string("Mean reversion"); result.push_back(headings); --- 65,75 ---- headings[12]=std::string("Price Error"); ! headings[13]=std::string("Market bid Price Forward Cms Leg"); headings[14]=std::string("Market ask Price Forward Cms Leg"); headings[15]=std::string("Market mid Price Forward Cms Leg"); headings[16]=std::string("Model Price Forward Cms Leg"); headings[17]=std::string("Forward Price Error"); ! ! headings[18]=std::string("Mean reversion"); result.push_back(headings); Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** swaptionvolstructure.cpp 1 Dec 2006 21:13:33 -0000 1.48 --- swaptionvolstructure.cpp 5 Dec 2006 10:20:21 -0000 1.49 *************** *** 31,35 **** namespace QuantLibAddin { ! SwaptionConstantVolatility::SwaptionConstantVolatility( const QuantLib::Date& referenceDate, const QuantLib::Handle<QuantLib::Quote>& vol, --- 31,35 ---- namespace QuantLibAddin { ! SwaptionConstantVolatility::SwaptionConstantVolatility( const QuantLib::Date& referenceDate, const QuantLib::Handle<QuantLib::Quote>& vol, *************** *** 40,44 **** vol, dayCounter)); ! } SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( --- 40,44 ---- vol, dayCounter)); ! } SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( *************** *** 76,80 **** const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, bool vegaWeightedSmileFit) { --- 76,80 ---- const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, bool vegaWeightedSmileFit) { *************** *** 96,100 **** const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, --- 96,100 ---- const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, *************** *** 179,198 **** } switch (int(sabrParameters[i][numberOfColumn-1])) { ! case QuantLib::EndCriteria::none: ! par[numberOfColumn-1] = std::string("None"); break; ! case QuantLib::EndCriteria::maxIter: ! par[numberOfColumn-1] = std::string("MaxIterations"); break; ! case QuantLib::EndCriteria::statPt: ! par[numberOfColumn-1] = std::string("StationaryPoint"); break; ! case QuantLib::EndCriteria::statGd: ! par[numberOfColumn-1] = std::string("StationaryGradient"); break; ! default: par[numberOfColumn-1] = std::string("unknown EndCriteria::Type "); break; ! } sparseSabrParameters.push_back(par); } --- 179,198 ---- } switch (int(sabrParameters[i][numberOfColumn-1])) { ! case QuantLib::EndCriteria::none: ! par[numberOfColumn-1] = std::string("None"); break; ! case QuantLib::EndCriteria::maxIter: ! par[numberOfColumn-1] = std::string("MaxIterations"); break; ! case QuantLib::EndCriteria::statPt: ! par[numberOfColumn-1] = std::string("StationaryPoint"); break; ! case QuantLib::EndCriteria::statGd: ! par[numberOfColumn-1] = std::string("StationaryGradient"); break; ! default: par[numberOfColumn-1] = std::string("unknown EndCriteria::Type "); break; ! } sparseSabrParameters.push_back(par); } *************** *** 240,244 **** } ! SmileSectionByCube::SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& optionDate, --- 240,244 ---- } ! SmileSectionByCube::SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& optionDate, Index: swaption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaption.cpp 29 Jun 2006 07:16:23 -0000 1.4 --- swaption.cpp 5 Dec 2006 10:20:21 -0000 1.5 *************** *** 27,39 **** Swaption::Swaption( ! const boost::shared_ptr<QuantLib::VanillaSwap>& swap, ! const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine, ! QuantLib::Settlement::Type settlementType) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::Swaption(swap, exercise, hYTS, engine, ! settlementType)); } --- 27,39 ---- Swaption::Swaption( ! const boost::shared_ptr<QuantLib::VanillaSwap>& swap, ! const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine, ! QuantLib::Settlement::Type settlementType) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::Swaption(swap, exercise, hYTS, engine, ! settlementType)); } Index: cmsmarket.