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From: Francois du V. <fd...@us...> - 2006-11-17 11:14:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4751 Modified Files: capletvolstructure.xml Log Message: FloatingLeg Helper class has been removed, makeCapFloor is used instead the following arguments have been removed: capScheduleConvention, capScheduleFixingDays, calendar since they are deduced by makeCapFloor redudant includes pruned from test-suite\capsstripper.cpp Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** capletvolstructure.xml 17 Nov 2006 09:21:24 -0000 1.28 --- capletvolstructure.xml 17 Nov 2006 11:14:37 -0000 1.29 *************** *** 168,186 **** <ParameterList> <Parameters> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> - <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>business day convention (e.g. ModifiedFollowing)</description> - </Parameter> - <Parameter name='fixingDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>fixing days (e.g. 2)</description> - </Parameter> <Parameter name='capTenors' libraryType='QuantLib::Period'> <type>string</type> --- 168,171 ---- *************** *** 198,206 **** <description>cap volatilities.</description> </Parameter> - <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual/360)</description> - </Parameter> <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> --- 183,186 ---- *************** *** 213,216 **** --- 193,201 ---- <description>discounting term structure</description> </Parameter> + <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter (e.g. Actual/360)</description> + </Parameter> <Parameter name='impliedVolatilityAccuracy' libraryType='QuantLib::Real'> <type>double</type> |
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From: Francois du V. <fd...@us...> - 2006-11-17 09:21:39
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18214 Modified Files: capletvolstructure.cpp capletvolstructure.hpp Log Message: new CapsStripper constructor provided Smile Sections based CapletVolatilityStructure added Index: capletvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capletvolstructure.hpp 19 Oct 2006 15:05:40 -0000 1.4 --- capletvolstructure.hpp 17 Nov 2006 09:21:36 -0000 1.5 *************** *** 20,23 **** --- 20,24 ---- #include <oh/objhandler.hpp> + #include <ql/Volatilities/capletvolatilitiesstructures.hpp> #include <ql/capvolstructures.hpp> #include <qlo/termstructures.hpp> *************** *** 25,28 **** --- 26,37 ---- namespace QuantLibAddin { + inline double qltest (boost::shared_ptr<QuantLib::SmileSectionInterface> t){ + return QuantLib::test(t); + }; + + inline double qltest2(std::vector<boost::shared_ptr<QuantLib::SmileSectionInterface> > t){ + return QuantLib::test2(t); + }; + class CapletVolatilityStructure : public TermStructure {}; *************** *** 43,48 **** const QuantLib::DayCounter& dayCounter, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure); }; } --- 52,83 ---- const QuantLib::DayCounter& dayCounter, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, ! QuantLib::Real impliedVolatilityAccuracy, ! QuantLib::Size maxEvaluations); ! ! CapsStripper(const QuantLib::Calendar & calendar, ! QuantLib::BusinessDayConvention convention, ! QuantLib::Integer fixingDays, ! const std::vector<QuantLib::Period>& tenors, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const QuantLib::DayCounter& dayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, ! QuantLib::Real impliedVolatilityAccuracy, ! QuantLib::Size maxEvaluationsconst, ! boost::shared_ptr<QuantLib::SmileSectionsVolStructure> ! smileSectionsVolStructure); }; + + class SmileSectionsVolStructure: public CapletVolatilityStructure { + public: + SmileSectionsVolStructure( + const QuantLib::Date& referenceDate, + const QuantLib::DayCounter& dayCounter, + const QuantLib::SmileSectionInterfaceVector& smileSections); + + }; + } Index: capletvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capletvolstructure.cpp 19 Oct 2006 15:05:40 -0000 1.4 --- capletvolstructure.cpp 17 Nov 2006 09:21:36 -0000 1.5 *************** *** 43,54 **** const QuantLib::DayCounter& dayCounter, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::CapsStripper(calendar, convention, fixingDays, tenors, strikes, volatilities, dayCounter, index, ! yieldTermStructure)); } } --- 43,89 ---- const QuantLib::DayCounter& dayCounter, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, ! QuantLib::Real impliedVolatilityAccuracy, ! QuantLib::Size maxEvaluations) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::CapsStripper(calendar, convention, fixingDays, tenors, strikes, volatilities, dayCounter, index, ! yieldTermStructure, impliedVolatilityAccuracy, maxEvaluations)); } + CapsStripper::CapsStripper( + const QuantLib::Calendar& calendar, + QuantLib::BusinessDayConvention convention, + QuantLib::Integer fixingDays, + const std::vector<QuantLib::Period>& tenors, + const std::vector<QuantLib::Rate>& strikes, + const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, + const QuantLib::DayCounter& dayCounter, + const boost::shared_ptr<QuantLib::Xibor>& index, + const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure, + QuantLib::Real impliedVolatilityAccuracy, + QuantLib::Size maxEvaluations, + const boost::shared_ptr<QuantLib::SmileSectionsVolStructure> + smileSectionsVolStructure) + { + libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new + QuantLib::CapsStripper(calendar, convention, fixingDays, + tenors, strikes, volatilities, dayCounter, index, + yieldTermStructure, impliedVolatilityAccuracy, maxEvaluations, + smileSectionsVolStructure)); + } + + + SmileSectionsVolStructure::SmileSectionsVolStructure( + const QuantLib::Date& referenceDate, + const QuantLib::DayCounter& dayCounter, + const QuantLib::SmileSectionInterfaceVector& smileSections){ + libraryObject_ = + boost::shared_ptr<QuantLib::SmileSectionsVolStructure>(new + QuantLib::SmileSectionsVolStructure(referenceDate, + dayCounter, smileSections)); + } + } |
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From: Francois du V. <fd...@us...> - 2006-11-17 09:21:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18173 Modified Files: capletvolstructure.xml Log Message: new CapsStripper constructor provided Smile Sections based CapletVolatilityStructure added Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** capletvolstructure.xml 31 Oct 2006 14:16:19 -0000 1.27 --- capletvolstructure.xml 17 Nov 2006 09:21:24 -0000 1.28 *************** *** 1,257 **** <Category name='capletvolstructure'> ! <description>functions to construct and use CapletVolatilityStructure objects</description> ! <displayName>Caplet Volatility Term Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/index.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>ql/Volatilities/capletconstantvol.hpp</include> ! <include>ql/Volatilities/capstripper.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>blackVariance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the minimum strike for which the term structure can return vols.</description> ! <libraryFunction>minStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMaxStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the maximum strike for which the term structure can return vols.</description> ! <libraryFunction>maxStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant'> ! <libraryFunction>CapletConstantVolatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='volatility' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatility Quote</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!-- CapsStripper interface--> ! <Member name='qlCapsStripperStrikes' libraryClass='CapsStripper'> ! <description>Returns the vector of cap strikes underlying the given ObjectID.</description> ! <libraryFunction>strikes</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapsStripperTenors' libraryClass='CapsStripper'> ! <description>Returns the vector of cap tenors underlying the given ObjectID.