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From: Marco B. <mar...@us...> - 2006-12-06 18:48:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7338/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp Log Message: Added enumerations for backwardFlat + forwardFlat linear interpolation Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** enumclassctors.cpp 6 Dec 2006 15:30:55 -0000 1.34 --- enumclassctors.cpp 6 Dec 2006 18:47:46 -0000 1.35 *************** *** 1,7 **** /* ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola This file is part of QuantLib, a free-software/open-source library --- 1,9 ---- /* ! Copyright (C) 2006 Marco Bianchetti ! Copyright (C) 2006 Giorgio Facchinetti Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola + Copyright (C) 2005 Plamen Neykov This file is part of QuantLib, a free-software/open-source library *************** *** 189,193 **** } ! /* *** Interpolation1D Linear *** */ boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { --- 191,195 ---- } ! /* *** Linear 1D Interpolation *** */ boost::shared_ptr<QuantLib::Interpolation> LINEAR_Interpolation( dbl_itr& xBegin, dbl_itr& xEnd, dbl_itr& yBegin) { *************** *** 233,236 **** --- 235,264 ---- /* *** YieldTermStructure *** */ //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::BackwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::ForwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 273,276 **** --- 301,330 ---- } //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::BackwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::ForwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 313,316 **** --- 367,396 ---- } //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::BackwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::ForwardFlat>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( const long &nDays, Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** enumclassctors.hpp 6 Dec 2006 15:30:55 -0000 1.31 --- enumclassctors.hpp 6 Dec 2006 18:47:46 -0000 1.32 *************** *** 1,7 **** /* ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola This file is part of QuantLib, a free-software/open-source library --- 1,9 ---- /* ! Copyright (C) 2006 Marco Bianchetti ! Copyright (C) 2006 Giorgio Facchinetti Copyright (C) 2006 Eric Ehlers Copyright (C) 2006 Chiara Fornarola + Copyright (C) 2005 Plamen Neykov This file is part of QuantLib, a free-software/open-source library *************** *** 112,115 **** --- 114,127 ---- /* *** YieldTermStructure *** */ //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 128,131 **** --- 140,153 ---- const QuantLib::DayCounter &dayCounter); //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 144,147 **** --- 166,179 ---- const QuantLib::DayCounter &dayCounter); //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_BACKWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_FORWARDFLAT_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( const long &nDays, |
