quantlibaddin-cvs Mailing List for QuantLibAddin (Page 18)
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: Ferdinando A. <na...@us...> - 2006-10-18 19:49:42
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12473/gensrc/metadata Modified Files: vanillaswap.xml Log Message: added fixedLegNPV and floatingLegNPV, as for Swap Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** vanillaswap.xml 12 Oct 2006 14:39:15 -0000 1.28 --- vanillaswap.xml 18 Oct 2006 19:49:39 -0000 1.29 *************** *** 105,132 **** </Member> ! <Member name='qlVanillaSwapFixedLeg' objectClass='VanillaSwap'> ! <description>The fixed leg cash flow analysis</description> ! <libraryFunction>fixedLeg</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>matrix</tensorRank> </ReturnValue> </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the fixed leg</description> ! <libraryFunction>fixedLegBPS</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 105,131 ---- </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the fixed leg</description> ! <libraryFunction>fixedLegBPS</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlVanillaSwapFixedLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the fixed leg</description> ! <libraryFunction>fixedLegNPV</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 136,147 **** </Member> ! <Member name='qlVanillaSwapFloatingLeg' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLeg</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 135,147 ---- </Member> ! <Member name='qlVanillaSwapFixedLegAnalysis' objectClass='VanillaSwap'> ! <description>The fixed leg cash flow analysis</description> ! <libraryFunction>fixedLegAnalysis</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 158,162 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 158,177 ---- </SupportedPlatforms> <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlVanillaSwapFloatingLegNPV' libraryClass='VanillaSwap'> ! <description>the NPV of the floating leg</description> ! <libraryFunction>floatingLegNPV</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 166,169 **** --- 181,199 ---- </Member> + <Member name='qlVanillaSwapFloatingLegAnalysis' objectClass='VanillaSwap'> + <description>The floating leg cash flow analysis</description> + <libraryFunction>floatingLegAnalysis</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + </Functions> </Category> |
|
From: Giorgio F. <gi...@us...> - 2006-10-18 13:49:47
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17710/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: bug fixed Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** swaptionvolstructure.cpp 17 Oct 2006 14:38:22 -0000 1.33 --- swaptionvolstructure.cpp 18 Oct 2006 13:48:53 -0000 1.34 *************** *** 139,143 **** isAtmCalibrated )); ! calibrated_=false; } --- 139,150 ---- isAtmCalibrated )); ! ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> ! volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! ! sparseSabrParameters_ = volCube->sparseSabrParameters(); ! denseSabrParameters_ = volCube->denseSabrParameters(); ! marketVolCube_ = volCube->marketVolCube(); ! volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** swaptionvolstructure.hpp 17 Oct 2006 14:38:22 -0000 1.29 --- swaptionvolstructure.hpp 18 Oct 2006 13:48:53 -0000 1.30 *************** *** 98,116 **** ); - void performCalibration() - { - const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> - volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); - - //volCube->performCalculations(); - volCube->performCalibration(); - if(!calibrated_){ - sparseSabrParameters_ = volCube->sparseSabrParameters(); - denseSabrParameters_ = volCube->denseSabrParameters(); - marketVolCube_ = volCube->marketVolCube(); - volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); - } - calibrated_ = true; - } const std::vector<std::vector<boost::any> > getSparseSabrParameters() { --- 98,101 ---- *************** *** 134,139 **** QuantLib::Matrix marketVolCube_; QuantLib::Matrix volCubeAtmCalibrated_; - bool calibrated_; - }; --- 119,122 ---- |
|
From: Giorgio F. <gi...@us...> - 2006-10-18 13:49:01
