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From: Katiuscia M. <kma...@us...> - 2007-01-12 19:00:53
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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); } |