</description> ! <libraryFunction>tenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlCapsStripper'> ! <libraryFunction>CapsStripper</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>cap lengths.</description> ! </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap strikes.</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>matrix</tensorRank> ! <description>cap volatilities.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap index</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> - <!-- Handle<CapletVolatilityStructure> --> - <Constructor name='qlHandleCapletVolatilityStructuree'> - <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>ID of the CapletVolatilityStructure object</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> ! <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> ! <libraryFunction>linkTo</libraryFunction> ! <description>relink handle</description> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! </Functions> </Category> --- 1,296 ---- <Category name='capletvolstructure'> ! <description>functions to construct and use CapletVolatilityStructure objects</description> ! <displayName>Caplet Volatility Term Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/index.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>ql/Volatilities/capletconstantvol.hpp</include> ! <include>ql/Volatilities/capstripper.hpp</include> ! <include>qlo/swaptionvolstructure.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> ! <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> ! <libraryFunction>blackVariance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation' const='False'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the minimum strike for which the term structure can return vols.</description> ! <libraryFunction>minStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapletVTSMaxStrike' libraryClass='CapletVolatilityStructure'> ! <description>Returns the maximum strike for which the term structure can return vols.</description> ! <libraryFunction>maxStrike</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant'> ! <libraryFunction>CapletConstantVolatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='volatility' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatility Quote</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <!-- CapsStripper interface--> ! <Member name='qlCapsStripperStrikes' libraryClass='CapsStripper'> ! <description>Returns the vector of cap strikes underlying the given ObjectID.</description> ! <libraryFunction>strikes</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlCapsStripperTenors' libraryClass='CapsStripper'> ! <description>Returns the vector of cap tenors underlying the given ObjectID.</description> ! <libraryFunction>tenors</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlCapsStripper'> ! <libraryFunction>CapsStripper</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>cap lengths.</description> ! </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap strikes.</description> ! </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>matrix</tensorRank> ! <description>cap volatilities.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>cap index</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! <Parameter name='impliedVolatilityAccuracy' libraryType='QuantLib::Real'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility Accuracy.</description> ! </Parameter> ! <Parameter name='maxEvaluations' libraryType='QuantLib::Size'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>implied Volatility max Evaluations.</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlSmileSectionsVolStructure'> ! <libraryFunction>SmileSectionsVolStructure</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='referenceDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>reference date</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='smileSections' libraryClass='SmileSectionInterface'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>smile sections IDs</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <!-- Handle<CapletVolatilityStructure> --> ! <Constructor name='qlHandleCapletVolatilityStructuree'> ! <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> ! <libraryFunction>linkTo</libraryFunction> ! <description>relink handle</description> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! </Functions> </Category> |
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From: Eric E. <eri...@us...> - 2006-11-16 14:06:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32711 Modified Files: todo.eric.csv Log Message: Index: todo.eric.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.eric.csv,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** todo.eric.csv 16 Nov 2006 09:23:51 -0000 1.7 --- todo.eric.csv 16 Nov 2006 14:06:21 -0000 1.8 *************** *** 1,11 **** "project","subproject","task","status","priority","days","comp date","comment" "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository","done?",4,,, ! "OH","Design","refactor OH / OHXL implementation",,1,,, ! "QLXL","Framework","separate QuantLibXL.xla into multiple modules with loader facility",,2,,, ! "QLA","General Support","NSIS scripts for network installations",,2,,, "OH","Design","volatile functions - allow user to specify in function metadata",,2,,, "gensrc","Design","remove platform-specific configuration/code from core gensrc app",,2,2,, "QLA","Design","right-click enumerations: implement proper design using hidden sheet",,2,1,, ! "QLA","Design","enumeration aliases - map multiple strings to single enum value","in progress",2,1,, "QLA","Design","#include fewer headers to speed compilation",,2,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls and Actions/Open Live Feed",,2,2,, --- 1,12 ---- "project","subproject","task","status","priority","days","comp date","comment" "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository","done?",4,,, ! "QLA","General Support","NSIS scripts for network installations","done?",2,,, ! "OH","Design","refactor OH / OHXL implementation (including implementation of coercion)","in progress",1,,, ! "QLXL","Framework","separate QuantLibXL.xla into multiple modules with loader facility","in progress",2,,, ! "QLA","Design","enumeration aliases - map multiple strings to single enum value","in progress",2,1,, "OH","Design","volatile functions - allow user to specify in function metadata",,2,,, "gensrc","Design","remove platform-specific configuration/code from core gensrc app",,2,2,, "QLA","Design","right-click enumerations: implement proper design using hidden sheet",,2,1,, ! "QLA","Design","loop functions - add support for 1) matrix as loop param 2) two vectors as loop params",,,,, "QLA","Design","#include fewer headers to speed compilation",,2,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls and Actions/Open Live Feed",,2,2,, |
