quantlibaddin-cvs Mailing List for QuantLibAddin (Page 17)
Brought to you by:
ericehlers,
nando
Menu
▾
▴
quantlibaddin-cvs — High-traffic list for automated CVS check-in messages.
You can subscribe to this list here.
| 2006 |
Jan
|
Feb
|
Mar
|
Apr
|
May
(51) |
Jun
(320) |
Jul
(210) |
Aug
(272) |
Sep
(169) |
Oct
(232) |
Nov
(138) |
Dec
(109) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 |
Jan
(101) |
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
|
From: Giorgio F. <gi...@us...> - 2006-10-23 13:57:42
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14236/qlo Modified Files: swaptionvolstructure.cpp Log Message: Added end criteria in sabr calibration report Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** swaptionvolstructure.cpp 18 Oct 2006 13:48:53 -0000 1.34 --- swaptionvolstructure.cpp 23 Oct 2006 13:57:33 -0000 1.35 *************** *** 27,30 **** --- 27,31 ---- #include <ql/Volatilities/swaptionvolcube.hpp> #include <ql/Volatilities/smilesection.hpp> + #include <ql/Optimization/criteria.hpp> *************** *** 153,157 **** { std::vector<std::vector<boost::any> > sparseSabrParameters; ! QuantLib::Size numberOfColumn = 9; std::vector<boost::any> headings(numberOfColumn); --- 154,158 ---- { std::vector<std::vector<boost::any> > sparseSabrParameters; ! QuantLib::Size numberOfColumn = 10; std::vector<boost::any> headings(numberOfColumn); *************** *** 166,169 **** --- 167,171 ---- headings[7]=std::string("Error"); headings[8]=std::string("Max Error"); + headings[9]=std::string("End Criteria"); *************** *** 173,180 **** { std::vector<boost::any> par(numberOfColumn, std::string("N/A")); ! for(QuantLib::Size j=0; j<sabrParameters.columns(); j++) { ! par[j] = sabrParameters[i][j]; } sparseSabrParameters.push_back(par); } --- 175,199 ---- { std::vector<boost::any> par(numberOfColumn, std::string("N/A")); ! for(QuantLib::Size j=0; j<sabrParameters.columns()-1; j++) { ! par[j] = sabrParameters[i][j]; } + switch (int(sabrParameters[i][numberOfColumn-1])) { + case QuantLib::EndCriteria::none: + par[numberOfColumn-1] = std::string("None"); + break; + case QuantLib::EndCriteria::maxIter: + par[numberOfColumn-1] = std::string("MaxIterations"); + break; + case QuantLib::EndCriteria::statPt: + par[numberOfColumn-1] = std::string("StationaryPoint"); + break; + case QuantLib::EndCriteria::statGd: + par[numberOfColumn-1] = std::string("StationaryGradient"); + break; + default: + par[numberOfColumn-1] = std::string("unknown EndCriteria::Type "); + break; + } sparseSabrParameters.push_back(par); } |
|
From: Ferdinando A. <na...@us...> - 2006-10-23 08:37:31
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11910/gensrc/metadata Modified Files: pricingengines.xml Log Message: 1) blackmodel.hpp content merged into blackformula.hpp 2) pruned useless inclusions Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** pricingengines.xml 7 Oct 2006 14:30:17 -0000 1.23 --- pricingengines.xml 23 Oct 2006 08:37:21 -0000 1.24 *************** *** 1,241 **** <Category name='pricingengines'> ! <description>functions to construct and use PricingEngine objects</description> ! <displayName>Pricing Engines</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/pricingengines.hpp</include> ! <include>qlo/termstructures.hpp</include> ! <include>qlo/swaptionvolstructure.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>qlo/shortratemodels.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <Procedure name='qlBlackFormula'> ! <description>Undiscounted Black formula for option pricing</description> ! <alias>QuantLib::blackFormula</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <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'> ! <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> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation implied in the undiscounted option price by the Black formula</description> ! <alias>QuantLib::blackImpliedStdDevApproximation</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <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'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying forward value</description> ! </Parameter> ! <Parameter name='undiscountedPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>undiscounted option price</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation implied in the undiscounted option price by the Black formula</description> ! <alias>QuantLib::blackImpliedStdDev</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <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'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying forward value</description> ! </Parameter> ! <Parameter name='undiscountedPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>undiscounted option price</description> ! </Parameter> ! <Parameter name='guess' default='QuantLib::Null<double>()'> ! <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> ! <Constructor name='qlPricingEngine'> ! <libraryFunction>PricingEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <C/> ! <Calc/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='engineID'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>engine type</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBinomialPricingEngine'> ! <libraryFunction>PricingEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <Calc/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='engineID'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>engine type</description> ! </Parameter> ! <Parameter name='timeSteps'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>#/time steps</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackSwaptionEngine'> ! <libraryFunction>BlackSwaptionEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='vol' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>SwaptionVolatilityStructure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackCapFloorEngine'> ! <libraryFunction>BlackCapFloorEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='vol' libToHandle='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>CapletVolatilityStructure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackCapFloorEngine2'> ! <libraryFunction>BlackCapFloorEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='vol'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor term volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlAnalyticCapFloorEngine'> ! <libraryFunction>AnalyticCapFloorEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='handleModel' libraryClass='AffineModel'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>affine model (providing a discount bond option pricing formula)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 1,242 ---- <Category name='pricingengines'> ! <description>functions to construct and use PricingEngine objects</description> ! <displayName>Pricing Engines</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>qlo/pricingengines.hpp</include> ! <include>qlo/termstructures.hpp</include> ! <include>qlo/swaptionvolstructure.hpp</include> ! <include>qlo/capletvolstructure.hpp</include> ! <include>qlo/shortratemodels.hpp</include> ! <include>ql/PricingEngines/blackformula.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> ! <Functions> ! <Procedure name='qlBlackFormula'> ! <description>Undiscounted Black formula for option pricing</description> ! <alias>QuantLib::blackFormula</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <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'> ! <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> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlBlackImpliedStdDevApproximation'> ! <description>Approximation for the standard deviation implied in the undiscounted option price by the Black formula</description> ! <alias>QuantLib::blackImpliedStdDevApproximation</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <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'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying forward value</description> ! </Parameter> ! <Parameter name='undiscountedPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>undiscounted option price</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlBlackImpliedStdDev'> ! <description>Standard deviation implied in the undiscounted option price by the Black formula</description> ! <alias>QuantLib::blackImpliedStdDev</alias> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <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'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying forward value</description> ! </Parameter> ! <Parameter name='undiscountedPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>undiscounted option price</description> ! </Parameter> ! <Parameter name='guess' default='QuantLib::Null<double>()'> ! <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> ! <Constructor name='qlPricingEngine'> ! <libraryFunction>PricingEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <C/> ! <Calc/> ! <Guile/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='engineID'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>engine