[QuantLibAddin-cvs] QuantLibAddin/qlo ratehelpers.cpp, 1.14, 1.15 ratehelpers.hpp, 1.9, 1.10

[Marco B. <mar...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26032/qlo

Modified Files:
	ratehelpers.cpp ratehelpers.hpp 
Log Message:
Inverted meaning of include/exclude depo flag
If there are NOT Futures, force Depo include flag at true.

Index: ratehelpers.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** ratehelpers.hpp	19 Dec 2006 14:35:21 -0000	1.9
--- ratehelpers.hpp	20 Dec 2006 09:33:16 -0000	1.10
***************
*** 79,83 ****
          const long nFutures,
          const long frontFuturesRollingDays,
!         const bool depoIncludeFlag);
  
  }
--- 79,83 ----
          const long nFutures,
          const long frontFuturesRollingDays,
!         bool depoIncludeFlag);
  
  }

Index: ratehelpers.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** ratehelpers.cpp	19 Dec 2006 14:35:21 -0000	1.14
--- ratehelpers.cpp	20 Dec 2006 09:33:16 -0000	1.15
***************
*** 143,147 ****
          const long nFutures,
          const long frontFuturesRollingDays,
!         const bool depoIncludeFlag)
      {
          // Checks
--- 143,147 ----
          const long nFutures,
          const long frontFuturesRollingDays,
!         bool depoIncludeFlag)
      {
          // Checks
***************
*** 191,194 ****
--- 191,195 ----
          QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate();
          std::vector<detail::RateHelperItem> rhs, rhsDepo;
+         long actualFrontFuturesRollingDays = 2+frontFuturesRollingDays;
          // Look for the front Futures
          QuantLib::Date frontFuturesEarliestDate;
***************
*** 197,201 ****
          while (i<nInstruments) {
              if (rhsAll[i].isFutures && 
!                     (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) {
                  thereAreFutures = true;
                  frontFuturesEarliestDate = rhsAll[i].earliestDate;
--- 198,202 ----
          while (i<nInstruments) {
              if (rhsAll[i].isFutures && 
!                     (rhsAll[i].earliestDate-actualFrontFuturesRollingDays >= evalDate)) {
                  thereAreFutures = true;
                  frontFuturesEarliestDate = rhsAll[i].earliestDate;
***************
*** 204,207 ****
--- 205,210 ----
              i++;
          }
+         // If there are NOT Futures, force Depo include flag at true
+         if (!thereAreFutures) depoIncludeFlag = true;
          // Start selection
          bool depoAfterFrontFuturesAlreadyIncluded = false;
***************
*** 209,216 ****
              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) {
--- 212,220 ----
              if (rhsAll[i].includeFlag && rhsAll[i].earliestDate >= evalDate) {
                  if (rhsAll[i].isDepo) {                 // Check Depo conditions
!                     if (!depoIncludeFlag) { 
!                         rhs.push_back(rhsAll[i]);       // Include all depos
!                     } else {
                          if (rhsAll[i].latestDate <= frontFuturesEarliestDate) {
!                             rhs.push_back(rhsAll[i]);   // Stop depos just after the front Futures
                          } else {
                              if (depoAfterFrontFuturesAlreadyIncluded == false) {
***************
*** 222,226 ****
                  } else if (rhsAll[i].isFutures) {       // Check Futures conditions
                      if (futuresCounter<nFutures &&
!                            (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) {
                          futuresCounter++;
                          rhs.push_back(rhsAll[i]);
--- 226,230 ----
                  } else if (rhsAll[i].isFutures) {       // Check Futures conditions
                      if (futuresCounter<nFutures &&
!                            (rhsAll[i].earliestDate-actualFrontFuturesRollingDays >= evalDate)) {
                          futuresCounter++;
                          rhs.push_back(rhsAll[i]);