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From: Ferdinando A. <na...@us...> - 2006-11-16 14:02:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30485/gensrc/metadata Modified Files: pricingengines.xml Log Message: exported cash probability functions Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** pricingengines.xml 16 Nov 2006 09:05:23 -0000 1.29 --- pricingengines.xml 16 Nov 2006 14:01:59 -0000 1.30 *************** *** 19,23 **** <Procedure name='qlBlackFormula'> ! <description>Black formula for option pricing</description> <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> --- 19,23 ---- <Procedure name='qlBlackFormula'> ! <description>Black 1976 formula for option pricing</description> <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> *************** *** 59,65 **** </Procedure> ! <Procedure name='qlBlackFormula2'> ! <description>Black formula for option pricing</description> ! <alias>QuantLib::blackFormula</alias> <SupportedPlatforms> <Excel/> --- 59,65 ---- </Procedure> ! <Procedure name='qlBlackCashItmProbability'> ! <description>Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.</description> ! <alias>QuantLib::blackCashItmProbability</alias> <SupportedPlatforms> <Excel/> *************** *** 67,74 **** <ParameterList> <Parameters> ! <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PlainVanilla payoff ID</description> </Parameter> <Parameter name='forward'> --- 67,79 ---- <ParameterList> <Parameters> ! <Parameter name='optionType' enumeration='QuantLib::Option::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>option type (i.e. Call or Put)</description> ! </Parameter> ! <Parameter name='strike'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>option strike</description> </Parameter> <Parameter name='forward'> *************** *** 82,90 **** <description>standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry</description> </Parameter> - <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>discount factor</description> - </Parameter> </Parameters> </ParameterList> --- 87,90 ---- *************** *** 96,100 **** <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</alias> <SupportedPlatforms> --- 96,100 ---- <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula</description> <alias>QuantLib::blackImpliedStdDevApproximation</alias> <SupportedPlatforms> *************** *** 137,141 **** <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> --- 137,141 ---- <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula</description> <alias>QuantLib::blackImpliedStdDev</alias> <SupportedPlatforms> *************** *** 188,192 **** <Procedure name='qlBlackStdDevDerivative'> ! <description>Black formula for the derivative with respect to the standard deviation (annualized percentage volatility times the square root of time to option expiry).</description> <alias>QuantLib::blackStdDevDerivative</alias> <SupportedPlatforms> --- 188,192 ---- <Procedure name='qlBlackStdDevDerivative'> ! <description>Black 1976 formula for the derivative with respect to the standard deviation (annualized percentage volatility times the square root of time to option expiry).</description> <alias>QuantLib::blackStdDevDerivative</alias> <SupportedPlatforms> *************** *** 264,267 **** --- 264,489 ---- </Procedure> + <Procedure name='qlBlackFormula2'> + <description>Black 1976 formula for option pricing</description> + <alias>QuantLib::blackFormula</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>PlainVanilla payoff ID</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='stdDev'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry</description> + </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBlackCashItmProbability2'> + <description>Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.</description> + <alias>QuantLib::blackCashItmProbability</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>PlainVanilla payoff ID</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='stdDev'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBlackImpliedStdDevApproximation2'> + <description>Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula</description> + <alias>QuantLib::blackImpliedStdDevApproximation</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>PlainVanilla payoff ID</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='price'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>option price</description> + </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBlackImpliedStdDev2'> + <description>Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula</description> + <alias>QuantLib::blackImpliedStdDev</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>PlainVanilla payoff ID</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='price'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>option price</description> + </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + <Parameter name='guess' default='QuantLib::Null<QuantLib::Real>()'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation guess</description> + </Parameter> + <Parameter name='accuracy' default='1.0e-6'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation accuracy</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBlackStdDevDerivative2'> + <description>Black 1976 formula for the derivative with respect to the standard deviation (annualized percentage volatility times the square root of time to option expiry).</description> + <alias>QuantLib::blackStdDevDerivative</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>PlainVanilla payoff ID</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='stdDev'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation, i.e. annualized volatility times the square root of time to option expiry</description> + </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlBachelierBlackFormula2'> + <description>Black style formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.</description> + <alias>QuantLib::bachelierBlackFormula</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='payoffID' libraryClass='PlainVanillaPayoff'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>PlainVanilla payoff ID</description> + </Parameter> + <Parameter name='forward'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>underlying forward value</description> + </Parameter> + <Parameter name='stdDev'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>standard deviation, i.e. annualized ABSOLUTE volatility times the square root of time to option expiry</description> + </Parameter> + <Parameter name='discount' libraryType='QuantLib::Real' default='1.0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>discount factor</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <!-- BlackCalculator interface and constructor --> <Member name='qlBlackCalculatorValue' libraryClass='BlackCalculator'> |
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From: Ferdinando A. <na...@us...> - 2006-11-16 14:01:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30355 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** todonando.txt 15 Nov 2006 14:23:49 -0000 1.41 --- todonando.txt 16 Nov 2006 14:01:17 -0000 1.42 *************** *** 11,20 **** - abcd per tenore, displacement - trimestrale ! - risposta rm Giorgio - esporre costruttore CMS pricer ad excel (con vol, model, conundrum, reversion) - automatizzare calibrazioni ! - ripristinare controlli su fir sabr - perche' exact yield da gli stessi risultati di black - far funzionare la testsuite (cms put/call patity, swvolcube, --- 11,21 ---- - abcd per tenore, displacement - trimestrale ! - risposta DRM Giorgio + - cmsspreadhelper ??? - esporre costruttore CMS pricer ad excel (con vol, model, conundrum, reversion) - automatizzare calibrazioni ! - ripristinare controlli su fit sabr - perche' exact yield da gli stessi risultati di black - far funzionare la testsuite (cms put/call patity, swvolcube, *************** *** 29,33 **** Eric - - visitor pattern per 3rd parameter dei payoff - reutersFeed performances - esporre a Excel BlackFormula con Payoff --- 30,33 ---- *************** *** 38,42 **** - coerce between Handle<T> and T - coerce between period->date ! - ohparse QuantLib --- 38,44 ---- - coerce between Handle<T> and T - coerce between period->date ! - ohparse. as Fronçois split ! - visitor pattern per 3rd parameter dei payoff ! - name lock-up QuantLib *************** *** 123,126 **** --- 125,129 ---- QUANTLIBXL WORKBOOKS - bid/ask su fwd CMS + - enforce fixings toggle on control panel - foglio swaption per De Nuccio / Murex - bug in InterestRateQuoteFeed |
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From: Ferdinando A. <na...@us...> - 2006-11-16 14:00:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29679/qlo Modified Files: enumclassctors.cpp Log Message: in synch with Eric's latest changes Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** enumclassctors.cpp 13 Nov 2006 09:35:40 -0000 1.30 --- enumclassctors.cpp 16 Nov 2006 14:00:25 -0000 1.31 *************** *** 19,23 **** #include <qlo/enumclassctors.hpp> ! #include <qlo/conversions.hpp> #include <qlo/termstructures.hpp> --- 19,23 ---- #include <qlo/enumclassctors.hpp> ! #include <qlo/Conversions/conversions.hpp> #include <qlo/termstructures.hpp> |