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17710/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: bug fixed Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.61 retrieving revision 1.62 diff -C2 -d -r1.61 -r1.62 *** swaptionvolstructure.xml 17 Oct 2006 14:38:22 -0000 1.61 --- swaptionvolstructure.xml 18 Oct 2006 13:48:53 -0000 1.62 *************** *** 536,554 **** </Constructor> - <Member name='qlPerformSabrCalibration' objectClass='SwaptionVolatilityCubeBySabr'> - <description>perform Sabr calibration</description> - <libraryFunction>performCalibration</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>void</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> --- 536,539 ---- |
|
From: Eric E. <eri...@us...> - 2006-10-18 13:01:44
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29470/gensrc Modified Files: qlgensrc_vc8.vcproj Log Message: put functioncount.hpp in Functions directory Index: qlgensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/qlgensrc_vc8.vcproj,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** qlgensrc_vc8.vcproj 17 Oct 2006 17:07:42 -0000 1.1 --- qlgensrc_vc8.vcproj 18 Oct 2006 13:01:38 -0000 1.2 *************** *** 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: Ferdinando A. <na...@us...> - 2006-10-18 10:59:50
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10408/gensrc/metadata Modified Files: interpolation.xml Log Message: restored loopParameter behaviour Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** interpolation.xml 17 Oct 2006 13:31:28 -0000 1.41 --- interpolation.xml 18 Oct 2006 10:59:47 -0000 1.42 *************** *** 155,176 **** </Member> ! <Member name='qlInterpolationXmin' libraryClass='Interpolation'> ! <description>Returns the minimum value of the x array</description> ! <libraryFunction>xMin</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterpolationXmax' libraryClass='Interpolation'> ! <description>Returns the maximum value of the x array</description> ! <libraryFunction>xMax</libraryFunction> <SupportedPlatforms> <Excel/> --- 155,182 ---- </Member> ! <Member name='qlInterpolationIsInRange' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns TRUE if the input value is in the allowed interpolation range</description> ! <libraryFunction>isInRange</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='xValues' const='False'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>bool</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterpolationXmin' libraryClass='Interpolation'> ! <description>Returns the minimum value of the x array</description> ! <libraryFunction>xMin</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 185,205 **** </Member> ! <Member name='qlInterpolationIsInRange' libraryClass='Interpolation'> ! <description>Returns TRUE if the input value is in the allowed interpolation range</description> ! <libraryFunction>isInRange</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='xValues' const='False'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>x values</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>bool</type> <tensorRank>scalar</tensorRank> </ReturnValue> --- 191,205 ---- </Member> ! <Member name='qlInterpolationXmax' libraryClass='Interpolation'> ! <description>Returns the maximum value of the x array</description> ! <libraryFunction>xMax</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> *************** *** 478,482 **** </Member> - <Member name='qlSABRInterpolationEndCriteria' libraryClass='SABRInterpolation'> <description>Returns the optimization end criteria of the SABR fit</description> --- 478,481 ---- *************** *** 494,498 **** </Member> - <!-- Interpolation2D interface --> --- 493,496 ---- |
|
From: Ferdinando A. <na...@us...> - 2006-10-17 17:07:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4528/gensrc Added Files: qlgensrc.vcproj qlgensrc_vc8.vcproj Removed Files: gensrc.vcproj gensrc_vc8.vcproj Log Message: gensrc*.vcproj renamed qlgensrc*.vcproj --- NEW FILE: qlgensrc.vcproj --- <?xml version="1.0" encoding="Windows-1252"?> <VisualStudioProject ProjectType="Visual C++" Version="7.10" Name="qlgensrc" ProjectGUID="{19C36A53-51F2-4951-9A38-CCF6A250814F}" Keyword="MakeFileProj"> <Platforms> <Platform Name="Win32"/> </Platforms> <Configurations> <Configuration Name="All|Win32" OutputDirectory=".