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** cmsmarket.hpp 21 Nov 2006 08:11:40 -0000 1.10 --- cmsmarket.hpp 5 Dec 2006 10:20:20 -0000 1.11 *************** *** 32,36 **** class CmsMarket: public ObjHandler::LibraryObject<QuantLib::CmsMarket>{ ! public: CmsMarket( const std::vector<QuantLib::Period>& expiries, --- 32,36 ---- class CmsMarket: public ObjHandler::LibraryObject<QuantLib::CmsMarket>{ ! public: CmsMarket( const std::vector<QuantLib::Period>& expiries, *************** *** 50,54 **** class SmileAndCmsCalibrationBySabr: public ObjHandler::LibraryObject<QuantLib::SmileAndCmsCalibrationBySabr>{ ! public: SmileAndCmsCalibrationBySabr( QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, --- 50,54 ---- class SmileAndCmsCalibrationBySabr: public ObjHandler::LibraryObject<QuantLib::SmileAndCmsCalibrationBySabr>{ ! public: SmileAndCmsCalibrationBySabr( QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, Index: capletvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** capletvolstructure.cpp 1 Dec 2006 21:13:33 -0000 1.8 --- capletvolstructure.cpp 5 Dec 2006 10:20:20 -0000 1.9 *************** *** 26,30 **** namespace QuantLibAddin { ! CapletConstantVolatility::CapletConstantVolatility( const QuantLib::Handle<QuantLib::Quote>& volatility, const QuantLib::DayCounter& dayCounter) --- 26,30 ---- namespace QuantLibAddin { ! CapletConstantVolatility::CapletConstantVolatility( const QuantLib::Handle<QuantLib::Quote>& volatility, const QuantLib::DayCounter& dayCounter) *************** *** 32,36 **** libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::CapletConstantVolatility(volatility, dayCounter)); ! } CapsStripper::CapsStripper( --- 32,36 ---- libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::CapletConstantVolatility(volatility, dayCounter)); ! } CapsStripper::CapsStripper( Index: smilesection.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** smilesection.hpp 1 Dec 2006 21:53:00 -0000 1.4 --- smilesection.hpp 5 Dec 2006 10:20:21 -0000 1.5 *************** *** 32,36 **** class FlatSmileSection : public SmileSection { ! public: FlatSmileSection(const QuantLib::Date& optionDate, QuantLib::Volatility v, --- 32,36 ---- class FlatSmileSection : public SmileSection { ! public: FlatSmileSection(const QuantLib::Date& optionDate, QuantLib::Volatility v, *************** *** 48,69 **** class SabrSmileSection: public SmileSection{ ! public: ! SabrSmileSection(const QuantLib::Time expiry, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles, ! QuantLib::Real forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, ! bool isAlphaFixed, ! bool isBetaFixed, ! bool isNuFixed, ! bool isRhoFixed, ! bool vegaWeighted = false, ! const boost::shared_ptr<QuantLib::OptimizationMethod> ! method ! = boost::shared_ptr<QuantLib::OptimizationMethod>()); ! }; } --- 48,69 ---- class SabrSmileSection: public SmileSection{ ! public: ! SabrSmileSection(const QuantLib::Time expiry, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles, ! QuantLib::Real forward, ! QuantLib::Real alpha, ! QuantLib::Real beta, ! QuantLib::Real nu, ! QuantLib::Real rho, ! bool isAlphaFixed, ! bool isBetaFixed, ! bool isNuFixed, ! bool isRhoFixed, ! bool vegaWeighted = false, ! const boost::shared_ptr<QuantLib::OptimizationMethod> ! method ! = boost::shared_ptr<QuantLib::OptimizationMethod>()); ! }; } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** enumclassctors.hpp 1 Dec 2006 16:49:11 -0000 1.29 --- enumclassctors.hpp 5 Dec 2006 10:20:21 -0000 1.30 *************** *** 160,171 **** boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion ); /* *** Index *** */ --- 160,171 ---- boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion ); /* *** Index *** */ Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** typefactory.hpp 21 Nov 2006 08:11:40 -0000 1.48 --- typefactory.hpp 5 Dec 2006 10:20:21 -0000 