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From: Ferdinando A. <na...@us...> - 2006-11-16 13:31:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17305/gensrc/metadata Modified Files: swap.xml Log Message: unable to put a default value in... Eric: any clue? Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** swap.xml 7 Nov 2006 15:39:19 -0000 1.35 --- swap.xml 16 Nov 2006 13:31:40 -0000 1.36 *************** *** 111,114 **** --- 111,115 ---- <description>mean reversion</description> </Parameter> + <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='0*QuantLib::Days'>--> <!--<Parameter name='forwardStart' libraryType='QuantLib::Period' default='"0D"'>--> <Parameter name='forwardStart' libraryType='QuantLib::Period'> |
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From: Eric E. <eri...@us...> - 2006-11-16 12:39:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28036/gensrc/stubs Modified Files: stub.excel.includes Log Message: consolidate conversion functions in preparation for implementation of coercion Index: stub.excel.includes =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs/stub.excel.includes,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** stub.excel.includes 23 Sep 2006 11:00:44 -0000 1.6 --- stub.excel.includes 16 Nov 2006 12:39:22 -0000 1.7 *************** *** 1,10 **** #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> ! #include <qlo/conversions.hpp> #include <qlo/handle.hpp> %(categoryIncludes)s #include <ohxl/objhandlerxl.hpp> #include <qlxl/session.hpp> ! #include <qlxl/conversions.hpp> #define XLL_DEC DLLEXPORT --- 1,10 ---- #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> ! #include <qlo/Conversions/conversions.hpp> #include <qlo/handle.hpp> %(categoryIncludes)s #include <ohxl/objhandlerxl.hpp> #include <qlxl/session.hpp> ! #include <qlxl/Conversions/conversions.hpp> #define XLL_DEC DLLEXPORT |
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From: Eric E. <eri...@us...> - 2006-11-16 12:39:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28036/qlo/Conversions Added Files: conversions.cpp conversions.hpp Log Message: consolidate conversion functions in preparation for implementation of coercion --- NEW FILE: conversions.cpp --- /* Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) // Dynamically created by configure #include <qlo/config.hpp> #endif #include <qlo/Conversions/conversions.hpp> namespace QuantLibAddin { double libraryToScalar(const QuantLib::InterestRate &i) { return i.rate(); } double libraryToScalar(const QuantLib::Rate &r) { return r; } long libraryToScalar(const QuantLib::Date &d) { return d.serialNumber(); } std::string libraryToScalar(const QuantLib::Period &period) { std::ostringstream s; s << period; return s.str(); } std::vector<std::string> libraryToVector(const std::vector<QuantLib::Period> &v) { std::vector<std::string> ret; for (std::vector<QuantLib::Period>::const_iterator i = v.begin(); i != v.end(); i++) ret.push_back(libraryToScalar(*i)); return ret; } std::vector<long> libraryToVector(const std::vector<QuantLib::Date> &v) { std::vector<long> ret; for (std::vector<QuantLib::Date>::const_iterator i = v.begin(); i != v.end(); i++) ret.push_back(i->serialNumber()); return ret; } std::vector<long> libraryToVector(const std::vector<QuantLib::Size> &v) { std::vector<long> ret; for (std::vector<QuantLib::Size>::const_iterator i = v.begin(); i != v.end(); i++) ret.push_back(*i); return ret; } } --- NEW FILE: conversions.hpp --- /* Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file \brief Miscellaneous utility functions available to clients of %QuantLibAddin i.e. the Addins */ #ifndef qla_conversions_hpp #define qla_conversions_hpp #include <qlo/qladdindefines.hpp> #include <ql/date.hpp> #include <ql/calendar.hpp> #include <ql/interestrate.hpp> #include <ql/handle.hpp> #include <oh/objecthandler.hpp> #include <qlo/handle.hpp> #include <qlo/typefactory.hpp> #include <vector> // Accept an id of an Object in the Repository and return a QuantLib::Handle<qlClass>. // 1) If the id is an empty string then return an empty handle // 2) If the Object is of class QuantLibAddin::Handle then return the contained QuantLib::Handle<qlClass> // 3) If the Object is of class QuantLibAddin::qloClass then convert it to a QuantLib::Handle<qlClass> // 4) Otherwise the Object is of an unexpected class so raise an exception template <class qlClass, class qloClass> inline QuantLib::Handle<qlClass> libToHandle(const std::string &id) { if (id.empty()) { return QuantLib::Handle<qlClass>(); } OH_GET_OBJECT(objectPointer, id, ObjHandler::Object) boost::shared_ptr<QuantLibAddin::Handle<qlClass> > handlePointer = boost::dynamic_pointer_cast<QuantLibAddin::Handle<qlClass> >(objectPointer); if (handlePointer) { return handlePointer->getHandle(); } else { boost::shared_ptr<qloClass> qloPointer = boost::dynamic_pointer_cast<qloClass>(objectPointer); if (qloPointer) { boost::shared_ptr<qlClass> ret; qloPointer->getLibraryObject(ret); return QuantLib::Handle<qlClass>(ret); } else { std::ostringstream msg; msg << "error retrieving object with id '" << id << "' from repository - this object could be converted neither to" << std::endl << " " << typeid(QuantLib::Handle<qlClass>).name() << std::endl << "nor" << std::endl << " " << typeid(qloClass).name(); throw ObjHandler::Exception(msg.str()); } } } // Accept an id of an Object in the Repository and return a boost::shared_ptr<qlClass>. // 1) If the Object is of class QuantLibAddin::Handle then return the contained boost::shared_ptr<qlClass> // 2) If the Object is of class QuantLibAddin::qloClass then return the contained boost::shared_ptr<qlClass> // 3) Otherwise the Object is of an unexpected class so raise an exception template <class qlClass2, class qlClass, class qloClass> inline boost::shared_ptr<qlClass> handleToLib(const std::string &id) { OH_GET_OBJECT(objectPointer, id, ObjHandler::Object) boost::shared_ptr<QuantLibAddin::Handle<qlClass2> > handlePointer = boost::dynamic_pointer_cast<QuantLibAddin::Handle<qlClass2> >(objectPointer); if (handlePointer) { boost::shared_ptr<qlClass2> qlPointer2 = handlePointer->getHandle().currentLink(); if (!qlPointer2) { std::ostringstream msg; msg << "error retrieving object with id '" << id << "' from repository - unable to retrieve reference " << "contained in handle"; throw ObjHandler::Exception(msg.str()); } boost::shared_ptr<qlClass> qlPointer1 = boost::dynamic_pointer_cast<qlClass>(qlPointer2); if (qlPointer1) return qlPointer1; else { std::ostringstream msg; msg << "error retrieving object with id '" << id << "' from repository - unable to convert class from " << " " << typeid(qlClass2).name() << std::endl << " to " << " " << typeid(qlClass).name(); throw ObjHandler::Exception(msg.str()); } } else { boost::shared_ptr<qloClass> qloPointer = boost::dynamic_pointer_cast<qloClass>(objectPointer); if (qloPointer) { boost::shared_ptr<qlClass> ret; qloPointer->getLibraryObject(ret); return ret; } else { std::ostringstream msg; msg << "error retrieving object with id '" << id << "' from repository - this object could be converted neither " << " to " << std::endl << " " << typeid(QuantLib::Handle<qlClass>).name() << " nor " << std::endl << " " << typeid(qloClass).name(); throw ObjHandler::Exception(msg.str()); } } } // enumOrObject - accept a string which is the ID of either // and Enumerated Class or an object in the repository, // and return the appropriate object template <class enumClass, class qlClass, class qloClass> inline boost::shared_ptr<qlClass> enumOrObject( const std::string &id) { QL_REQUIRE(!id.empty(), "attempt to retrieve object with null string as ID"); if (QuantLibAddin::Create<boost::shared_ptr<enumClass> >().checkType(id)) { boost::shared_ptr<enumClass> ret = QuantLibAddin::Create<boost::shared_ptr<enumClass> >()(id); boost::shared_ptr<qlClass> ret2 = boost::dynamic_pointer_cast<qlClass>(ret); if (ret2) return ret2; else QL_FAIL("Unable to convert enumerated class with ID " << id << " to class " << typeid(qloClass).name()); } else { OH_GET_REFERENCE(ret, id, qloClass, qlClass) return ret; } } template <class enumClass, class qlClass, class qloClass> inline std::vector<boost::shared_ptr<qlClass> > enumOrObjectVector( const std::vector<std::string> &ids) { std::vector<boost::shared_ptr<qlClass> > ret; for (std::vector<std::string>::const_iterator i = ids.begin(); i != ids.end(); i++) ret.push_back(enumOrObject<enumClass, qlClass, qloClass>(*i)); return ret; } namespace QuantLibAddin { /*! conversions Conversion of library types to C++ types. Called by autogenerated addin code. */ double libraryToScalar(const QuantLib::InterestRate&); double libraryToScalar(const QuantLib::Rate&); long libraryToScalar(const QuantLib::Date&); std::string libraryToScalar(const QuantLib::Period&); std::vector<long> libraryToVector(const std::vector<QuantLib::Date>&); std::vector<long> libraryToVector(const std::vector<QuantLib::Size>&); std::vector<std::string> libraryToVector(const std::vector<QuantLib::Period>&); } #endif |
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From: Eric E. <eri...@us...> - 2006-11-16 12:39:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28036 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: consolidate conversion functions in preparation for implementation of coercion Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.51 retrieving revision 1.52 diff -C2 -d -r1.51 -r1.52 *** QuantLibObjects_vc8.vcproj 16 Nov 2006 09:22:00 -0000 1.51 --- QuantLibObjects_vc8.vcproj 16 Nov 2006 12:39:21 -0000 1.52 *************** *** 978,991 **** </File> </Filter> ! <File ! RelativePath="qlo\auto_link.hpp" ! > ! </File> ! <File ! RelativePath="qlo\conversions.cpp" > ! </File> <File ! RelativePath="qlo\conversions.hpp" > </File> --- 978,995 ---- </File> </Filter> ! <Filter ! Name="Conversions" > ! <File ! RelativePath=".\qlo\Conversions\conversions.cpp" ! > ! </File> ! <File ! RelativePath=".\qlo\Conversions\conversions.hpp" ! > ! </File> ! </Filter> <File ! RelativePath="qlo\auto_link.hpp" > </File> Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** QuantLibObjects.vcproj 16 Nov 2006 09:22:00 -0000 1.42 --- QuantLibObjects.vcproj 16 Nov 2006 12:39:21 -0000 1.43 *************** *** 832,845 **** </File> </Filter> <File RelativePath="qlo\auto_link.hpp"> </File> <File - RelativePath="qlo\conversions.cpp"> - </File> - <File - RelativePath="qlo\conversions.hpp"> - </File> - <File RelativePath=".\qlo\date.hpp"> </File> --- 832,849 ---- </File> </Filter> + <Filter + Name="Conversions" + Filter=""> + <File + RelativePath=".\qlo\Conversions\conversions.cpp"> + </File> + <File + RelativePath=".\qlo\Conversions\conversions.hpp"> + </File> + </Filter> <File RelativePath="qlo\auto_link.hpp"> </File> <File RelativePath=".\qlo\date.hpp"> </File> |
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From: Eric E. <eri...@us...> - 2006-11-16 12:39:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28036/qlo Removed Files: conversions.cpp conversions.hpp Log Message: consolidate conversion functions in preparation for implementation of coercion --- conversions.cpp DELETED --- --- conversions.hpp DELETED --- |
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From: Eric E. <eri...@us...> - 2006-11-16 12:28:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23122/Conversions Log Message: Directory /cvsroot/quantlibaddin/QuantLibAddin/qlo/Conversions added to the repository |
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From: Eric E. <eri...@us...> - 2006-11-16 10:54:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14665/qlo Modified Files: conversions.hpp Log Message: fix glitch in new conversion: OPER -> std::vector<boost::shared_ptr<QuantLib::XXX> > Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** conversions.hpp 16 Nov 2006 09:56:31 -0000 1.22 --- conversions.hpp 16 Nov 2006 10:54:07 -0000 1.23 *************** *** 159,174 **** } - template <class qlClass, class qloClass> - inline std::vector<boost::shared_ptr<qlClass> > objectVector( - const std::vector<std::string> &ids) { - std::vector<boost::shared_ptr<qlClass> > ret; - for (std::vector<std::string>::const_iterator i = ids.begin(); - i != ids.end(); i++) { - OH_GET_REFERENCE(obj, *i, qloClass, qlClass) - ret.push_back(obj); - } - return ret; - } - namespace QuantLibAddin { --- 159,162 ---- |
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From: Eric E. <eri...@us...> - 2006-11-16 09:56:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21572/qlo Modified Files: conversions.hpp Log Message: add support for an additional conversion: OPER -> std::vector<boost::shared_ptr<QuantLib::XXX> > Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** conversions.hpp 9 Nov 2006 09:29:09 -0000 1.21 --- conversions.hpp 16 Nov 2006 09:56:31 -0000 1.22 *************** *** 159,162 **** --- 159,174 ---- } + template <class qlClass, class qloClass> + inline std::vector<boost::shared_ptr<qlClass> > objectVector( + const std::vector<std::string> &ids) { + std::vector<boost::shared_ptr<qlClass> > ret; + for (std::vector<std::string>::const_iterator i = ids.begin(); + i != ids.end(); i++) { + OH_GET_REFERENCE(obj, *i, qloClass, qlClass) + ret.push_back(obj); + } + return ret; + } + namespace QuantLibAddin { |
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From: Eric E. <eri...@us...> - 2006-11-16 09:23:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7387 Modified Files: todo.eric.csv Log Message: Index: todo.eric.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.eric.csv,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** todo.eric.csv 7 Nov 2006 14:26:06 -0000 1.6 --- todo.eric.csv 16 Nov 2006 09:23:51 -0000 1.7 *************** *** 1,62 **** ! project,subproject,task,status,priority,days,comp date,comment ! QLA,Design,"add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",done?,4,,, ! OH,Design,refactor OH / OHXL implementation,,1,,, ! QLXL,Framework,separate QuantLibXL.xla into multiple modules with loader facility,,2,,, ! QLA,General Support,NSIS scripts for network installations,,2,,, ! OH,Design,volatile functions - allow user to specify in function metadata,,2,,, ! gensrc,Design,remove platform-specific configuration/code from core gensrc app,,2,2,, ! QLA,Design,right-click enumerations: implement proper design using hidden sheet,,2,1,, ! QLA,Design,enumeration aliases - map multiple strings to single enum value,in progress,2,1,, ! QLA,Design,#include fewer headers to speed compilation,,2,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" ! QLA,General Support,performance profile of workbook YieldCurveMonitor.xls,,2,2,, ! gensrc,Design,return std::pair (see locate in swaptionvolmatrix),,3,1,, ! all,General Support,migrate QLA/QLXL SourceForge projects back into QL,,3,- -,,request deletion of old QLA/QLXL repositories ! OH,Design,update design doc,,3,2,, ! QLA,gensrc,Provide schema for XML,,3,2,, ! OH,Design,"ohDemoObject(parameter1, parameter2) to create an empty object for demo purposes",,4,,, ! OH,Design,Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.,,4,,, ! QLA,Design,use Excel SmartTags to allow interrogation of objects,,4,,, ! QLA,Docs,"include more info in autogenerated docs: enumeration, default value, platform, loop",,4,,, ! QLA,Documentation,segregate documentation for QLA / QLXL / OH,,4,,, ! QLA,Enumerations,wizard: when enums are inputs add optional description suffixed with generic description taken from enum metadata,,4,,, ! QLA,Enumerations,"wizard: suffix description with loop, default parameter, optional parameter, etc information",,4,,, ! QLA,General Support,"C++ examples - add VOs, NPV calculations",,4,,, ! QLA,gensrc,replace Serializer class with Reader class since