\build\vc71\$(ConfigurationName)" IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="0"> <Tool Name="VCNMakeTool" BuildCommandLine="NMAKE /f "Makefile.vc"" ReBuildCommandLine="NMAKE /f "Makefile.vc" /a" CleanCommandLine="NMAKE /f "Makefile.vc" clean"/> </Configuration> </Configurations> <References> </References> <Files> <Filter Name="scripts" Filter=""> <File RelativePath="scripts\gensrc.py"> </File> </Filter> <Filter Name="metadata" Filter=""> <File RelativePath="metadata\assetswap.xml"> </File> <File RelativePath="metadata\bonds.xml"> </File> <File RelativePath="metadata\calendar.xml"> </File> <File RelativePath="metadata\capfloor.xml"> </File> <File RelativePath="metadata\capletvolstructure.xml"> </File> <File RelativePath="metadata\cmsmarket.xml"> </File> <File RelativePath="metadata\couponvectors.xml"> </File> <File RelativePath="metadata\date.xml"> </File> <File RelativePath="metadata\daycounter.xml"> </File> <File RelativePath="metadata\enumclasses.xml"> </File> <File RelativePath="metadata\enumcurves.xml"> </File> <File RelativePath="metadata\enumtypes.xml"> </File> <File RelativePath="metadata\exercise.xml"> </File> <File RelativePath="metadata\forwardrateagreement.xml"> </File> <File RelativePath="metadata\index.xml"> </File> <File RelativePath="metadata\instruments.xml"> </File> <File RelativePath="metadata\interpolation.xml"> </File> <File RelativePath="metadata\marketmodels.xml"> </File> <File RelativePath="metadata\mathf.xml"> </File> <File RelativePath="metadata\ohfunctions.xml"> </File> <File RelativePath="metadata\optimization.xml"> </File> <File RelativePath="metadata\options.xml"> </File> <File RelativePath="metadata\payoffs.xml"> </File> <File RelativePath="metadata\prices.xml"> </File> <File RelativePath="metadata\pricingengines.xml"> </File> <File RelativePath="metadata\processes.xml"> </File> <File RelativePath="metadata\randomsequencegenerator.xml"> </File> <File RelativePath="metadata\ratehelpers.xml"> </File> <File RelativePath="metadata\schedule.xml"> </File> <File RelativePath="metadata\sequencestatistics.xml"> </File> <File RelativePath="metadata\settings.xml"> </File> <File RelativePath="metadata\shortratemodels.xml"> </File> <File RelativePath="metadata\statistics.xml"> </File> <File RelativePath="metadata\swap.xml"> </File> <File RelativePath="metadata\swaption.xml"> </File> <File RelativePath="metadata\swaptionvolstructure.xml"> </File> <File RelativePath="metadata\termstructures.xml"> </File> <File RelativePath="metadata\utilities.xml"> </File> <File RelativePath="metadata\vanillaswap.xml"> </File> <File RelativePath="metadata\volatilities.xml"> </File> </Filter> <Filter Name="config" Filter=""> <File RelativePath="config\config.xml"> </File> <File RelativePath="config\excel.xml"> </File> </Filter> <Filter Name="stubs" Filter=""> <File RelativePath="stubs\stub.copyright"> </File> <File RelativePath="stubs\stub.excel.includes"> </File> </Filter> <File RelativePath="Makefile.vc"> </File> </Files> <Globals> </Globals> </VisualStudioProject> --- gensrc_vc8.vcproj DELETED --- --- NEW FILE: qlgensrc_vc8.vcproj --- <?xml version="1.0" encoding="Windows-1252"?> <VisualStudioProject ProjectType="Visual C++" Version="8.00" Name="qlgensrc" ProjectGUID="{C8A6BB98-75CA-4EB9-A750-8BA3B3AA5969}" RootNamespace="gensrc" Keyword="MakeFileProj" > <Platforms> <Platform Name="Win32" /> </Platforms> <ToolFiles> </ToolFiles> <Configurations> <Configuration Name="All|Win32" OutputDirectory="build\vc" IntermediateDirectory="build\vc" ConfigurationType="0" > <Tool Name="VCNMakeTool" BuildCommandLine="NMAKE /f "Makefile.vc"" ReBuildCommandLine="NMAKE /f "Makefile.vc" /a" CleanCommandLine="NMAKE /f "Makefile.vc" clean" Output="" PreprocessorDefinitions="WIN32;_DEBUG" IncludeSearchPath="" ForcedIncludes="" AssemblySearchPath="" ForcedUsingAssemblies="" CompileAsManaged="" /> </Configuration> </Configurations> <References> </References> <Files> <Filter Name="config" > <File RelativePath="config\config.xml" > </File> <File RelativePath="config\excel.xml" > </File> </Filter> <Filter Name="metadata" > <File RelativePath=".\metadata\assetswap.xml" > </File> <File RelativePath="metadata\bonds.xml" > </File> <File RelativePath="metadata\calendar.xml" > </File> <File RelativePath="metadata\capfloor.xml" > </File> <File RelativePath="metadata\capletvolstructure.xml" > </File> <File RelativePath=".