type</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBinomialPricingEngine'> ! <libraryFunction>PricingEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! <Calc/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='engineID'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>engine type</description> ! </Parameter> ! <Parameter name='timeSteps'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>#/time steps</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackSwaptionEngine'> ! <libraryFunction>BlackSwaptionEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='vol' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>SwaptionVolatilityStructure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackCapFloorEngine'> ! <libraryFunction>BlackCapFloorEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='vol' libToHandle='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>CapletVolatilityStructure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackCapFloorEngine2'> ! <libraryFunction>BlackCapFloorEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='vol'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>cap/floor term volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlAnalyticCapFloorEngine'> ! <libraryFunction>AnalyticCapFloorEngine</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='handleModel' libraryClass='AffineModel'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>affine model (providing a discount bond option pricing formula)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> |
|
From: Ferdinando A. <na...@us...> - 2006-10-23 08:37:28
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11910/qlo Modified Files: pricingengines.cpp pricingengines.hpp Log Message: 1) blackmodel.hpp content merged into blackformula.hpp 2) pruned useless inclusions Index: pricingengines.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** pricingengines.cpp 10 Jul 2006 11:24:57 -0000 1.9 --- pricingengines.cpp 23 Oct 2006 08:37:22 -0000 1.10 *************** *** 18,23 **** #include <qlo/pricingengines.hpp> #include <qlo/typefactory.hpp> - #include <ql/handle.hpp> - #include <ql/quote.hpp> namespace QuantLibAddin { --- 18,21 ---- Index: pricingengines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** pricingengines.hpp 28 Aug 2006 10:05:25 -0000 1.8 --- pricingengines.hpp 23 Oct 2006 08:37:22 -0000 1.9 *************** *** 24,28 **** #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> #include <ql/PricingEngines/CapFloor/blackcapfloorengine.hpp> - #include <ql/ShortRateModels/model.hpp> #include <ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp> --- 24,27 ---- |
|
From: Eric E. <eri...@us...> - 2006-10-19 22:08:21
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5573/Addins/C Modified Files: Tag: R000314f0-branch AddinC.vcproj AddinC_vc8.vcproj auto_link.h Log Message: preparing for release Index: auto_link.h =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/auto_link.h,v retrieving revision 1.3 retrieving revision 1.3.2.1 diff -C2 -d -r1.3 -r1.3.2.1 *** auto_link.h 11 Oct 2006 13:39:05 -0000 1.3 --- auto_link.h 19 Oct 2006 22:08:15 -0000 1.3.2.1 *************** *** 19,22 **** --- 19,24 ---- #define qla_c_autolink_hpp + #pragma warning(disable : 4996) + // select toolset: #if (_MSC_VER < 1300) *************** *** 56,60 **** #endif ! #define OH_LIB_NAME "ObjectHandler-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_1_4.lib" #define QL_LIB_NAME "QuantLib-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_3_14.lib" --- 58,62 ---- #endif ! #define OH_LIB_NAME "ObjectHandler-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_1_5.lib" #define QL_LIB_NAME "QuantLib-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_3_14.lib" Index: AddinC.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/AddinC.vcproj,v retrieving revision 1.5 retrieving revision 1.5.2.1 diff -C2 -d -r1.5 -r1.5.2.1 *** AddinC.vcproj 4 Oct 2006 14:25:56 -0000 1.5 --- AddinC.vcproj 19 Oct 2006 22:08:15 -0000 1.5.2.1 *************** *** 148,151 **** --- 148,154 ---- </File> <File + RelativePath=".\settings.cpp"> + </File> + <File RelativePath="varies.cpp"> </File> *************** *** 158,161 **** --- 161,167 ---- Filter="h;hpp;hxx;hm;inl"> <File + RelativePath=".\auto_link.h"> + </File> + <File RelativePath="conversions.hpp"> </File> *************** *** 188,191 **** --- 194,200 ---- </File> <File + RelativePath=".\settings.h"> + </File> + <File RelativePath="varies.h"> </File> Index: AddinC_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/AddinC_vc8.vcproj,v retrieving revision 1.6 retrieving revision 1.6.2.1 diff -C2 -d -r1.6 -r1.6.2.1 *** AddinC_vc8.vcproj 4 Oct 2006 14:25:57 -0000 1.6 --- AddinC_vc8.vcproj 19 Oct 2006 22:08:15 -0000 1.6.2.1 *************** *** 359,362 **** --- 359,366 ---- </File> <File + RelativePath=".\settings.cpp" + > + </File> + <File RelativePath="varies.cpp" > *************** *** 416,419 **** --- 420,427 ---- </File> <File + RelativePath=".\settings.h" + > + </File> + <File RelativePath="varies.h" > |
|
From: Eric E. <eri...@us...> - 2006-10-19 22:08:19
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5573/gensrc/metadata Modified Files: Tag: R000314f0-branch swaption.xml Log Message: preparing for release Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.22 retrieving revision 1.22.2.1 diff -C2 -d -r1.22 -r1.22.2.1 *** swaption.xml 6 Oct 2006 12:08:14 -0000 1.22 --- swaption.xml 19 Oct 2006 22:08:16 -0000 1.22.2.1 *************** *** 53,56 **** --- 53,59 ---- </Constructor> + <!-- + This function is commented out for the 0.3.14 release because + it breaks QuantLibXLDynamic. <Member name='qlSwaptionUnderlyingSwap' objectClass='Swaption'> <description>the underlying swap</description> *************** *** 66,70 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Member name='qlSwaptionImpliedVolatility' libraryClass='Swaption'> --- 69,73 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> <Member name='qlSwaptionImpliedVolatility' libraryClass='Swaption'> |
|
From: Eric E. <eri...@us...> - 2006-10-19 22:08:19
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5573/Clients/C Modified Files: Tag: R000314f0-branch qlademo.c Log Message: preparing for release Index: qlademo.c =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/qlademo.c,v retrieving revision 1.7 retrieving revision 1.7.2.1 diff -C2 -d -r1.7 -r1.7.2.1 *** qlademo.c 7 Oct 2006 12:44:58 -0000 1.7 --- qlademo.c 19 Oct 2006 22:08:16 -0000 1.7.2.1 *************** *** 33,36 **** --- 33,37 ---- long logLevel = 4; Boolean result; + long dummy2; // dummy value for trigger parameter, which we are ignoring Varies dummy; *************** *** 46,50 **** evaluationDate, dummy, ! &result) != SUCCESS) { ohLogMessage("Error on call to qlSetEvaluationDate", logLevel, dummy, &result); goto fail; --- 47,51 ---- evaluationDate, dummy, ! &dummy2) != SUCCESS) { ohLogMessage("Error on call to qlSetEvaluationDate", logLevel, dummy, &result); goto fail; |
|
From: Ferdinando A. <na...@us...> - 2006-10-19 15:05:47
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20589/gensrc Modified Files: qlgensrc_vc8.vcproj Log Message: CapStipper is now usable in the framework Index: qlgensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/qlgensrc_vc8.vcproj,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** qlgensrc_vc8.vcproj 19 Oct 2006 11:16:33 -0000 1.4 --- qlgensrc_vc8.vcproj 19 Oct 2006 15:05:40 -0000 1.5 *************** *** 4,8 **** Version="8.00" Name="qlgensrc" ! ProjectGUID="{88BE5568-6E55-41C5-A251-670FAFB44336}" RootNamespace="gensrc" Keyword="MakeFileProj" --- 4,8 ---- Version="8.00" Name="qlgensrc" ! ProjectGUID="{C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}" RootNamespace="gensrc" Keyword="MakeFileProj" |
|
From: Ferdinando A. <na...@us...> - 2006-10-19 15:05:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20589/qlo Modified Files: capletvolstructure.cpp capletvolstructure.hpp Log Message: CapStipper is now usable in the framework Index: capletvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** capletvolstructure.hpp 12 Oct 2006 14:55:40 -0000 1.3 --- capletvolstructure.hpp 19 Oct 2006 15:05:40 -0000 1.4 *************** *** 29,33 **** class CapletConstantVolatility : public CapletVolatilityStructure { public: ! CapletConstantVolatility(QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter); }; --- 29,33 ---- class CapletConstantVolatility : public CapletVolatilityStructure { public: ! CapletConstantVolatility(const QuantLib::Handle<QuantLib::Quote>& volatility, const QuantLib::DayCounter& dayCounter); }; Index: capletvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** capletvolstructure.cpp 12 Oct 2006 14:55:40 -0000 1.3 --- capletvolstructure.cpp 19 Oct 2006 15:05:40 -0000 1.4 *************** *** 27,36 **** CapletConstantVolatility::CapletConstantVolatility( ! QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::CapletConstantVolatility(volatility, ! dayCounter)); } --- 27,35 ---- CapletConstantVolatility::CapletConstantVolatility( ! const QuantLib::Handle<QuantLib::Quote>& volatility, const QuantLib::DayCounter& dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::CapletConstantVolatility(volatility, dayCounter)); } |