1.49 *************** *** 233,239 **** /* *** VanillaCMSCouponPricer *** */ typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion); template<> --- 233,239 ---- /* *** VanillaCMSCouponPricer *** */ typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion); template<> *************** *** 243,249 **** boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( const std::string& vanillaCMSCouponPricerID, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion) { VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = (VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID)); --- 243,249 ---- boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( const std::string& vanillaCMSCouponPricerID, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, ! QuantLib::Real meanReversion) { VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = (VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID)); *************** *** 283,287 **** }; ! // some utilities required by class RegistryManager inline std::string uppercase(const std::string &s) { --- 283,287 ---- }; ! // some utilities required by class RegistryManager inline std::string uppercase(const std::string &s) { Index: smilesection.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** smilesection.cpp 1 Dec 2006 21:53:00 -0000 1.4 --- smilesection.cpp 5 Dec 2006 10:20:21 -0000 1.5 *************** *** 46,50 **** } ! SabrSmileSection::SabrSmileSection( const QuantLib::Time expiry, const std::vector<QuantLib::Rate>& strikes, --- 46,50 ---- } ! SabrSmileSection::SabrSmileSection( const QuantLib::Time expiry, const std::vector<QuantLib::Rate>& strikes, *************** *** 62,79 **** bool vegaWeighted, const boost::shared_ptr<QuantLib::OptimizationMethod> ! method){ ! QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta, ! nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, ! isRhoFixed, vegaWeighted, method); ! ! QuantLib::InterpolatedSmileSection<QuantLib::SABR>* ! genericInterpolatedSmileSection = ! new QuantLib::InterpolatedSmileSection<QuantLib::SABR>( ! expiry, strikes, volatilitiesHandles, sabrInterpolationFactory); ! libraryObject_ = boost::shared_ptr< ! QuantLib::InterpolatedSmileSection<QuantLib::SABR> > ! (genericInterpolatedSmileSection); } } --- 62,80 ---- bool vegaWeighted, const boost::shared_ptr<QuantLib::OptimizationMethod> ! method) { ! QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta, ! nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, ! isRhoFixed, vegaWeighted, method); ! QuantLib::InterpolatedSmileSection<QuantLib::SABR>* ! genericInterpolatedSmileSection = new ! QuantLib::InterpolatedSmileSection<QuantLib::SABR>(expiry, ! strikes, volatilitiesHandles, sabrInterpolationFactory); ! ! libraryObject_ = boost::shared_ptr< ! QuantLib::InterpolatedSmileSection<QuantLib::SABR> > ! (genericInterpolatedSmileSection); } + } Index: swaption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** swaption.hpp 29 Jun 2006 07:16:23 -0000 1.7 --- swaption.hpp 5 Dec 2006 10:20:21 -0000 1.8 *************** *** 32,36 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine, ! QuantLib::Settlement::Type settlementType); std::string underlyingSwap() { --- 32,36 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine, ! QuantLib::Settlement::Type settlementType); std::string underlyingSwap() { Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** swaptionvolstructure.hpp 1 Dec 2006 21:13:33 -0000 1.45 --- swaptionvolstructure.hpp 5 Dec 2006 10:20:21 -0000 1.46 *************** *** 34,48 **** class SwaptionVolatilityStructure : public TermStructure {}; ! class SwaptionConstantVolatility : public SwaptionVolatilityStructure { ! public: ! SwaptionConstantVolatility(const QuantLib::Date& referenceDate, ! const QuantLib::Handle<QuantLib::Quote>&, ! const QuantLib::DayCounter& dayCounter); }; class SwaptionVolatilityDiscrete : public