Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27010/qlo
Modified Files:
couponvectors.cpp couponvectors.hpp
Log Message:
1) added qlCashFlowStreamStartDate and qlCashFlowStreamMaturityDate functions
2) using non deprecated features
Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.34
retrieving revision 1.35
diff -C2 -d -r1.34 -r1.35
*** couponvectors.hpp 21 Dec 2006 09:16:27 -0000 1.34
--- couponvectors.hpp 12 Jan 2007 19:00:47 -0000 1.35
***************
*** 35,38 ****
--- 35,40 ----
class CashFlowStream : public ObjHandler::Object {
public:
+ QuantLib::Date startDate() const;
+ QuantLib::Date maturityDate() const;
QuantLib::Real npv(const QuantLib::Handle<QuantLib::YieldTermStructure>&) const;
QuantLib::Real bps(const QuantLib::Handle<QuantLib::YieldTermStructure>&) const;
Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.45
retrieving revision 1.46
diff -C2 -d -r1.45 -r1.46
*** couponvectors.cpp 21 Dec 2006 09:16:27 -0000 1.45
--- couponvectors.cpp 12 Jan 2007 19:00:47 -0000 1.46
***************
*** 34,37 ****
--- 34,45 ----
namespace QuantLibAddin {
+ QuantLib::Date CashFlowStream::startDate() const {
+ return QuantLib::Cashflows::startDate(cashFlowVector_);
+ }
+
+ QuantLib::Date CashFlowStream::maturityDate() const {
+ return QuantLib::Cashflows::maturityDate(cashFlowVector_);
+ }
+
QuantLib::Real CashFlowStream::npv(const QuantLib::Handle< QuantLib::YieldTermStructure>& hYTS) const {
return QuantLib::Cashflows::bps(cashFlowVector_, hYTS);
***************
*** 73,82 ****
const std::vector<double>& nominals,
const std::vector<double>& couponRates,
! const QuantLib::DayCounter& dayCount) {
cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule,
- convention,
nominals,
couponRates,
! dayCount);
}
--- 81,91 ----
const std::vector<double>& nominals,
const std::vector<double>& couponRates,
! const QuantLib::DayCounter& dayCounter) {
cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule,
nominals,
couponRates,
! dayCounter,
! convention,
! dayCounter);
}
***************
*** 89,98 ****
cashFlowVector_ =
QuantLib::FloatingRateCouponVector(*schedule,
- index->businessDayConvention(),
nominals,
- index->settlementDays(),
index,
! gearings, spreads,
! index->dayCounter());
}
--- 98,108 ----
cashFlowVector_ =
QuantLib::FloatingRateCouponVector(*schedule,
nominals,
index,
! index->dayCounter(),
! index->fixingDays(),
! QuantLib::Following,
! gearings,
! spreads);
}
***************
*** 107,117 ****
const QuantLib::Handle<QuantLib::CapletVolatilityStructure>& volatility) {
cashFlowVector_ = QuantLib::CappedFlooredFloatingRateCouponVector(*schedule,
- index->businessDayConvention(),
nominals,
- index->settlementDays(),
index,
gearings, spreads,
caps, floors,
- index->dayCounter(),
volatility);
--- 117,127 ----
const QuantLib::Handle<QuantLib::CapletVolatilityStructure>& volatility) {
cashFlowVector_ = QuantLib::CappedFlooredFloatingRateCouponVector(*schedule,
nominals,
index,
+ index->dayCounter(),
+ index->fixingDays(),
+ QuantLib::Following,
gearings, spreads,
caps, floors,
volatility);
***************
*** 133,137 ****
const boost::shared_ptr<QuantLib::SwapIndex>& index,
QuantLib::Integer fixingDays,
! const QuantLib::DayCounter& dayCounter,
const std::vector<QuantLib::Real>& gearings,
const std::vector<QuantLib::Real>& spreads,
--- 143,147 ----
const boost::shared_ptr<QuantLib::SwapIndex>& index,
QuantLib::Integer fixingDays,
! const QuantLib::DayCounter& paymentDayCounter,
const std::vector<QuantLib::Real>& gearings,
const std::vector<QuantLib::Real>& spreads,
***************
*** 141,154 ****
{
cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
- paymentAdjustment,
nominals,
index,
fixingDays,
! dayCounter,
gearings,
spreads,
caps,
! floors,
! pricer);
}
--- 151,164 ----
{
cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
nominals,
index,
+ pricer,
+ paymentDayCounter,
fixingDays,
! paymentAdjustment,
gearings,
spreads,
caps,
! floors);
}
***************
*** 159,163 ****
const boost::shared_ptr<QuantLib::SwapIndex>& index,
QuantLib::Integer fixingDays,
! const QuantLib::DayCounter& dayCounter,
const std::vector<QuantLib::Real>& gearings,
const std::vector<QuantLib::Real>& spreads,
--- 169,173 ----
const boost::shared_ptr<QuantLib::SwapIndex>& index,
QuantLib::Integer fixingDays,
! const QuantLib::DayCounter& paymentDayCounter,
const std::vector<QuantLib::Real>& gearings,
const std::vector<QuantLib::Real>& spreads,
***************
*** 167,180 ****
{
cashFlowVector_ = QuantLib::CMSZeroCouponVector(*schedule,
- paymentAdjustment,
nominals,
index,
fixingDays,
! dayCounter,
gearings,
spreads,
caps,
! floors,
! pricer);
}
--- 177,190 ----
{
cashFlowVector_ = QuantLib::CMSZeroCouponVector(*schedule,
nominals,
index,
+ pricer,
+ paymentDayCounter,
fixingDays,
! paymentAdjustment,
gearings,
spreads,
caps,
! floors);
}
***************
*** 186,190 ****
const boost::shared_ptr<QuantLib::SwapIndex>& index,
QuantLib::Integer fixingDays,
! const QuantLib::DayCounter& dayCounter,
const std::vector<QuantLib::Real>& gearings,
const std::vector<QuantLib::Real>& spreads,
--- 196,200 ----
const boost::shared_ptr<QuantLib::SwapIndex>& index,
QuantLib::Integer fixingDays,
! const QuantLib::DayCounter& paymentDayCounter,
const std::vector<QuantLib::Real>& gearings,
const std::vector<QuantLib::Real>& spreads,
***************
*** 194,207 ****
{
cashFlowVector_ = QuantLib::CMSInArrearsCouponVector(*schedule,
! paymentAdjustment,
! nominals,
! index,
! fixingDays,
! dayCounter,
! gearings,
! spreads,
! caps,
! floors,
! pricer);
}
--- 204,217 ----
{
cashFlowVector_ = QuantLib::CMSInArrearsCouponVector(*schedule,
! nominals,
! index,
! pricer,
! paymentDayCounter,
! fixingDays,
! paymentAdjustment,
! gearings,
! spreads,
! caps,
! floors);
}
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