we will never DeSerialize anything,,4,,, ! QLA,VBA framework,interrogate object repository (GUI browser),,4,,,Plamen? ! OH,Design,"""reflection"" - support member functions dynamically",,5,,, ! OH,Design,allow objects to be grouped,,5,,, ! ! QLA,Design,"Sessions: instead of using workbook as session, allow user to specify session number",,5,,, ! QLA,Enumerations,"add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",?,5,,, ! QLA,General Support,calculate memory usage of repository,,5,,, ! QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,,, ! QLA,VBA framework,access logfile (GUI browser),,5,,, ! ! ! QLA,Enumerations,port ET/EC registry from QuantLibXL to ObjectHandler,on hold,5,,,requires redesign to allow multiple XLLs to share global Registry ! QLA,VBA framework,design for real-time live feed,on hold,3,,, ! QLA,Enumerations,"enumeration as return value (string) should be same as the input value Period, DayCounter",on hold,3,,,already done by Ferdinando? ! ?,?,move stub.enum.types out of GenSrc into QLA,,4,,,this is part of larger task 'remove QL code from core gensrc app' ! QLA,VBA framework,menu options to load/unload XLL/XLA implement as toggle,cancelled,4,,, ! QLA,Functions,port old QLXL functionality into new QLXL,cancelled,4,,, ! QLA,Design,loop functions: 1) template 2) Procedures 3) error per iteration,done,2,,, ! gensrc,Design,Increase max # params for Excel functions,done,5,,, ! QLA,Design,right-click error messages - allow user to click anywhere in the range,done,2,,, ! QLA,gensrc,extend rule.py to support conversion of Guile datatypes,done,5,,, ! gensrc,Design,consolidate Rule/RuleGroup classes,done,2,,, ! gensrc,Design,consolidate functions serializeObjectDict/serializeObjectDict2,done,2,,, ! QLA,General Support,count the number of functions available in the addin,done,5,,, ! OH,Design,ohLastErrorMessage() - analyze a better approach for error handling and diagnostics,done,1,,, ! QLA,Design,export and use Quote (or Handle<Quote>) instead of double to solve the problem of reconstructing objects with default value,done,0,,, ! QLA,Enumerations,EuriborSwapFixA / Eur Libor - fix design problems,done,0,,, ! gensrc,Design,"automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc",done,5,,, ! QLA,General Support,allow for default optimization Method (see as example qlAbcdCapletCalibration in marketmodels.xml),done,1,1,, ! QLA,Design,Joint Calendar as other Calendar (with special string),done,2,"0,5",, ! QLA,General Support,bring the C Addin and QuantLibXLDynamic up to date,done,5,,, ! gensrc,Design,subdivide file qlxl\qladdin.cpp (1MB!) by category,done,2,1,, ! OH,Design,convert objectIDs to uppercase,done,,,, ! OH,Design,implement case-preserving behavior for objectIDs,done,4,,, ! QLA,VBA framework,network launcher/updater for VBA framework - to point to different environments / configuration files,done,1,3,, ! all,General Support,NSIS installers - uninstall old app before installing new,cancelled,1,- -,,not required after network launcher? ! QLA,Launcher,cleaner IPC between launcher & framework,done,2,,, ! QLA,Design,additional dynamic cast in handleToLib for qlTermStructureReferenceDate() etc.,done,2,,, --- 1,62 ---- ! "project","subproject","task","status","priority","days","comp date","comment" ! "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository","done?",4,,, ! "OH","Design","refactor OH / OHXL implementation",,1,,, ! "QLXL","Framework","separate QuantLibXL.xla into multiple modules with loader facility",,2,,, ! "QLA","General Support","NSIS scripts for network installations",,2,,, ! "OH","Design","volatile functions - allow user to specify in function metadata",,2,,, ! "gensrc","Design","remove platform-specific configuration/code from core gensrc app",,2,2,, ! "QLA","Design","right-click enumerations: implement proper design using hidden sheet",,2,1,, ! "QLA","Design","enumeration aliases - map multiple strings to single enum value","in progress",2,1,, ! "QLA","Design","#include fewer headers to speed compilation",,2,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls and Actions/Open Live Feed",,2,2,, ! "gensrc","Design","return std::pair (see locate in swaptionvolmatrix)",,3,1,, ! "all","General Support","migrate QLA/QLXL SourceForge projects back into QL",,3,"- -",,"request deletion of old QLA/QLXL repositories" ! "OH","Design","update design doc",,3,2,, ! "QLA","gensrc","Provide schema for XML",,3,2,, ! "OH","Design","ohDemoObject(parameter1, parameter2) to create an empty object for demo purposes",,4,,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,4,,, ! "QLA","Design","use Excel SmartTags to allow interrogation of objects",,4,,, ! "QLA","Docs","include more info in autogenerated docs: enumeration, default value, platform, loop",,4,,, ! "QLA","Documentation","segregate documentation for QLA / QLXL / OH",,4,,, ! "QLA","Enumerations","wizard: when enums are inputs add optional description suffixed with generic description taken from enum metadata",,4,,, ! "QLA","Enumerations","wizard: suffix description with loop, default parameter, optional parameter, etc information",,4,,, ! "QLA","General Support","C++ examples - add VOs, NPV calculations",,4,,, ! "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,4,,, ! "QLA","VBA framework","interrogate object repository (GUI browser)",,4,,,"Plamen?" ! "OH","Design","""reflection"" - support member functions dynamically",,5,,, ! "OH","Design","allow objects to be grouped",,5,,, ! ,,,,,,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,5,,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple","?",5,,, ! "QLA","General Support","calculate memory usage of repository",,5,,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,,, ! "QLA","VBA framework","access logfile (GUI browser)",,5,,, ! ,,,,,,, ! ,,,,,,, ! "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold",5,,,"requires redesign to allow multiple XLLs to share global Registry" ! "QLA","VBA framework","design for real-time live feed","on hold",3,,, ! "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter","on hold",3,,,"already done by Ferdinando?" ! "?","?","move stub.enum.types out of GenSrc into QLA",,4,,,"this is part of larger task 'remove QL code from core gensrc app'" ! "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","cancelled",4,,, ! "QLA","Functions","port old QLXL functionality into new QLXL","cancelled",4,,, ! "QLA","Design","loop functions: 1) template 2) Procedures 3) error per iteration","done",2,,, ! "gensrc","Design","Increase max # params for Excel functions","done",5,,, ! "QLA","Design","right-click error messages - allow user to click anywhere in the range","done",2,,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes","done",5,,, ! "gensrc","Design","consolidate Rule/RuleGroup classes","done",2,,, ! "gensrc","Design","consolidate functions serializeObjectDict/serializeObjectDict2","done",2,,, ! "QLA","General Support","count the number of functions available in the addin","done",5,,, ! "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics","done",1,,, ! "QLA","Design","export and use Quote (or Handle<Quote>) instead of double to solve the problem of reconstructing objects with default value","done",0,,, ! "QLA","Enumerations","EuriborSwapFixA / Eur Libor - fix design problems","done",0,,, ! "gensrc","Design","automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc","done",5,,, ! "QLA","General Support","allow for default optimization Method (see as example qlAbcdCapletCalibration in marketmodels.xml)","done",1,1,, ! "QLA","Design","Joint Calendar as other Calendar (with special string)","done",2,"0,5",, ! "QLA","General Support","bring the C Addin and QuantLibXLDynamic up to date","done",5,,, ! "gensrc","Design","subdivide file qlxl\qladdin.cpp (1MB!) by category","done",2,1,, ! "OH","Design","convert objectIDs to uppercase","done",,,, ! "OH","Design","implement case-preserving behavior for objectIDs","done",4,,, ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files","done",1,3,, ! "all","General Support","NSIS installers - uninstall old app before installing new","cancelled",1,"- -",,"not required after network launcher?" ! "QLA","Launcher","cleaner IPC between launcher & framework","done",2,,, ! "QLA","Design","additional dynamic cast in handleToLib for qlTermStructureReferenceDate() etc.","done",2,,, |