SwaptionVolatilityStructure {}; ! class SwaptionVolatilityMatrix : public SwaptionVolatilityDiscrete { ! public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, const std::vector<QuantLib::Period>& optionTenors, --- 34,48 ---- class SwaptionVolatilityStructure : public TermStructure {}; ! class SwaptionConstantVolatility : public SwaptionVolatilityStructure { ! public: ! SwaptionConstantVolatility(const QuantLib::Date& referenceDate, ! const QuantLib::Handle<QuantLib::Quote>&, ! const QuantLib::DayCounter& dayCounter); }; class SwaptionVolatilityDiscrete : public SwaptionVolatilityStructure {}; ! class SwaptionVolatilityMatrix : public SwaptionVolatilityDiscrete { ! public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, const std::vector<QuantLib::Period>& optionTenors, *************** *** 54,65 **** const QuantLib::Period& p); }; ! class SwaptionVolatilityCube : public SwaptionVolatilityDiscrete { }; ! class SwaptionVolCube2 : public SwaptionVolatilityCube { ! public: ! SwaptionVolCube2( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, const std::vector<QuantLib::Period>& optionTenors, --- 54,65 ---- const QuantLib::Period& p); }; ! class SwaptionVolatilityCube : public SwaptionVolatilityDiscrete { }; ! class SwaptionVolCube2 : public SwaptionVolatilityCube { ! public: ! SwaptionVolCube2( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, const std::vector<QuantLib::Period>& optionTenors, *************** *** 76,80 **** class SwaptionVolCube1 : public SwaptionVolatilityCube { public: ! SwaptionVolCube1( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, const std::vector<QuantLib::Period>& optionTenors, --- 76,80 ---- class SwaptionVolCube1 : public SwaptionVolatilityCube { public: ! SwaptionVolCube1( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, const std::vector<QuantLib::Period>& optionTenors, *************** *** 82,86 **** const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, --- 82,86 ---- const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, ! const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase, bool vegaWeightedSmileFit, const QuantLib::Matrix& parametersGuess, *************** *** 94,103 **** class SmileSectionByCube : public SmileSection { ! public: SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& optionTenors, const QuantLib::Period& swapTenors); ! SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& optionDate, --- 94,103 ---- class SmileSectionByCube : public SmileSection { ! public: SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Period& optionTenors, const QuantLib::Period& swapTenors); ! SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, const QuantLib::Date& optionDate, Index: capletvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** capletvolstructure.hpp 1 Dec 2006 21:13:33 -0000 1.8 --- capletvolstructure.hpp 5 Dec 2006 10:20:20 -0000 1.9 *************** *** 37,42 **** class CapletVolatilityStructure : public TermStructure {}; ! class CapletConstantVolatility : public CapletVolatilityStructure { ! public: CapletConstantVolatility(const QuantLib::Handle<QuantLib::Quote>& volatility, const QuantLib::DayCounter& dayCounter); --- 37,42 ---- class CapletVolatilityStructure : public TermStructure {}; ! class CapletConstantVolatility : public CapletVolatilityStructure { ! public: CapletConstantVolatility(const QuantLib::Handle<QuantLib::Quote>& volatility, const QuantLib::DayCounter& dayCounter); *************** *** 44,48 **** class CapsStripper : public CapletVolatilityStructure { ! public: CapsStripper(const std::vector<QuantLib::Period>& tenors, const std::vector<QuantLib::Rate>& strikes, --- 44,48 ---- class CapsStripper : public CapletVolatilityStructure { ! public: CapsStripper(const std::vector<QuantLib::Period>& tenors, const std::vector<QuantLib::Rate>& strikes, Index: calendarfactory.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/calendarfactory.