|
From: Ferdinando A. <na...@us...> - 2006-10-19 15:05:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20589/gensrc/metadata Modified Files: capletvolstructure.xml Log Message: CapStipper is now usable in the framework Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** capletvolstructure.xml 19 Oct 2006 11:16:28 -0000 1.24 --- capletvolstructure.xml 19 Oct 2006 15:05:40 -0000 1.25 *************** *** 115,122 **** <ParameterList> <Parameters> ! <Parameter name='volatility' libraryType='QuantLib::Volatility'> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatility</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> --- 115,122 ---- <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'> |
|
From: Eric E. <eri...@us...> - 2006-10-19 14:27:06
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3865/Docs/pages Modified Files: Tag: R000314f0-branch installation.docs Log Message: update docs Index: installation.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/installation.docs,v retrieving revision 1.5 retrieving revision 1.5.2.1 diff -C2 -d -r1.5 -r1.5.2.1 *** installation.docs 11 Oct 2006 13:39:06 -0000 1.5 --- installation.docs 19 Oct 2006 14:26:56 -0000 1.5.2.1 *************** *** 47,51 **** \li <a href="http://quantlib.org/">QuantLib</a> version 0.3.14 ! \li <a href="http://quantlib.org/objecthandler/">ObjectHandler</a> version 0.1.3 \section install_windows Installing under Windows --- 47,51 ---- \li <a href="http://quantlib.org/">QuantLib</a> version 0.3.14 ! \li <a href="http://quantlib.org/objecthandler/">ObjectHandler</a> version 0.1.5 \section install_windows Installing under Windows |
|
From: Eric E. <eri...@us...> - 2006-10-19 11:16:39
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19633/qlo Modified Files: conversions.hpp Log Message: reverse default behavior for invalid index handles: - by default, raise an exception when an invalid index ID is provided - when XML says "failIfEmpty='false'", then return an empty object instead Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** conversions.hpp 30 Aug 2006 15:32:03 -0000 1.16 --- conversions.hpp 19 Oct 2006 11:16:34 -0000 1.17 *************** *** 111,115 **** inline boost::shared_ptr<qlClass> enumOrObject( const std::string &id, ! bool failIfEmpty = false) { if (id.empty()) { if (failIfEmpty) --- 111,115 ---- inline boost::shared_ptr<qlClass> enumOrObject( const std::string &id, ! bool failIfEmpty = true) { if (id.empty()) { if (failIfEmpty) |
|
From: Eric E. <eri...@us...> - 2006-10-19 11:16:39
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19633/gensrc/metadata Modified Files: assetswap.xml bonds.xml capletvolstructure.xml couponvectors.xml forwardrateagreement.xml index.xml ratehelpers.xml swaptionvolstructure.xml Log Message: reverse default behavior for invalid index handles: - by default, raise an exception when an invalid index ID is provided - when XML says "failIfEmpty='false'", then return an empty object instead Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** index.xml 17 Oct 2006 10:22:53 -0000 1.42 --- index.xml 19 Oct 2006 11:16:33 -0000 1.43 *************** *** 501,505 **** <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 501,505 ---- <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** bonds.xml 9 Oct 2006 11:18:09 -0000 1.36 --- bonds.xml 19 Oct 2006 11:16:28 -0000 1.37 *************** *** 494,498 **** <description>settlement days</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 494,498 ---- <description>settlement days</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** ratehelpers.xml 11 Oct 2006 17:22:30 -0000 1.30 --- ratehelpers.xml 19 Oct 2006 11:16:33 -0000 1.31 *************** *** 145,149 **** <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 145,149 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** forwardrateagreement.xml 11 Oct 2006 11:53:24 -0000 1.18 --- forwardrateagreement.xml 19 Oct 2006 11:16:28 -0000 1.19 *************** *** 42,46 **** <description>Notional Amount</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 42,46 ---- <description>Notional Amount</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> Index: assetswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/assetswap.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** assetswap.xml 5 Oct 2006 20:17:09 -0000 1.12 --- assetswap.xml 19 Oct 2006 11:16:28 -0000 1.13 *************** *** 41,45 **** <description>floating leg schedule</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 41,45 ---- <description>floating leg schedule</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** capletvolstructure.xml 17 Oct 2006 10:38:50 -0000 1.23 --- capletvolstructure.xml 19 Oct 2006 11:16:28 -0000 1.24 *************** *** 202,206 **** <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 202,206 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** couponvectors.xml 18 Oct 2006 20:11:37 -0000 1.37 --- couponvectors.xml 19 Oct 2006 11:16:28 -0000 1.38 *************** *** 109,113 **** <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> --- 109,113 ---- <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 190,194 **** <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> --- 190,194 ---- <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 271,275 **** <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> --- 271,275 ---- <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.62 retrieving revision 1.63 diff -C2 -d -r1.62 -r1.63 *** swaptionvolstructure.xml 18 Oct 2006 13:48:53 -0000 1.62 --- swaptionvolstructure.xml 19 Oct 2006 11:16:33 -0000 1.63 *************** *** 395,409 **** <description>swap's fixed leg day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='iborIndexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> ! <Parameter name='iborIndexShortTenorID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 395,409 ---- <description>swap's fixed leg day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> ! <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 502,516 **** <description>swap's fixed leg day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='iborIndexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> ! <Parameter name='iborIndexShortTenorID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 502,516 ---- <description>swap's fixed leg day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='iborIndexID' libraryClass='Xibor' failIfEmpty='false'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> </Parameter> <Parameter name='shortTenor' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>time indicating the short tenor</description> </Parameter> ! <Parameter name='iborIndexShortTenorID' libraryClass='Xibor' failIfEmpty='false'> <type>string</type> <tensorRank>scalar</tensorRank> |
|
From: Eric E. <eri...@us...> - 2006-10-19 11:16:39
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19633/gensrc Modified Files: qlgensrc_vc8.vcproj Log Message: reverse default behavior for invalid index handles: - by default, raise an exception when an invalid index ID is provided - when XML says "failIfEmpty='false'", then return an empty object instead Index: qlgensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/qlgensrc_vc8.vcproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** qlgensrc_vc8.vcproj 18 Oct 2006 20:11:37 -0000 1.3 --- qlgensrc_vc8.vcproj 19 Oct 2006 11:16:33 -0000 1.4 *************** *** 4,8 **** Version="8.00" Name="qlgensrc" ! ProjectGUID="{C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}" RootNamespace="gensrc" Keyword="MakeFileProj" --- 4,8 ---- Version="8.00" Name="qlgensrc" ! ProjectGUID="{88BE5568-6E55-41C5-A251-670FAFB44336}" RootNamespace="gensrc" Keyword="MakeFileProj" |
|
From: Francois du V. <fd...@us...> - 2006-10-19 10:49:48
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8266 Modified Files: swaption.xml Log Message: qlSwaptionAtmRate and qlSwaptionVega added Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** swaption.xml 6 Oct 2006 12:08:14 -0000 1.22 --- swaption.xml 19 Oct 2006 10:49:42 -0000 1.23 *************** *** 88,91 **** --- 88,121 ---- </ReturnValue> </Member> + + <Member name='qlSwaptionAtmRate' libraryClass='Swaption'> + <description>Swaption ATM rate</description> + <libraryFunction>atmRate</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwaptionVega' libraryClass='Swaption'> + <description>Swaption Vega</description> + <libraryFunction>vega</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> </Functions> |
|
From: Francois du V. <fd...@us...> - 2006-10-19 10:48:53