\metadata\cmsmarket.xml" > </File> <File RelativePath="metadata\couponvectors.xml" > </File> <File RelativePath="metadata\date.xml" > </File> <File RelativePath="metadata\daycounter.xml" > </File> <File RelativePath="metadata\enumclasses.xml" > </File> <File RelativePath="metadata\enumcurves.xml" > </File> <File RelativePath="metadata\enumtypes.xml" > </File> <File RelativePath="metadata\exercise.xml" > </File> <File RelativePath="metadata\forwardrateagreement.xml" > </File> <File RelativePath="metadata\index.xml" > </File> <File RelativePath="metadata\instruments.xml" > </File> <File RelativePath="metadata\interpolation.xml" > </File> <File RelativePath=".\metadata\marketmodels.xml" > </File> <File RelativePath="metadata\mathf.xml" > </File> <File RelativePath=".\metadata\ohfunctions.xml" > </File> <File RelativePath=".\metadata\optimization.xml" > </File> <File RelativePath="metadata\options.xml" > </File> <File RelativePath="metadata\payoffs.xml" > </File> <File RelativePath="metadata\prices.xml" > </File> <File RelativePath="metadata\pricingengines.xml" > </File> <File RelativePath="metadata\processes.xml" > </File> <File RelativePath="metadata\randomsequencegenerator.xml" > </File> <File RelativePath="metadata\ratehelpers.xml" > </File> <File RelativePath="metadata\schedule.xml" > </File> <File RelativePath=".\metadata\sequencestatistics.xml" > </File> <File RelativePath=".\metadata\settings.xml" > </File> <File RelativePath="metadata\shortratemodels.xml" > </File> <File RelativePath=".\metadata\simplecashflow.xml" > </File> <File RelativePath=".\metadata\statistics.xml" > </File> <File RelativePath="metadata\swap.xml" > </File> <File RelativePath="metadata\swaption.xml" > </File> <File RelativePath="metadata\swaptionvolstructure.xml" > </File> <File RelativePath="metadata\termstructures.xml" > </File> <File RelativePath="metadata\utilities.xml" > </File> <File RelativePath="metadata\vanillaswap.xml" > </File> <File RelativePath="metadata\volatilities.xml" > </File> </Filter> <Filter Name="scripts" > <File RelativePath="scripts\gensrc.py" > </File> </Filter> <Filter Name="stubs" > <File RelativePath="stubs\stub.copyright" > </File> <File RelativePath="stubs\stub.excel.includes" > </File> </Filter> <File RelativePath="Makefile.vc" > </File> </Files> <Globals> </Globals> </VisualStudioProject> --- gensrc.vcproj DELETED --- |
|
From: Ferdinando A. <na...@us...> - 2006-10-17 17:07:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4528 Modified Files: QuantLibAddin.sln QuantLibAddin_vc8.sln Log Message: gensrc*.vcproj renamed qlgensrc*.vcproj Index: QuantLibAddin.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.sln,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** QuantLibAddin.sln 28 Aug 2006 10:05:21 -0000 1.12 --- QuantLibAddin.sln 17 Oct 2006 17:07:41 -0000 1.13 *************** *** 26,33 **** EndProjectSection EndProject - Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "gensrc", "gensrc\gensrc.vcproj", "{19C36A53-51F2-4951-9A38-CCF6A250814F}" - ProjectSection(ProjectDependencies) = postProject - EndProjectSection - EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibXL", "..\QuantLibXL\qlxl\QuantLibXL.vcproj", "{AA73F007-F040-4A6F-A47A-3099DA0DECA4}" ProjectSection(ProjectDependencies) = postProject --- 26,29 ---- *************** *** 52,55 **** --- 48,55 ---- EndProjectSection EndProject + Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "qlgensrc", "gensrc\qlgensrc.vcproj", "{19C36A53-51F2-4951-9A38-CCF6A250814F}" + ProjectSection(ProjectDependencies) = postProject + EndProjectSection + EndProject Global GlobalSection(SolutionConfiguration) = preSolution *************** *** 133,150 **** {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release SingleThread.ActiveCfg = Release SingleThread|Win32 {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release SingleThread.Build.0 = Release SingleThread|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.All.ActiveCfg = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.All.Build.0 = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug.ActiveCfg = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug.Build.0 = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug CRTDLL.ActiveCfg = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug CRTDLL.Build.0 = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug SingleThread.ActiveCfg = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug SingleThread.Build.0 = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release.ActiveCfg = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release.Build.0 = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release