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From: Eric E. <eri...@us...> - 2006-11-16 09:22:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6563/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: enable looping for qlSwaptionVTSVolatility Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.77 retrieving revision 1.78 diff -C2 -d -r1.77 -r1.78 *** swaptionvolstructure.xml 15 Nov 2006 11:19:20 -0000 1.77 --- swaptionvolstructure.xml 16 Nov 2006 09:22:03 -0000 1.78 *************** *** 17,22 **** <!-- SwaptionVolatilityStructure interface--> ! <!--<Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='expiry'>--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> --- 17,21 ---- <!-- SwaptionVolatilityStructure interface--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='expiry'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> *************** *** 28,32 **** <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> --- 27,31 ---- <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> *************** *** 36,45 **** <description>Underlying swap length as period (e.g. 5Y)</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation'> <type>bool</type> <tensorRank>scalar</tensorRank> --- 35,44 ---- <description>Underlying swap length as period (e.g. 5Y)</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate' const='False'> <type>double</type> <tensorRank>scalar</tensorRank> <description>swaption strike vector</description> </Parameter> ! <Parameter name='allowExtrapolation' const='False'> <type>bool</type> <tensorRank>scalar</tensorRank> *************** *** 50,54 **** <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 49,53 ---- <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
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From: Eric E. <eri...@us...> - 2006-11-16 09:22:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6563 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: enable looping for qlSwaptionVTSVolatility Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.50 retrieving revision 1.51 diff -C2 -d -r1.50 -r1.51 *** QuantLibObjects_vc8.vcproj 18 Oct 2006 20:11:36 -0000 1.50 --- QuantLibObjects_vc8.vcproj 16 Nov 2006 09:22:00 -0000 1.51 *************** *** 962,969 **** --- 962,977 ---- </File> <File + RelativePath=".\qlo\Loop\loop_interpolation.hpp" + > + </File> + <File RelativePath="qlo\Loop\loop_marketmodels.hpp" > </File> <File + RelativePath=".\qlo\Loop\loop_swaptionvolstructure.hpp" + > + </File> + <File RelativePath="qlo\Loop\loop_termstructures.hpp" > Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** QuantLibObjects.vcproj 19 Oct 2006 09:09:06 -0000 1.41 --- QuantLibObjects.vcproj 16 Nov 2006 09:22:00 -0000 1.42 *************** *** 820,826 **** --- 820,832 ---- </File> <File + RelativePath="qlo\Loop\loop_interpolation.hpp"> + </File> + <File RelativePath="qlo\Loop\loop_marketmodels.hpp"> </File> <File + RelativePath="qlo\Loop\loop_swaptionvolstructure.hpp"> + </File> + <File RelativePath="qlo\Loop\loop_termstructures.hpp"> </File> |
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From: Eric E. <eri...@us...> - 2006-11-16 09:05:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31828/qlo Modified Files: payoffs.hpp Log Message: enable qlBlackFormula2 Index: payoffs.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/payoffs.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** payoffs.hpp 13 Nov 2006 09:35:40 -0000 1.2 --- payoffs.hpp 16 Nov 2006 09:05:23 -0000 1.3 *************** *** 38,41 **** --- 38,43 ---- QuantLib::Real thirdParameter() const; }; + + class PlainVanillaPayoff : public StrikedTypePayoff {}; } |
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From: Eric E. <eri...@us...> - 2006-11-16 09:05:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31828/gensrc/metadata Modified Files: pricingengines.xml Log Message: enable qlBlackFormula2 Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** pricingengines.xml 13 Nov 2006 09:43:42 -0000 1.28 --- pricingengines.xml 16 Nov 2006 09:05:23 -0000 1.29 *************** *** 59,63 **** </Procedure> ! <!--<Procedure name='qlBlackFormula2'> <description>Black formula for option pricing</description> <alias>QuantLib::blackFormula</alias> --- 59,63 ---- </Procedure> ! <Procedure name='qlBlackFormula2'> <description>Black formula for option pricing</description> <alias>QuantLib::blackFormula</alias> *************** *** 93,97 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure>--> <Procedure name='qlBlackImpliedStdDevApproximation'> --- 93,97 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> <Procedure name='qlBlackImpliedStdDevApproximation'> |
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From: Ferdinando A. <na...@us...> - 2006-11-15 14:23:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16803 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** todonando.txt 16 Oct 2006 13:12:42 -0000 1.40 --- todonando.txt 15 Nov 2006 14:23:49 -0000 1.41 *************** *** 1,4 **** --- 1,52 ---- + François + - previous/next control panel + - payoff in BermudanExerciseValue, MultiStepSwaptions + + Cristina + - bid-ask su calibrazione ai fwd CMS + - riordinare gearing/spreads + - cap/floor coupon + + K + - abcd per tenore, displacement + - trimestrale + - risposta rm + + Giorgio + - esporre costruttore CMS pricer ad excel (con vol, model, conundrum, reversion) + - automatizzare calibrazioni + - ripristinare controlli su fir sabr + - perche' exact yield da gli stessi risultati di black + - far funzionare la testsuite (cms put/call patity, swvolcube, + analitico=numerico) + + Marco + - check yield curve + + Chiara + - futures conv adj and swap repricing + - bond + + Eric + - visitor pattern per 3rd parameter dei payoff + - reutersFeed performances + - esporre a Excel BlackFormula con Payoff + - esporre ad excel i metodi commentati in payoff.xml, pricingengines.xml + - loopParameter in swaptionvolstructure.xml + - increment version number + - coerce between double and Quote + - coerce between Handle<T> and T + - coerce between period->date + - ohparse QuantLib + - use atmrate where possible + - riordinare costruttore swap + - swaptionvolcube as observer/observable, lazy + - cash rebate è multistep? + - ripristinare generalità fir SABR + - aggiungere Forward all'enumeration Call/Put + - fissare Gap, SuperShare, etc + - make BlackCalculator observer/observable, make it lazy - fix convertible faceamount bug - deprecate swaptionvol time interface *************** *** 15,18 **** --- 63,73 ---- - Inherit Exercise from Event? - use strategy pattern for simulation termination criteria + - se possibile rispettare la misura ProductSuggested nel Composite + + QuantLib testsuite + - consolidare tutti i multistep in un'unico test + - verificare il pricing degli swap in LMM contro CurveState + - verificare convergenza assoluta del test onestep e di quello multistep + - merge two swaptionvolmatrix tests QuantLib BOND *************** *** 53,57 **** QUANTLIBADDIN ! - break Eric's data conversion (Rate, Vol, etc) - RSG factory - export ImpliedCurve --- 108,112 ---- QUANTLIBADDIN ! - esporre metodi swaption con tenor - RSG factory - export ImpliedCurve *************** *** 61,73 **** - export discount, loglinear selection - use QL folder structure - - creare SWAP indexes enumeration - type coercion - freeze, unfreeze objects ! QUANTLIBXL ! - port old functionalities - Property example? - SWAPTION spreadsheet with multiple prices ! - all spreadsheets with grid - SWAPTIONVOLMATRIX bug - why RateHelpersReutersFeed keeps changing? --- 116,134 ---- - export discount, loglinear selection - use QL folder structure - type coercion - freeze, unfreeze objects + - port old QuantLibXL functionalities + - esportare MultiStepOptionlets ! QUANTLIBXL WORKBOOKS ! - bid/ask su fwd CMS ! - foglio swaption per De Nuccio / Murex ! - bug in InterestRateQuoteFeed ! - nel ControlPanel dare evidenza del feed CMS ! - move all test in the Test folder ! - remove old drafts - Property example? - SWAPTION spreadsheet with multiple prices ! - all spreadsheets with grid prices - SWAPTIONVOLMATRIX bug - why RateHelpersReutersFeed keeps changing? *************** *** 84,85 **** --- 145,151 ---- - INTERPOLATION: spostare vecchi spreadsheets - signed spreadsheet and macro + + QUANTLIBXL VBA + + QUANTLIB launcher + - NSIS network deployment \ No newline at end of file |