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7828 Modified Files: capfloor.xml Log Message: atm rate description changed Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** capfloor.xml 18 Oct 2006 20:11:37 -0000 1.27 --- capfloor.xml 19 Oct 2006 10:48:49 -0000 1.28 *************** *** 81,85 **** <Member name='qlCapFloorAtmRate' libraryClass='CapFloor'> ! <description>ATM rate</description> <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> --- 81,85 ---- <Member name='qlCapFloorAtmRate' libraryClass='CapFloor'> ! <description>Cap Floor ATM rate</description> <libraryFunction>atmRate</libraryFunction> <SupportedPlatforms> |
|
From: Eric E. <eri...@us...> - 2006-10-19 09:54:03
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17386/gensrc/metadata Modified Files: date.xml Log Message: Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** date.xml 19 Oct 2006 09:11:12 -0000 1.16 --- date.xml 19 Oct 2006 09:53:57 -0000 1.17 *************** *** 68,72 **** </Procedure> ! <!--<Procedure name='qlMaxDate'> <description>returns the latest date allowed in QuantLib.</description> <alias>QuantLib::Date::maxDate</alias> --- 68,72 ---- </Procedure> ! <Procedure name='qlMaxDate2'> <description>returns the latest date allowed in QuantLib.</description> <alias>QuantLib::Date::maxDate</alias> *************** *** 81,85 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure>--> <Procedure name='qlIsLeap'> --- 81,85 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> <Procedure name='qlIsLeap'> *************** *** 146,150 **** </Procedure> ! <!--<Procedure name='qlNextWeekday'> <description>Returns the next given weekday following or equal to the given date (e.g., the Friday following Tuesday, January 15th, 2002 was January 18th, 2002).</description> <alias>QuantLib::Date::nextWeekday</alias> --- 146,150 ---- </Procedure> ! <Procedure name='qlNextWeekday'> <description>Returns the next given weekday following or equal to the given date (e.g., the Friday following Tuesday, January 15th, 2002 was January 18th, 2002).</description> <alias>QuantLib::Date::nextWeekday</alias> *************** *** 159,163 **** <description>date</description> </Parameter> ! <Parameter name='weekday' libraryType='QuantLib::Weekday'> <type>string</type> <tensorRank>scalar</tensorRank> --- 159,163 ---- <description>date</description> </Parameter> ! <Parameter name='weekday' enumeration='QuantLib::Weekday'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 180,194 **** <ParameterList> <Parameters> ! <Parameter name='n-th'> <type>long</type> <tensorRank>scalar</tensorRank> <description>ordinal number (greater than zero, less than 6)</description> </Parameter> ! <Parameter name='weekday' libraryType='QuantLib::Weekday'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Weekday (e.g. Wednesday, or Wed).</description> </Parameter> ! <Parameter name='month' libraryType='QuantLib::Month'> <type>string</type> <tensorRank>scalar</tensorRank> --- 180,194 ---- <ParameterList> <Parameters> ! <Parameter name='nth'> <type>long</type> <tensorRank>scalar</tensorRank> <description>ordinal number (greater than zero, less than 6)</description> </Parameter> ! <Parameter name='weekday' enumeration='QuantLib::Weekday'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Weekday (e.g. Wednesday, or Wed).</description> </Parameter> ! <Parameter name='month' enumeration='QuantLib::Month'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 206,210 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure>--> <Procedure name='qlIsIMMdate'> --- 206,210 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> <Procedure name='qlIsIMMdate'> |
|
From: Ferdinando A. <na...@us...> - 2006-10-19 09:53:50
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17355/qlo Modified Files: utilities.cpp vcconfig.hpp Log Message: Index: utilities.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/utilities.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** utilities.cpp 30 Aug 2006 10:12:49 -0000 1.4 --- utilities.cpp 19 Oct 2006 09:53:46 -0000 1.5 *************** *** 32,36 **** #endif ! #define VERSION_STRING "QuantLib version " QLADDIN_VERSION COMPILER_STRING namespace QuantLibAddin { --- 32,36 ---- #endif ! #define VERSION_STRING "QuantLib " QLADDIN_VERSION COMPILER_STRING namespace QuantLibAddin { Index: vcconfig.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vcconfig.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vcconfig.hpp 12 Jul 2006 16:55:46 -0000 1.1 --- vcconfig.hpp 19 Oct 2006 09:53:46 -0000 1.2 *************** *** 47,56 **** #if defined(_DEBUG) ! # define RUNTIME_CONFIG "Debug" #else ! # define RUNTIME_CONFIG "Release" #endif ! #define COMPILER_STRING " - Microsoft Visual Studio version " VC_VERSION " - Runtime library " RUNTIME_THREAD " " RUNTIME_LINKAGE " " RUNTIME_CONFIG #endif --- 47,56 ---- #if defined(_DEBUG) ! # define RUNTIME_CONFIG "Debug Configuration" #else ! # define RUNTIME_CONFIG "Release Configuration" #endif ! #define COMPILER_STRING " - MS VC++ " VC_VERSION " - " RUNTIME_THREAD " " RUNTIME_LINKAGE " Runtime library - " RUNTIME_CONFIG #endif |
|
From: Ferdinando A. <na...@us...> - 2006-10-19 09:11:17
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31879/gensrc/metadata Modified Files: date.xml enumtypes.xml Log Message: 1) exported Month and Weekday enumerations 2) exported all Date static functions: minDate, maxDate, isLeap, endOfMonth, isEndOfMonth, nextWeekday, nthWeekday Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** date.xml 5 Oct 2006 20:17:09 -0000 1.15 --- date.xml 19 Oct 2006 09:11:12 -0000 1.16 *************** *** 7,11 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> --- 7,11 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> *************** *** 53,56 **** --- 53,211 ---- </Procedure> + <Procedure name='qlMinDate'> + <description>returns the earliest date allowed in QuantLib.</description> + <alias>QuantLib::Date::minDate</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <!--<Procedure name='qlMaxDate'> + <description>returns the latest date allowed in QuantLib.</description> + <alias>QuantLib::Date::maxDate</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure>--> + + <Procedure name='qlIsLeap'> + <description>returns TRUE if a year is leap.</description> + <alias>QuantLib::Date::isLeap</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='year'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>year (e.g. 2006)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlEndOfMonth'> + <description>returns the last day of the month to which the given date belongs.</description> + <alias>QuantLib::Date::endOfMonth</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='date' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>date</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlIsEndOfMonth'> + <description>returns TRUE if a date is the last day of its month.</description> + <alias>QuantLib::Date::isEOM</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='date' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>date</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <!--<Procedure name='qlNextWeekday'> + <description>Returns the next given weekday following or equal to the given date (e.g., the Friday following Tuesday, January 15th, 2002 was January 18th, 2002).</description> + <alias>QuantLib::Date::nextWeekday</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='date' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>date</description> + </Parameter> + <Parameter name='weekday' libraryType='QuantLib::Weekday'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Weekday (e.g. Wednesday, or Wed).</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlNthWeekday'> + <description>Returns the n-th given weekday in the given month and year (e.g., the 4th Thursday of March, 1998 was March 26th, 1998).</description> + <alias>QuantLib::Date::nthWeekday</alias> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='n-th'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>ordinal number (greater than zero, less than 6)</description> + </Parameter> + <Parameter name='weekday' libraryType='QuantLib::Weekday'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Weekday (e.g. Wednesday, or Wed).</description> + </Parameter> + <Parameter name='month' libraryType='QuantLib::Month'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Month (e.g. January, or Jan).</description> + </Parameter> + <Parameter name='year'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>year (e.g. 2006)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure>--> + <Procedure name='qlIsIMMdate'> <description>returns whether or not the given date is an IMM date.