CRTDLL.ActiveCfg = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release CRTDLL.Build.0 = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release SingleThread.ActiveCfg = All|Win32 - {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release SingleThread.Build.0 = All|Win32 {AA73F007-F040-4A6F-A47A-3099DA0DECA4}.All.ActiveCfg = Release CRTDLL|Win32 {AA73F007-F040-4A6F-A47A-3099DA0DECA4}.All.Build.0 = Release CRTDLL|Win32 --- 133,136 ---- *************** *** 203,206 **** --- 189,206 ---- {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release SingleThread.ActiveCfg = All|Win32 {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release SingleThread.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.All.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.All.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug CRTDLL.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug CRTDLL.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug SingleThread.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug SingleThread.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release CRTDLL.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release CRTDLL.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release SingleThread.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release SingleThread.Build.0 = All|Win32 EndGlobalSection GlobalSection(ExtensibilityGlobals) = postSolution Index: QuantLibAddin_vc8.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin_vc8.sln,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** QuantLibAddin_vc8.sln 28 Aug 2006 10:05:21 -0000 1.12 --- QuantLibAddin_vc8.sln 17 Oct 2006 17:07:41 -0000 1.13 *************** *** 1,5 ****  Microsoft Visual Studio Solution File, Format Version 9.00 ! # Visual C++ Express 2005 Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinC", "Addins\C\AddinC_vc8.vcproj", "{ACCA0906-34AF-4CC4-8426-C3EF41315BF5}" ProjectSection(ProjectDependencies) = postProject --- 1,5 ----  Microsoft Visual Studio Solution File, Format Version 9.00 ! # Visual Studio 2005 Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinC", "Addins\C\AddinC_vc8.vcproj", "{ACCA0906-34AF-4CC4-8426-C3EF41315BF5}" ProjectSection(ProjectDependencies) = postProject *************** *** 24,29 **** EndProjectSection EndProject - Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "gensrc", "gensrc\gensrc_vc8.vcproj", "{88BE5568-6E55-41C5-A251-670FAFB44336}" - EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibXL", "..\QuantLibXL\qlxl\QuantLibXL_vc8.vcproj", "{DADFEC4C-A850-4312-8146-FB9BCC19CE92}" ProjectSection(ProjectDependencies) = postProject --- 24,27 ---- *************** *** 48,51 **** --- 46,51 ---- EndProjectSection EndProject + Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "qlgensrc", "gensrc\qlgensrc_vc8.vcproj", "{88BE5568-6E55-41C5-A251-670FAFB44336}" + EndProject Global GlobalSection(SolutionConfigurationPlatforms) = preSolution *************** *** 103,116 **** {CAB8330C-6424-4455-9285-3654587EF71F}.Release|Win32.ActiveCfg = Release|Win32 {CAB8330C-6424-4455-9285-3654587EF71F}.Release|Win32.Build.0 = Release|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.ActiveCfg = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.Build.0 = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.ActiveCfg = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.Build.0 = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.ActiveCfg = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.Build.0 = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.ActiveCfg = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.Build.0 = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.ActiveCfg = All|Win32 - {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.Build.0 = All|Win32 {DADFEC4C-A850-4312-8146-FB9BCC19CE92}.All|Win32.ActiveCfg = Release CRTDLL|Win32 {DADFEC4C-A850-4312-8146-FB9BCC19CE92}.All|Win32.Build.0 = Release CRTDLL|Win32 --- 103,106 ---- *************** *** 151,154 **** --- 141,154 ---- {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.ActiveCfg = All|Win32 {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.Build.0 = All|Win32 EndGlobalSection GlobalSection(SolutionProperties) = preSolution |
|
From: Giorgio F. <gi...@us...> - 2006-10-17 14:38:29