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From: Ferdinando A. <na...@us...> - 2006-11-15 11:19:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv587/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: loopParameter romoved, as it doesn't work yet Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.76 retrieving revision 1.77 diff -C2 -d -r1.76 -r1.77 *** swaptionvolstructure.xml 15 Nov 2006 10:41:29 -0000 1.76 --- swaptionvolstructure.xml 15 Nov 2006 11:19:20 -0000 1.77 *************** *** 17,22 **** <!-- SwaptionVolatilityStructure interface--> ! <!--Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='strike'--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='expiry'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> --- 17,22 ---- <!-- SwaptionVolatilityStructure interface--> ! <!--<Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='expiry'>--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> *************** *** 28,32 **** <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> --- 28,32 ---- <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> *************** *** 48,54 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> --- 48,54 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> |
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From: Ferdinando A. <na...@us...> - 2006-11-15 10:41:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16978/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: loopParameter added Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.75 retrieving revision 1.76 diff -C2 -d -r1.75 -r1.76 *** swaptionvolstructure.xml 7 Nov 2006 14:59:30 -0000 1.75 --- swaptionvolstructure.xml 15 Nov 2006 10:41:29 -0000 1.76 *************** *** 18,22 **** <!--Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='strike'--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> --- 18,22 ---- <!--Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='strike'--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='expiry'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> *************** *** 28,32 **** <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> --- 28,32 ---- <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>swaption expiry date</description> </Parameter> *************** *** 50,54 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 50,54 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
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From: Cristina D. <cdu...@us...> - 2006-11-14 12:09:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31435/qlo Modified Files: couponvectors.cpp couponvectors.hpp Log Message: Modified order of inputs (from spread, gearing to grearing, spread in CMSCouponVector, CMSZeroCouponVector, CMSInArrearsCouponVector. Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** couponvectors.hpp 8 Nov 2006 17:31:25 -0000 1.28 --- couponvectors.hpp 14 Nov 2006 12:09:43 -0000 1.29 *************** *** 97,102 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, - const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, --- 97,102 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, *************** *** 116,121 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, - const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, --- 116,121 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, *************** *** 135,140 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, - const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, --- 135,140 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& caps, const std::vector<QuantLib::Real>& floors, Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** couponvectors.cpp 8 Nov 2006 17:31:25 -0000 1.40 --- couponvectors.cpp 14 Nov 2006 12:09:43 -0000 1.41 *************** *** 114,119 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, - const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, --- 114,119 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, *************** *** 131,136 **** fixingDays, dayCounter, - spreads, gearings, caps, floors, --- 131,136 ---- fixingDays, dayCounter, gearings, + spreads, caps, floors, *************** *** 147,152 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, - const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, --- 147,152 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, *************** *** 164,169 **** fixingDays, dayCounter, - spreads, gearings, caps, floors, --- 164,169 ---- fixingDays, dayCounter, gearings, + spreads, caps, floors, *************** *** 181,186 **** QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, - const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, --- 181,186 ---- QuantLib::Integer fixingDays, const QuantLib::DayCounter& dayCounter, const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Real>& spreads, const std::vector<QuantLib::Rate>& caps, const std::vector<QuantLib::Rate>& floors, *************** *** 198,203 **** fixingDays, dayCounter, - spreads, gearings, caps, floors, --- 198,203 ---- fixingDays, dayCounter, gearings, + spreads, caps, floors, |
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From: Cristina D. <cdu...@us...> - 2006-11-14 12:09:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31435/gensrc/metadata Modified Files: couponvectors.xml Log Message: Modified order of inputs (from spread, gearing to grearing, spread in CMSCouponVector, CMSZeroCouponVector, CMSInArrearsCouponVector. Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** couponvectors.xml 8 Nov 2006 17:31:25 -0000 1.43 --- couponvectors.xml 14 Nov 2006 12:09:43 -0000 1.44 *************** *** 124,136 **** <description>day counter</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>spreads</description> </Parameter> ! <Parameter name='gearings'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> <Parameter name='caps' libraryType='QuantLib::Rate'> --- 124,136 ---- <description>day counter</description> </Parameter> ! <Parameter name='gearings'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>spreads</description> </Parameter> <Parameter name='caps' libraryType='QuantLib::Rate'> *************** *** 205,217 **** <description>day counter</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>spreads</description> </Parameter> ! <Parameter name='gearings'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> <Parameter name='caps' libraryType='QuantLib::Rate'> --- 205,217 ---- <description>day counter</description> </Parameter> ! <Parameter name='gearings'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>spreads</description> </Parameter> <Parameter name='caps' libraryType='QuantLib::Rate'> *************** *** 286,298 **** <description>day counter</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>spreads</description> </Parameter> ! <Parameter name='gearings'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> <Parameter name='caps' libraryType='QuantLib::Rate'> --- 286,298 ---- <description>day counter</description> </Parameter> ! <Parameter name='gearings'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>spreads</description> </Parameter> <Parameter name='caps' libraryType='QuantLib::Rate'> |