</description> *************** *** 149,151 **** </Functions> </Category> - --- 304,305 ---- Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** enumtypes.xml 16 Oct 2006 13:12:41 -0000 1.25 --- enumtypes.xml 19 Oct 2006 09:11:12 -0000 1.26 *************** *** 10,13 **** --- 10,263 ---- <Enumerations> + <Enumeration type='QuantLib::Frequency'> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>NoFrequency</string> + <value>QuantLib::NoFrequency</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>No-Frequency</string> + <value>QuantLib::NoFrequency</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Once</string> + <value>QuantLib::Once</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Annual</string> + <value>QuantLib::Annual</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Semiannual</string> + <value>QuantLib::Semiannual</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Every4Month</string> + <value>QuantLib::EveryFourthMonth</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EveryFourthMonth</string> + <value>QuantLib::EveryFourthMonth</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Every-Fourth-Month</string> + <value>QuantLib::EveryFourthMonth</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Quarterly</string> + <value>QuantLib::Quarterly</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Bimonthly</string> + <value>QuantLib::Bimonthly</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Monthly</string> + <value>QuantLib::Monthly</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Biweekly</string> + <value>QuantLib::Biweekly</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Weekly</string> + <value>QuantLib::Weekly</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Daily</string> + <value>QuantLib::Daily</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + + <Enumeration type='QuantLib::TimeUnit'> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>Days</string> + <value>QuantLib::Days</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Months</string> + <value>QuantLib::Months</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Weeks</string> + <value>QuantLib::Weeks</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Years</string> + <value>QuantLib::Years</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + + <Enumeration type='QuantLib::Month'> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>January</string> + <value>QuantLib::January</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>February</string> + <value>QuantLib::February</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>March</string> + <value>QuantLib::March</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>April</string> + <value>QuantLib::April</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>May</string> + <value>QuantLib::May</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>June</string> + <value>QuantLib::June</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>July</string> + <value>QuantLib::July</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>August</string> + <value>QuantLib::August</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>September</string> + <value>QuantLib::September</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>October</string> + <value>QuantLib::October</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>November</string> + <value>QuantLib::November</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>December</string> + <value>QuantLib::December</value> + </EnumerationDefinition> + + <EnumerationDefinition> + <string>Jan</string> + <value>QuantLib::Jan</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Feb</string> + <value>QuantLib::Feb</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Mar</string> + <value>QuantLib::Mar</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Apr</string> + <value>QuantLib::Apr</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>May</string> + <value>QuantLib::May</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Jun</string> + <value>QuantLib::Jun</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Jul</string> + <value>QuantLib::Jul</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Aug</string> + <value>QuantLib::Aug</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Sep</string> + <value>QuantLib::Sep</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Oct</string> + <value>QuantLib::Oct</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Nov</string> + <value>QuantLib::Nov</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Dec</string> + <value>QuantLib::Dec</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + + <Enumeration type='QuantLib::Weekday'> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>Sunday</string> + <value>QuantLib::Sunday</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Monday</string> + <value>QuantLib::Monday</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Tuesday</string> + <value>QuantLib::Tuesday</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Wednesday</string> + <value>QuantLib::Wednesday</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Thursday</string> + <value>QuantLib::Thursday</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Friday</string> + <value>QuantLib::Friday</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Saturday</string> + <value>QuantLib::Saturday</value> + </EnumerationDefinition> + + <EnumerationDefinition> + <string>Sun</string> + <value>QuantLib::Sun</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Mon</string> + <value>QuantLib::Mon</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Tue</string> + <value>QuantLib::Tue</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Wed</string> + <value>QuantLib::Wed</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Thu</string> + <value>QuantLib::Thu</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Fri</string> + <value>QuantLib::Fri</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Sat</string> + <value>QuantLib::Sat</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + <Enumeration type='QuantLib::EndCriteria::Type'> <constructor>true</constructor> *************** *** 840,905 **** </Enumeration> - <Enumeration type='QuantLib::Frequency'> - <constructor>true</constructor> - <EnumerationDefinitions> - <EnumerationDefinition> - <string>NoFrequency</string> - <value>QuantLib::NoFrequency</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>No-Frequency</string> - <value>QuantLib::NoFrequency</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Once</string> - <value>QuantLib::Once</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Annual</string> - <value>QuantLib::Annual</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Semiannual</string> - <value>QuantLib::Semiannual</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Every4Month</string> - <value>QuantLib::EveryFourthMonth</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>EveryFourthMonth</string> - <value>QuantLib::EveryFourthMonth</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Every-Fourth-Month</string> - <value>QuantLib::EveryFourthMonth</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Quarterly</string> - <value>QuantLib::Quarterly</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Bimonthly</string> - <value>QuantLib::Bimonthly</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Monthly</string> - <value>QuantLib::Monthly</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Biweekly</string> - <value>QuantLib::Biweekly</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Weekly</string> - <value>QuantLib::Weekly</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Daily</string> - <value>QuantLib::Daily</value> - </EnumerationDefinition> - </EnumerationDefinitions> - </Enumeration> - <Enumeration type='QuantLib::Option::Type'> <constructor>true</constructor> --- 1090,1093 ---- *************** *** 930,955 **** </Enumeration> - <Enumeration type='QuantLib::TimeUnit'> - <constructor>true</constructor> - <EnumerationDefinitions> - <EnumerationDefinition> - <string>Days</string> - <value>QuantLib::Days</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Months</string> - <value>QuantLib::Months</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Weeks</string> - <value>QuantLib::Weeks</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Years</string> - <value>QuantLib::Years</value> - </EnumerationDefinition> - </EnumerationDefinitions> - </Enumeration> - <Enumeration type='QuantLib::CubicSpline::BoundaryCondition'> <constructor>false</constructor> --- 1118,1121 ---- |
|
From: Ferdinando A. <na...@us...> - 2006-10-19 09:09:10
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30837 Modified Files: QuantLibObjects.vcproj Log Message: VC7 catching up Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** QuantLibObjects.vcproj 17 Oct 2006 09:23:18 -0000 1.40 --- QuantLibObjects.vcproj 19 Oct 2006 09:09:06 -0000 1.41 *************** *** 725,728 **** --- 725,734 ---- Filter=""> <File + RelativePath=".\qlo\analysis.cpp"> + </File> + <File + RelativePath=".\qlo\analysis.hpp"> + </File> + <File RelativePath="qlo\couponvectors.cpp"> </File> |
|
From: Ferdinando A. <na...@us...> - 2006-10-18 20:11:42