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** calendarfactory.cpp 4 Oct 2006 20:13:45 -0000 1.8 --- calendarfactory.cpp 5 Dec 2006 10:20:20 -0000 1.9 *************** *** 65,69 **** Parse the joint calendar ID. A JointCalendar ID is in a format such as ! JoinHolidays(UnitedStates::Settlement, UnitedKingdom::Exchange) - the initial string is either "JoinHolidays" or "JoinBusinessDays" - the parentheses contain a comma-delimited list of 2, 3 or 4 calendar IDs --- 65,69 ---- Parse the joint calendar ID. A JointCalendar ID is in a format such as ! JoinHolidays(UnitedStates::Settlement, UnitedKingdom::Exchange) - the initial string is either "JoinHolidays" or "JoinBusinessDays" - the parentheses contain a comma-delimited list of 2, 3 or 4 calendar IDs *************** *** 111,122 **** "' is not a valid joint calendar identifier"); ! /* 1) transfer the IDs from the set to a vector ! 2) in the same loop, format a unique key "idFull" for the object, ! this will be the same as the ID provided by the user e.g. JoinHolidays(UnitedStates::Settlement, UnitedKingdom::Exchange) ! -> uppercase, no whitespace, IDs sorted alphabetically e.g. JOINHOLIDAYS(UNITEDKINGDOM::EXCHANGE,UNITEDSTATES::SETTLEMENT) ! */ std::set<std::string>::const_iterator i = calendarIdSet.begin(); std::ostringstream s; --- 111,122 ---- "' is not a valid joint calendar identifier"); ! /* 1) transfer the IDs from the set to a vector ! 2) in the same loop, format a unique key "idFull" for the object, ! this will be the same as the ID provided by the user e.g. JoinHolidays(UnitedStates::Settlement, UnitedKingdom::Exchange) ! -> uppercase, no whitespace, IDs sorted alphabetically e.g. JOINHOLIDAYS(UNITEDKINGDOM::EXCHANGE,UNITEDSTATES::SETTLEMENT) ! */ std::set<std::string>::const_iterator i = calendarIdSet.begin(); std::ostringstream s; Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** marketmodels.hpp 13 Nov 2006 09:30:19 -0000 1.26 --- marketmodels.hpp 5 Dec 2006 10:20:21 -0000 1.27 *************** *** 103,107 **** QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> computePlain( const std::vector<QuantLib::Rate>& forwards) const; std::vector<QuantLib::Real> computeReduced( --- 103,107 ---- QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> computePlain( const std::vector<QuantLib::Rate>& forwards) const; std::vector<QuantLib::Real> computeReduced( *************** *** 119,123 **** QuantLib::Spread displacement, const QuantLib::Matrix& forwardCovarianceMatrix); ! QuantLib::Disposable<QuantLib::Matrix> swapCovarianceMatrix(); }; --- 119,123 ---- QuantLib::Spread displacement, const QuantLib::Matrix& forwardCovarianceMatrix); ! QuantLib::Disposable<QuantLib::Matrix> swapCovarianceMatrix(); }; Index: forwardrateagreement.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** forwardrateagreement.hpp 10 Jul 2006 18:10:30 -0000 1.8 --- forwardrateagreement.hpp 5 Dec 2006 10:20:21 -0000 1.9 *************** *** 32,36 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Position::Type type, QuantLib::Rate strike, double notional, --- 32,36 ---- const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Position::Type type, QuantLib::Rate strike, double notional, Index: forwardrateagreement.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** forwardrateagreement.cpp 10 Jul 2006 18:10:30 -0000 1.7 --- forwardrateagreement.cpp 5 Dec 2006 10:20:21 -0000 1.8 *************** *** 30,34 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Position::Type type, QuantLib::Rate strike, double notional, --- 30,34 ---- const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Position::Type type, QuantLib::Rate strike, double notional, Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** swap.hpp 21 Nov 2006 13:53:09 -0000 1.16 --- swap.hpp 5 Dec 2006 10:20:21 -0000 1.17 *************** *** 49,51 **** #endif - --- 49,50 ---- |
