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From: Marco B. <mar...@us...> - 2006-12-14 15:23:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5530/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: Updated qlRateHelperSelection with 1 more parameter, still unused. Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** ratehelpers.hpp 11 Dec 2006 09:40:05 -0000 1.7 --- ratehelpers.hpp 14 Dec 2006 15:22:48 -0000 1.8 *************** *** 73,76 **** --- 73,78 ---- }; + // Process the set of curve bootstrapping instruments + // and selects a subset according to the given rules and parameters std::vector<std::string> qlRateHelperSelection( const std::vector<std::string>& instrumentIDs, *************** *** 78,82 **** const std::vector<long>& priority, const long nFutures, ! const long frontContractRollingDays); } --- 80,85 ---- const std::vector<long>& priority, const long nFutures, ! const long frontFuturesRollingDays, ! const bool depoIncludeFlag); } Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** ratehelpers.cpp 11 Dec 2006 09:40:05 -0000 1.12 --- ratehelpers.cpp 14 Dec 2006 15:22:47 -0000 1.13 *************** *** 143,158 **** std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentID, const std::vector<bool>& includeFlag, const std::vector<long>& priority, const long nFutures, ! const long frontContractRollingDays) { ! QL_REQUIRE(!instrumentID.empty(), "no instrument given"); ! QL_REQUIRE(frontContractRollingDays>=0, ! "negative (" << frontContractRollingDays << ! ")frontContractRollingDays"); ! ! QuantLib::Size nInstruments = instrumentID.size(); QL_REQUIRE(includeFlag.size()==nInstruments, "includeFlag / instruments mismatch"); --- 143,159 ---- std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentIDs, const std::vector<bool>& includeFlag, const std::vector<long>& priority, const long nFutures, ! const long frontFuturesRollingDays, ! const bool depoIncludeFlag) { ! // Checks ! QL_REQUIRE(!instrumentIDs.empty(), "no instrument given"); ! QL_REQUIRE(frontFuturesRollingDays>=0, ! "negative (" << frontFuturesRollingDays << ! ")frontFuturesRollingDays"); ! QuantLib::Size nInstruments = instrumentIDs.size(); QL_REQUIRE(includeFlag.size()==nInstruments, "includeFlag / instruments mismatch"); *************** *** 164,170 **** boost::shared_ptr<QuantLib::RateHelper> qlrh; QuantLib::Size i; ! for (i=0; i<nInstruments; i++) ! { ! OH_GET_OBJECT(qlarh, instrumentID[i], RateHelper); bool isFutures; if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) --- 165,170 ---- boost::shared_ptr<QuantLib::RateHelper> qlrh; QuantLib::Size i; ! for (i=0; i<nInstruments; i++) { ! OH_GET_OBJECT(qlarh, instrumentIDs[i], RateHelper); bool isFutures; if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) *************** *** 172,179 **** else isFutures = false; - qlarh->getLibraryObject(qlrh); rhsAll.push_back(detail::RateHelperItem(isFutures, ! instrumentID[i], includeFlag[i], priority[i], --- 172,178 ---- else isFutures = false; qlarh->getLibraryObject(qlrh); rhsAll.push_back(detail::RateHelperItem(isFutures, ! instrumentIDs[i], includeFlag[i], priority[i], *************** *** 182,192 **** } ! // preliminary sort RateHelperItems according to // their latest date and priority std::sort(rhsAll.begin(), rhsAll.end(), detail::RateHelperPrioritySorter()); ! // purge input rate helpers according to their includeFlag, ! // their expiration, and maximum number of allowed futures long futuresCounter = 0; QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); --- 181,191 ---- } ! // Preliminary sort of RateHelperItems according to // their latest date and priority std::sort(rhsAll.begin(), rhsAll.end(), detail::RateHelperPrioritySorter()); ! // Select input rate helpers according to their includeFlag, ! // their expiration, maximum number of allowed Futures and depoIncludeFlag long futuresCounter = 0; QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); *************** *** 197,201 **** rhs.push_back(rhsAll[i]); } else if (futuresCounter<nFutures && ! (rhsAll[i].earliestDate-2-frontContractRollingDays >= evalDate)) { futuresCounter++; rhs.push_back(rhsAll[i]); --- 196,200 ---- rhs.push_back(rhsAll[i]); } else if (futuresCounter<nFutures && ! (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { futuresCounter++; rhs.push_back(rhsAll[i]); *************** *** 206,210 **** std::vector<std::string> result; ! // zero or one rate helper left if (rhs.size()<2) { std::vector<detail::RateHelperItem>::const_iterator i; --- 205,209 ---- std::vector<std::string> result; ! // Zero or one rate helper left if (rhs.size()<2) { std::vector<detail::RateHelperItem>::const_iterator i; *************** *** 214,218 **** } ! // sort rate helpers according to their latest date and priority std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); --- 213,217 ---- } ! // Sort rate helpers according to their latest date and priority std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); *************** *** 222,226 **** result.push_back(rhs[i].objectID); } ! // add the last one in any case result.push_back(rhs[i].objectID); --- 221,225 ---- result.push_back(rhs[i].objectID); } ! // Add the last one in any case result.push_back(rhs[i].objectID); |