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21901/gensrc/metadata Modified Files: capfloor.xml couponvectors.xml swap.xml Log Message: BPS, NPV, analysis functions/methods for Swap, VanillaSwap, and CashFlowStream Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** couponvectors.xml 11 Oct 2006 11:53:24 -0000 1.36 --- couponvectors.xml 18 Oct 2006 20:11:37 -0000 1.37 *************** *** 9,15 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> --- 9,16 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> + <Functions> *************** *** 85,251 **** </ParameterList> </Constructor> ! ! <Constructor name='qlCMSCouponVector'> ! <libraryFunction>CMSCouponVector</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <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'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='meanReversions'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>mean reversions</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure object ID</description> ! </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlCMSInArrearsCouponVector'> ! <libraryFunction>CMSInArrearsCouponVector</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <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'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='meanReversions'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>mean reversions</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> ! </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlCMSZeroCouponVector'> <libraryFunction>CMSZeroCouponVector</libraryFunction> --- 86,252 ---- </ParameterList> </Constructor> ! ! <Constructor name='qlCMSCouponVector'> ! <libraryFunction>CMSCouponVector</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <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'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='meanReversions'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>mean reversions</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure object ID</description> ! </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlCMSInArrearsCouponVector'> ! <libraryFunction>CMSInArrearsCouponVector</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <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'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='meanReversions'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>mean reversions</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> ! </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlCMSZeroCouponVector'> <libraryFunction>CMSZeroCouponVector</libraryFunction> *************** *** 329,350 **** </Constructor> ! <Member name='qlGetLeg' objectClass='LegWrapper'> ! <description>return coupon details</description> ! <libraryFunction>getLeg</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> </ReturnValue> </Member> ! <Member name='qlGetBPS' objectClass='LegWrapper'> ! <description>basis point sensitivity</description> ! <libraryFunction>getBPS</libraryFunction> <SupportedPlatforms> <Excel/> --- 330,357 ---- </Constructor> ! <Member name='qlCashFlowStreamNPV' objectClass='CashFlowStream'> ! <description>NPV of a CashFlowStream Object</description> ! <libraryFunction>bps</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlCashFlowStreamBPS' objectClass='CashFlowStream'> ! <description>basis point sensitivity of a CashFlowStream Object</description> ! <libraryFunction>bps</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 365,368 **** --- 372,390 ---- </Member> + <Member name='qlCashFlowStreamAnalysis' objectClass='CashFlowStream'> + <description>return coupon details</description> + <libraryFunction>analysis</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + </Functions> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** swap.xml 6 Oct 2006 12:08:14 -0000 1.31 --- swap.xml 18 Oct 2006 20:11:37 -0000 1.32 *************** *** 23,32 **** <ParameterList> <Parameters> ! <Parameter name='paidLegID' objectClass='LegWrapper'> <type>string</type> <tensorRank>scalar</tensorRank> <description>paid leg</description> </Parameter> ! <Parameter name='recvLegID' objectClass='LegWrapper'> <type>string</type> <tensorRank>scalar</tensorRank> --- 23,32 ---- <ParameterList> <Parameters> ! <Parameter name='paidLegID' objectClass='CashFlowStream'> <type>string</type> <tensorRank>scalar</tensorRank> <description>paid leg</description> </Parameter> ! <Parameter name='recvLegID' objectClass='CashFlowStream'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 49,53 **** <ParameterList> <Parameters> ! <Parameter name='legIDs' objectClass='LegWrapper'> <type>string</type> <tensorRank>vector</tensorRank> --- 49,53 ---- <ParameterList> <Parameters> ! <Parameter name='legIDs' objectClass='CashFlowStream'> <type>string</type> <tensorRank>vector</tensorRank> *************** *** 68,74 **** </Constructor> ! <Member name='qlSwapLegAnalysis' objectClass='Swap'> ! <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legAnalysis</libraryFunction> <SupportedPlatforms> <Excel/> --- 68,74 ---- </Constructor> ! <Member name='qlSwapLegBPS' libraryClass='Swap'> ! <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legBPS</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 84,95 **** </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> </ReturnValue> </Member> ! ! <Member name='qlSwapLegBPS' libraryClass='Swap'> ! <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legBPS</libraryFunction> <SupportedPlatforms> <Excel/> --- 84,95 ---- </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! ! <Member name='qlSwapLegNPV' libraryClass='Swap'> ! <description>the NPV of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legNPV</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 109,116 **** </ReturnValue> </Member> ! ! <Member name='qlSwapLegNPV' libraryClass='Swap'> ! <description>the NPV of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legNPV</libraryFunction> <SupportedPlatforms> <Excel/> --- 109,116 ---- </ReturnValue> </Member> ! ! <Member name='qlSwapLegAnalysis' objectClass='Swap'> ! <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legAnalysis</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 126,131 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 126,131 ---- </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> </ReturnValue> </Member> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** capfloor.xml 13 Oct 2006 18:41:48 -0000 1.26 --- capfloor.xml 18 Oct 2006 20:11:37 -0000 1.27 *************** *** 122,126 **** <description>option type (cap, floor or collar)</description> </Parameter> ! <Parameter name='legID' objectClass='LegWrapper'> <type>string</type> <tensorRank>scalar</tensorRank> --- 122,126 ---- <description>option type (cap, floor or collar)</description> </Parameter> ! <Parameter name='legID' objectClass='CashFlowStream'> <type>string</type> <tensorRank>scalar</tensorRank> |
|
From: Ferdinando A. <na...@us...> - 2006-10-18 20:11:42
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21901/qlo Modified Files: capfloor.cpp capfloor.hpp couponvectors.cpp couponvectors.hpp swap.cpp swap.hpp Log Message: BPS, NPV, analysis functions/methods for Swap, VanillaSwap, and CashFlowStream Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** couponvectors.hpp 12 Oct 2006 10:51:30 -0000 1.26 --- couponvectors.hpp 18 Oct 2006 20:11:37 -0000 1.27 *************** *** 22,58 **** #include <oh/objhandler.hpp> #include <qlo/schedule.hpp> #include <qlo/index.hpp> ! #include <ql/CashFlows/cashflowvectors.hpp> ! #include <ql/CashFlows/simplecashflow.hpp> ! #include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/conundrumpricer.hpp> - #include <ql/CashFlows/analysis.hpp> namespace QuantLibAddin { ! typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > Leg; ! ! std::vector<std::vector<boost::any> > flowAnalysis(Leg); ! ! class LegWrapper : public ObjHandler::Object { ! public: ! double getBPS( ! const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const; const Leg& getVector(); - const std::vector<std::vector<boost::any> > getLeg() - { - return flowAnalysis(cashFlowVector_); - } protected: Leg cashFlowVector_; }; ! class SimpleCashFlow : public LegWrapper { public: SimpleCashFlow(double amount, const QuantLib::Date& date); }; ! class SimpleCashFlowVector : public LegWrapper { public: SimpleCashFlowVector(const std::vector<double> amounts, --- 22,50 ---- #include <oh/objhandler.hpp> + #include <qlo/schedule.hpp> #include <qlo/index.hpp> ! #include <qlo/analysis.hpp> ! #include <ql/CashFlows/conundrumpricer.hpp> namespace QuantLibAddin { ! class CashFlowStream : public ObjHandler::Object { ! public: ! QuantLib::Real npv(const QuantLib::Handle<QuantLib::YieldTermStructure>&) const; ! QuantLib::Real bps(const QuantLib::Handle<QuantLib::YieldTermStructure>&) const; ! std::vector<std::vector<boost::any> > analysis() const; const Leg& getVector(); protected: Leg cashFlowVector_; }; ! class SimpleCashFlow : public CashFlowStream { public: SimpleCashFlow(double amount, const QuantLib::Date& date); }; ! class SimpleCashFlowVector : public CashFlowStream { public: SimpleCashFlowVector(const std::vector<double> amounts, *************** *** 60,64 **** }; ! class FixedRateCouponVector : public LegWrapper { public: FixedRateCouponVector( --- 52,56 ---- }; ! class FixedRateCouponVector : public CashFlowStream { public: FixedRateCouponVector( *************** *** 70,74 **** }; ! class FloatingRateCouponVector : public LegWrapper { public: