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From: Marco B. <mar...@us...> - 2006-12-19 14:35:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25354/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: Added "Include Depos after front Futures" parameter to qlRateHelperSelection Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** ratehelpers.hpp 14 Dec 2006 15:22:48 -0000 1.8 --- ratehelpers.hpp 19 Dec 2006 14:35:21 -0000 1.9 *************** *** 1,3 **** - /* Copyright (C) 2005, 2006 Eric Ehlers --- 1,2 ---- *************** *** 24,28 **** #include <ql/Indexes/iborindex.hpp> #include <ql/TermStructures/ratehelpers.hpp> - #include <oh/objhandler.hpp> --- 23,26 ---- Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** ratehelpers.cpp 14 Dec 2006 15:22:47 -0000 1.13 --- ratehelpers.cpp 19 Dec 2006 14:35:21 -0000 1.14 *************** *** 1,8 **** /* - Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 1,9 ---- /* Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Marco Bianchetti Copyright (C) 2005 Aurelien Chanudet + Copyright (C) 2005, 2006 Eric Ehlers + Copyright (C) 2005 Plamen Neykov This file is part of QuantLib, a free-software/open-source library *************** *** 38,42 **** { quoteHandle_ = quote; - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::DepositRateHelper(quoteHandle_, --- 39,42 ---- *************** *** 59,65 **** quoteHandle_ = price; convAdjHandle_= convAdj; - QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::FuturesRateHelper( --- 59,63 ---- *************** *** 85,89 **** { quoteHandle_ = quote; - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::SwapRateHelper(quoteHandle_, --- 83,86 ---- *************** *** 103,106 **** --- 100,104 ---- struct RateHelperItem { bool isFutures; + bool isDepo; std::string objectID; bool includeFlag; *************** *** 109,112 **** --- 107,111 ---- QuantLib::Date latestDate; RateHelperItem(bool isFutures, + bool isDepo, const std::string& objectID, const bool includeFlag, *************** *** 114,118 **** const QuantLib::Date& earliestDate, const QuantLib::Date& latestDate) ! : isFutures(isFutures), objectID(objectID), includeFlag(includeFlag), priority(priority), earliestDate(earliestDate), latestDate(latestDate) {} --- 113,117 ---- const QuantLib::Date& earliestDate, const QuantLib::Date& latestDate) ! : isFutures(isFutures), isDepo(isDepo), objectID(objectID), includeFlag(includeFlag), priority(priority), earliestDate(earliestDate), latestDate(latestDate) {} *************** *** 124,131 **** bool operator()(const RateHelperItem& h1, const RateHelperItem& h2) const { - if (h1.latestDate > h2.latestDate) return false; - if (h1.latestDate == h2.latestDate) { if (h1.priority > h2.priority) { --- 123,128 ---- *************** *** 135,141 **** } } - return true; - } }; --- 132,136 ---- *************** *** 167,177 **** for (i=0; i<nInstruments; i++) { OH_GET_OBJECT(qlarh, instrumentIDs[i], RateHelper); ! bool isFutures; if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) isFutures = true; else isFutures = false; qlarh->getLibraryObject(qlrh); rhsAll.push_back(detail::RateHelperItem(isFutures, instrumentIDs[i], includeFlag[i], --- 162,177 ---- for (i=0; i<nInstruments; i++) { OH_GET_OBJECT(qlarh, instrumentIDs[i], RateHelper); ! bool isFutures, isDepo; if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) isFutures = true; else isFutures = false; + if (boost::dynamic_pointer_cast<DepositRateHelper>(qlarh)) + isDepo = true; + else + isDepo = false; qlarh->getLibraryObject(qlrh); rhsAll.push_back(detail::RateHelperItem(isFutures, + isDepo, instrumentIDs[i], includeFlag[i], *************** *** 190,206 **** long futuresCounter = 0; QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); ! std::vector<detail::RateHelperItem> rhs; for (i=0; i<nInstruments; i++) { ! if (rhsAll[i].includeFlag) { ! if (!rhsAll[i].isFutures && (rhsAll[i].earliestDate >= evalDate)) { ! rhs.push_back(rhsAll[i]); ! } else if (futuresCounter<nFutures && (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { ! futuresCounter++; rhs.push_back(rhsAll[i]); } } } - std::vector<std::string> result; --- 190,234 ---- long futuresCounter = 0; QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); ! std::vector<detail::RateHelperItem> rhs, rhsDepo; ! // Look for the front Futures ! QuantLib::Date frontFuturesEarliestDate; ! bool thereAreFutures = false; ! i = 0; ! while (i<nInstruments) { ! if (rhsAll[i].isFutures && ! (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { ! thereAreFutures = true; ! frontFuturesEarliestDate = rhsAll[i].earliestDate; ! break; ! } ! i++; ! } ! // Start selection ! bool depoAfterFrontFuturesAlreadyIncluded = false; for (i=0; i<nInstruments; i++) { ! if (rhsAll[i].includeFlag && rhsAll[i].earliestDate >= evalDate) { ! if (rhsAll[i].isDepo) { // Check Depo conditions ! if (depoIncludeFlag) rhs.push_back(rhsAll[i]); ! if (!depoIncludeFlag && thereAreFutures) { ! if (rhsAll[i].latestDate <= frontFuturesEarliestDate) { ! rhs.push_back(rhsAll[i]); ! } else { ! if (depoAfterFrontFuturesAlreadyIncluded == false) { ! rhs.push_back(rhsAll[i]); ! depoAfterFrontFuturesAlreadyIncluded = true; ! } ! } ! } ! } else if (rhsAll[i].isFutures) { // Check Futures conditions ! if (futuresCounter<nFutures && (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { ! futuresCounter++; ! rhs.push_back(rhsAll[i]); ! } ! } else { // No conditions for other instruments rhs.push_back(rhsAll[i]); } } } std::vector<std::string> result; |