FloatingRateCouponVector( --- 62,66 ---- }; ! class FloatingRateCouponVector : public CashFlowStream { public: FloatingRateCouponVector( *************** *** 95,99 **** }; ! class CMSCouponVector : public LegWrapper { public: CMSCouponVector( --- 87,91 ---- }; ! class CMSCouponVector : public CashFlowStream { public: CMSCouponVector( *************** *** 114,118 **** }; ! class CMSZeroCouponVector : public LegWrapper { public: CMSZeroCouponVector( --- 106,110 ---- }; ! class CMSZeroCouponVector : public CashFlowStream { public: CMSZeroCouponVector( *************** *** 133,137 **** }; ! class CMSInArrearsCouponVector : public LegWrapper { public: CMSInArrearsCouponVector( --- 125,129 ---- }; ! class CMSInArrearsCouponVector : public CashFlowStream { public: CMSInArrearsCouponVector( *************** *** 155,157 **** #endif - --- 147,148 ---- Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** couponvectors.cpp 13 Oct 2006 10:53:59 -0000 1.37 --- couponvectors.cpp 18 Oct 2006 20:11:37 -0000 1.38 *************** *** 27,166 **** #include <qlo/typefactory.hpp> ! #include <ql/CashFlows/fixedratecoupon.hpp> ! #include <ql/CashFlows/floatingratecoupon.hpp> ! #include <ql/CashFlows/parcoupon.hpp> ! namespace QuantLibAddin { ! std::vector<std::vector<boost::any> > flowAnalysis(Leg cashflows) ! { ! std::vector<std::vector<boost::any> > flowAnalysis_; ! ! QuantLib::Size numberOfColumn = 20; ! ! std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Payment Date"); ! headings[1]=std::string("Amount"); ! ! headings[2]=std::string("Nominal"); ! headings[3]=std::string("Accrual Start Date"); ! headings[4]=std::string("Accrual End Date"); ! headings[5]=std::string("Accrual Days"); ! headings[6]=std::string("Day Counter"); ! headings[7]=std::string("Accrual Period"); ! headings[8]=std::string("Effective Rate"); ! ! headings[ 9]=std::string("Fixing Days"); ! headings[10]=std::string("Fixing Dates"); ! headings[11]=std::string("Index"); ! headings[12]=std::string("Floor"); ! headings[13]=std::string("Gearing"); ! headings[14]=std::string("Index Fixing"); ! headings[15]=std::string("Conv. Adj."); ! headings[16]=std::string("Spread"); ! headings[17]=std::string("Cap"); ! headings[18]=std::string("---"); ! headings[19]=std::string("---"); ! ! flowAnalysis_.push_back(headings); ! ! for(QuantLib::Size i=0; i<cashflows.size(); i++) ! { ! std::vector<boost::any> cf(numberOfColumn, std::string("N/A")); ! cf[0]=cashflows[i]->date().serialNumber(); ! try { ! cf[1]=cashflows[i]->amount(); ! } catch(...) { ! } ! boost::shared_ptr<QuantLib::SimpleCashFlow> simpleCashFlow = ! boost::dynamic_pointer_cast<QuantLib::SimpleCashFlow>(cashflows[i]); ! if (simpleCashFlow) { ! flowAnalysis_.push_back(cf); ! continue; ! } ! ! boost::shared_ptr<QuantLib::Coupon> c = ! boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]); ! QL_REQUIRE(c, "error processing cash flow vector - unable to convert item #" << i << ! " to an object of class QuantLib::Coupon") ! cf[2]=c->nominal(); ! cf[3]=c->accrualStartDate().serialNumber(); ! cf[4]=c->accrualEndDate().serialNumber(); ! cf[5]=c->accrualDays(); ! cf[6]=c->dayCounter().name(); ! cf[7]=c->accrualPeriod(); ! try { ! cf[8]=c->rate(); ! } catch(...) { ! } ! boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = ! boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>( ! cashflows[i]); ! boost::shared_ptr<QuantLib::CMSCoupon> cmsCoupon = ! boost::dynamic_pointer_cast<QuantLib::CMSCoupon>( ! cashflows[i]); ! if (cmsCoupon!=0) { ! cf[ 9]=cmsCoupon->fixingDays(); ! cf[10]=cmsCoupon->fixingDate().serialNumber(); ! cf[11]=cmsCoupon->index()->name(); ! cf[12]=cmsCoupon->floor(); ! cf[13]=cmsCoupon->gearing(); ! try { ! cf[14]=cmsCoupon->indexFixing(); ! } catch(...) { ! } ! try { ! cf[15]=cmsCoupon->convexityAdjustment(); ! } ! catch(...) { ! } ! cf[16]=cmsCoupon->spread(); ! cf[17]=cmsCoupon->cap(); ! } else if (floatingCoupon!=0) { ! cf[ 9]=floatingCoupon->fixingDays(); ! cf[10]=floatingCoupon->fixingDate().serialNumber(); ! cf[11]=floatingCoupon->index()->name(); ! cf[12]=std::string("N/A"); ! cf[13]=floatingCoupon->gearing(); ! try { ! cf[14]=floatingCoupon->indexFixing(); ! } catch(...) { ! } ! try { ! cf[15]=floatingCoupon->convexityAdjustment(); ! } catch(...) { ! } ! cf[16]=floatingCoupon->spread(); ! cf[17]=std::string("N/A"); ! } ! flowAnalysis_.push_back(cf); ! } ! return flowAnalysis_; } ! double LegWrapper::getBPS(const QuantLib::Handle< ! QuantLib::YieldTermStructure>& hYTS) const ! { return QuantLib::Cashflows::bps(cashFlowVector_, hYTS); } ! const Leg& LegWrapper::getVector() ! { return cashFlowVector_; } ! ! SimpleCashFlow::SimpleCashFlow(double amount, const QuantLib::Date& date) ! { ! cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>(new QuantLib::SimpleCashFlow(amount,date))); } ! SimpleCashFlowVector::SimpleCashFlowVector(const std::vector<double> amounts, const std::vector<QuantLib::Date>& dates) { for (QuantLib::Size i=0; i < amounts.size(); i++) { cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>( ! new QuantLib::SimpleCashFlow(amounts[i],dates[i]))); } } --- 27,63 ---- #include <qlo/typefactory.hpp> ! #include <ql/CashFlows/cashflowvectors.hpp> ! #include <ql/CashFlows/simplecashflow.hpp> ! #include <ql/CashFlows/cmscoupon.hpp> namespace QuantLibAddin { ! double CashFlowStream::npv(const QuantLib::Handle< QuantLib::YieldTermStructure>& hYTS) const { ! return QuantLib::Cashflows::bps(cashFlowVector_, hYTS); } ! double CashFlowStream::bps(const QuantLib::Handle< QuantLib::YieldTermStructure>& hYTS) const { return QuantLib::Cashflows::bps(cashFlowVector_, hYTS); } + std::vector<std::vector<boost::any> > CashFlowStream::analysis() const { + return flowAnalysis(cashFlowVector_); + } ! const Leg& CashFlowStream::getVector() { return cashFlowVector_; } ! ! SimpleCashFlow::SimpleCashFlow(double amount, const QuantLib::Date& date) { ! cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>(new ! QuantLib::SimpleCashFlow(amount,date))); } ! SimpleCashFlowVector::SimpleCashFlowVector(const std::vector<double> amounts, const std::vector<QuantLib::Date>& dates) { for (QuantLib::Size i=0; i < amounts.size(); i++) { cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>( ! new QuantLib::SimpleCashFlow(amounts[i],dates[i]))); } } *************** *** 172,176 **** const std::vector<double>& couponRates, const QuantLib::DayCounter& dayCount) ! { cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule, convention, --- 69,73 ---- const std::vector<double>& couponRates, const QuantLib::DayCounter& dayCount) ! { cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule, convention, Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** capfloor.cpp 13 Oct 2006 18:41:48 -0000 1.10 --- capfloor.cpp 18 Oct 2006 20:11:37 -0000 1.11 *************** *** 28,32 **** CapFloor::CapFloor( QuantLib::CapFloor::Type type, ! const boost::shared_ptr<LegWrapper>& floatingLegWrapper, const std::vector<QuantLib::Rate>& strikes, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, --- 28,32 ---- CapFloor::CapFloor( QuantLib::CapFloor::Type type, ! const boost::shared_ptr<CashFlowStream>& floatingLegWrapper, const std::vector<QuantLib::Rate>& strikes, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** capfloor.hpp 13 Oct 2006 18:41:48 -0000 1.9 --- capfloor.hpp 18 Oct 2006 20:11:37 -0000 1.10 *************** *** 29,33 **** public: CapFloor(QuantLib::CapFloor::Type type, ! const boost::shared_ptr<LegWrapper>& floatingLegWrapper, const std::vector<QuantLib::Rate>& strikes, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, --- 29,33 ---- public: CapFloor(QuantLib::CapFloor::Type type, ! const boost::shared_ptr<CashFlowStream>& floatingLegWrapper, const std::vector<QuantLib::Rate>& strikes, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** swap.cpp 5 Oct 2006 14:42:51 -0000 1.15 --- swap.cpp 18 Oct 2006 20:11:37 -0000 1.16 *************** *** 29,34 **** namespace QuantLibAddin { ! Swap::Swap(const boost::shared_ptr<LegWrapper>& paidLegWrapper, ! const boost::shared_ptr<LegWrapper>& recvLegWrapper, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { --- 29,34 ---- namespace QuantLibAddin { ! Swap::Swap(const boost::shared_ptr<CashFlowStream>& paidLegWrapper, ! const boost::shared_ptr<CashFlowStream>& recvLegWrapper, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { *************** *** 39,43 **** } ! Swap::Swap(const std::vector<boost::shared_ptr<LegWrapper> >& legWrappers, const std::vector<bool>& payer, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { --- 39,43 ---- } ! Swap::Swap(const std::vector<boost::shared_ptr<CashFlowStream> >& legWrappers, const std::vector<bool>& payer, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { *************** *** 54,60 **** boost::shared_ptr<QuantLib::Swap> temp; getLibraryObject(temp); ! const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = ! temp->leg(i); ! return flowAnalysis(cashflows); } --- 54,58 ---- boost::shared_ptr<QuantLib::Swap> temp; getLibraryObject(temp); ! return flowAnalysis(temp->leg(i)); } Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** swap.hpp 5 Oct 2006 14:42:51 -0000 1.12 --- swap.hpp 18 Oct 2006 20:11:37 -0000 1.13 *************** *** 30,37 **** class Swap : public Instrument { public: ! Swap(const boost::shared_ptr<LegWrapper>& paidLegWrapper, ! const boost::shared_ptr<LegWrapper>& recvLegWrapper, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! Swap(const std::vector<boost::shared_ptr<LegWrapper> >& legWrappers, const std::vector<bool>& payer, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); --- 30,37 ---- class Swap : public Instrument { public: ! Swap(const boost::shared_ptr<CashFlowStream>& paidLegWrapper, ! const boost::shared_ptr<CashFlowStream>& recvLegWrapper, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! Swap(const std::vector<boost::shared_ptr<CashFlowStream> >& legWrappers, const std::vector<bool>& payer, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); |
|
From: Ferdinando A. <na...@us...> - 2006-10-18 20:11:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21901 Modified Files: QuantLibObjects_vc8.vcproj Log Message: BPS, NPV, analysis functions/methods for Swap, VanillaSwap, and CashFlowStream Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** QuantLibObjects_vc8.vcproj 17 Oct 2006 09:23:18 -0000 1.49 --- QuantLibObjects_vc8.vcproj 18 Oct 2006 20:11:36 -0000 1.50 *************** *** 862,865 **** --- 862,873 ---- > <File + RelativePath=".\qlo\analysis.cpp" + > + </File> + <File + RelativePath=".\qlo\analysis.hpp" + > + </File> + <File RelativePath="qlo\couponvectors.cpp" > |
|
From: Ferdinando A. <na...@us...> - 2006-10-18 20:11:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21901/gensrc Modified Files: qlgensrc_vc8.vcproj Log Message: BPS, NPV, analysis functions/methods for Swap, VanillaSwap, and CashFlowStream Index: qlgensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/qlgensrc_vc8.vcproj,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** qlgensrc_vc8.vcproj 18 Oct 2006 13:01:38 -0000 1.2 --- qlgensrc_vc8.vcproj 18 Oct 2006 20:11:37 -0000 1.3 *************** *** 4,8 **** Version="8.00" Name="qlgensrc" ! ProjectGUID="{88BE5568-6E55-41C5-A251-670FAFB44336}" RootNamespace="gensrc" Keyword="MakeFileProj" --- 4,8 ---- Version="8.00" Name="qlgensrc" ! ProjectGUID="{C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}" RootNamespace="gensrc" Keyword="MakeFileProj" |
|
From: Ferdinando A. <na...@us...> - 2006-10-18 19:52:17
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13656/qlo Added Files: analysis.cpp analysis.hpp Log Message: improved flow analysis using Visitor Pattern --- NEW FILE: analysis.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Giorgio Facchinetti 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. */ #ifndef qla_analysis_hpp #define qla_analysis_hpp #include <oh/objhandler.hpp> #include <ql/types.hpp> namespace QuantLib { class CashFlow; } namespace QuantLibAddin { typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > Leg; std::vector<std::vector<boost::any> > flowAnalysis(const Leg& ); } #endif --- NEW FILE: analysis.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 StatPro Italia srl 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/analysis.hpp> #include <ql/CashFlows/cmscoupon.hpp> namespace QuantLibAddin { class AnalysisGenerator : public QuantLib::AcyclicVisitor, public QuantLib::Visitor<QuantLib::CashFlow>, public QuantLib::Visitor<QuantLib::Coupon>, public QuantLib::Visitor<QuantLib::FloatingRateCoupon>, public QuantLib::Visitor<QuantLib::CMSCoupon> { private: std::vector<std::vector<boost::any> > flowAnalysis_; static const QuantLib::Size numberOfColumns_ = 20; public: AnalysisGenerator(); void reset(); void visit(QuantLib::CashFlow& c); void visit(QuantLib::Coupon& c); void visit(QuantLib::FloatingRateCoupon& c); void visit(QuantLib::CMSCoupon& c); const std::vector<std::vector<boost::any> >& analysis() const; }; #define PAYMENT_DATE 0 #define AMOUNT 1 #define NOMINAL 2 #define ACCRUAL_START_DATE 3 #define ACCRUAL_END_DATE 4 #define ACCRUAL_DAYS 5 #define DAY_COUNTER 6 #define ACCRUAL_PERIOD 7 #define EFFECTIVE_RATE 8 #define FIXING_DAYS 9 #define FIXING_DATES 10 #define INDEX 11 #define FLOOR 12 #define GEARING 13 #define INDEX_FIXING 14 #define CONV_ADJ 15 #define SPREAD 16 #define CAP 17 #define FUTUREUSE1 18 #define FUTUREUSE2 19 AnalysisGenerator::AnalysisGenerator() { reset(); } void AnalysisGenerator::reset() { flowAnalysis_.clear(); std::vector<boost::any> headings(numberOfColumns_); headings[PAYMENT_DATE]=std::string("Payment Date"); headings[AMOUNT]=std::string("Amount"); headings[NOMINAL]=std::string("Nominal"); headings[ACCRUAL_START_DATE]=std::string("Accrual Start Date"); headings[ACCRUAL_END_DATE]=std::string("Accrual End Date"); headings[ACCRUAL_DAYS]=std::string("Accrual Days"); headings[DAY_COUNTER]=std::string("Day Counter"); headings[ACCRUAL_PERIOD]=std::string("Accrual Period"); headings[EFFECTIVE_RATE]=std::string("Effective Rate"); headings[FIXING_DAYS]=std::string("Fixing Days"); headings[FIXING_DATES]=std::string("Fixing Dates"); headings[INDEX]=std::string("Index"); headings[FLOOR]=std::string("Floor"); headings[GEARING]=std::string("Gearing"); headings[INDEX_FIXING]=std::string("Index Fixing"); headings[CONV_ADJ]=std::string("Conv. Adj."); headings[SPREAD]=std::string("Spread"); headings[CAP]=std::string("Cap"); headings[FUTUREUSE1]=std::string("---"); headings[FUTUREUSE2]=std::string("---"); flowAnalysis_.push_back(headings); } void AnalysisGenerator::visit(QuantLib::CashFlow& c) { std::vector<boost::any> cf(numberOfColumns_, std::string("N/A")); cf[PAYMENT_DATE]=c.date().serialNumber(); try { cf[AMOUNT]=c.amount(); } catch(...) {} flowAnalysis_.push_back(cf); } void AnalysisGenerator::visit(QuantLib::Coupon& c) { visit(static_cast<QuantLib::CashFlow&>(c)); flowAnalysis_.back()[NOMINAL]=c.nominal(); flowAnalysis_.back()[ACCRUAL_START_DATE]=c.accrualStartDate().serialNumber(); flowAnalysis_.back()[ACCRUAL_END_DATE]=c.accrualEndDate().serialNumber(); flowAnalysis_.back()[ACCRUAL_DAYS]=c.accrualDays(); flowAnalysis_.back()[DAY_COUNTER]=c.dayCounter().name(); flowAnalysis_.back()[ACCRUAL_PERIOD]=c.accrualPeriod(); try { flowAnalysis_.back()[EFFECTIVE_RATE]=c.rate(); } catch(...) {} }; void AnalysisGenerator::visit(QuantLib::FloatingRateCoupon& c) { visit(static_cast<QuantLib::Coupon&>(c)); flowAnalysis_.back()[FIXING_DAYS]=c.fixingDays(); flowAnalysis_.back()[FIXING_DATES]=c.fixingDate().serialNumber(); flowAnalysis_.back()[INDEX]=c.index()->name(); flowAnalysis_.back()[FLOOR]=std::string("N/A"); flowAnalysis_.back()[GEARING]=c.gearing(); try { flowAnalysis_.back()[INDEX_FIXING]=c.indexFixing(); } catch(...) {} try { flowAnalysis_.back()[CONV_ADJ]=c.convexityAdjustment(); } catch(...) {} flowAnalysis_.back()[SPREAD]=c.spread(); flowAnalysis_.back()[CAP]=std::string("N/A"); } void AnalysisGenerator::visit(QuantLib::CMSCoupon& c) { visit(static_cast<QuantLib::Coupon&>(c)); flowAnalysis_.back()[FIXING_DAYS]=c.fixingDays(); flowAnalysis_.back()[FIXING_DATES]=c.fixingDate().serialNumber(); flowAnalysis_.back()[INDEX]=c.index()->name(); flowAnalysis_.back()[FLOOR]=c.floor(); flowAnalysis_.back()[GEARING]=c.gearing(); try { flowAnalysis_.back()[INDEX_FIXING]=c.indexFixing(); } catch(...) {} try { flowAnalysis_.back()[CONV_ADJ]=c.convexityAdjustment(); } catch(...) {} flowAnalysis_.back()[SPREAD]=c.spread(); flowAnalysis_.back()[CAP]=c.cap(); } const std::vector<std::vector<boost::any> >& AnalysisGenerator::analysis() const { return flowAnalysis_; } std::vector<std::vector<boost::any> > flowAnalysis(const Leg& leg) { AnalysisGenerator generator; for(QuantLib::Size i=0; i<leg.size(); i++) leg[i]->accept(generator); return generator.analysis(); } } |
|
From: Ferdinando A. <na...@us...> - 2006-10-18 19:49:43
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12473/qlo Modified Files: vanillaswap.cpp vanillaswap.hpp Log Message: added fixedLegNPV and floatingLegNPV, as for Swap Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** vanillaswap.hpp 12 Oct 2006 14:39:15 -0000 1.13 --- vanillaswap.hpp 18 Oct 2006 19:49:39 -0000 1.14 *************** *** 38,52 **** const QuantLib::DayCounter& floatDayCounter, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! ! std::vector<std::vector<boost::any> > fixedLeg() ! { ! return Swap::legAnalysis(0); ! } ! ! std::vector<std::vector<boost::any> > floatingLeg() ! { ! return Swap::legAnalysis(1); ! } ! }; } --- 38,43 ---- const QuantLib::DayCounter& floatDayCounter, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! std::vector<std::vector<boost::any> > fixedLegAnalysis(); ! std::vector<std::vector<boost::any> > floatingLegAnalysis(); }; } Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** vanillaswap.cpp 12 Oct 2006 14:39:15 -0000 1.10 --- vanillaswap.cpp 18 Oct 2006 19:49:39 -0000 1.11 *************** *** 54,56 **** --- 54,63 ---- } + std::vector<std::vector<boost::any> > VanillaSwap::fixedLegAnalysis() { + return Swap::legAnalysis(0); + } + + std::vector<std::vector<boost::any> > VanillaSwap::floatingLegAnalysis() { + return Swap::legAnalysis(1); + } } |