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3774/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: splitted construction and calibration of swaptionvolcubebysabr Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.60 retrieving revision 1.61 diff -C2 -d -r1.60 -r1.61 *** swaptionvolstructure.xml 12 Oct 2006 17:05:42 -0000 1.60 --- swaptionvolstructure.xml 17 Oct 2006 14:38:22 -0000 1.61 *************** *** 413,417 **** --- 413,445 ---- </ParameterList> </Constructor> + + <!-- SwaptionVolatilityCubeByLinear interface --> + <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCubeByLinear'> + <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> + <libraryFunction>atmStrike</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='expiry' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swaption expiry date</description> + </Parameter> + <Parameter name='swapLength' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Underlying swap length as period (e.g. 5Y)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <!-- SwaptionVolatilityCubeBySabr constructors --> *************** *** 507,535 **** </ParameterList> </Constructor> ! ! <!-- SwaptionVolatilityCubeByLinear interface --> ! ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCubeByLinear'> ! <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> ! <libraryFunction>atmStrike</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>swaption expiry date</description> ! </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Underlying swap length as period (e.g. 5Y)</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> --- 535,550 ---- </ParameterList> </Constructor> ! ! <Member name='qlPerformSabrCalibration' objectClass='SwaptionVolatilityCubeBySabr'> ! <description>perform Sabr calibration</description> ! <libraryFunction>performCalibration</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> *************** *** 649,653 **** </Parameter> </Parameters> ! </ParameterList> </Constructor> --- 664,668 ---- </Parameter> </Parameters> ! </ParameterList> </Constructor> |
|
From: Giorgio F. <gi...@us...> - 2006-10-17 14:38:26
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3774/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: splitted construction and calibration of swaptionvolcubebysabr Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** swaptionvolstructure.cpp 4 Oct 2006 10:04:35 -0000 1.32 --- swaptionvolstructure.cpp 17 Oct 2006 14:38:22 -0000 1.33 *************** *** 139,148 **** isAtmCalibrated )); ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> ! volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! sparseSabrParameters_ = volCube->sparseSabrParameters(); ! denseSabrParameters_ = volCube->denseSabrParameters(); ! marketVolCube_ = volCube->marketVolCube(); ! volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); } --- 139,143 ---- isAtmCalibrated )); ! calibrated_=false; } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** swaptionvolstructure.hpp 4 Oct 2006 13:35:46 -0000 1.28 --- swaptionvolstructure.hpp 17 Oct 2006 14:38:22 -0000 1.29 *************** *** 97,101 **** bool isAtmCalibrated ); ! const std::vector<std::vector<boost::any> > getSparseSabrParameters() { --- 97,116 ---- bool isAtmCalibrated ); ! ! void performCalibration() ! { ! const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> ! volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! ! //volCube->performCalculations(); ! volCube->performCalibration(); ! if(!calibrated_){ ! sparseSabrParameters_ = volCube->sparseSabrParameters(); ! denseSabrParameters_ = volCube->denseSabrParameters(); ! marketVolCube_ = volCube->marketVolCube(); ! volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); ! } ! calibrated_ = true; ! } const std::vector<std::vector<boost::any> > getSparseSabrParameters() { *************** *** 119,122 **** --- 134,138 ---- QuantLib::Matrix marketVolCube_; QuantLib::Matrix volCubeAtmCalibrated_; + bool calibrated_; }; |
|
From: Ferdinando A. <na...@us...> - 2006-10-17 13:44:00
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11034/qlo Modified Files: marketmodels.cpp Log Message: Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** marketmodels.cpp 3 Oct 2006 08:25:59 -0000 1.24 --- marketmodels.cpp 17 Oct 2006 13:43:56 -0000 1.25 *************** *** 20,24 **** #endif #include <qlo/marketmodels.hpp> ! #include <qlo/vo_marketmodels.hpp> #include <ql/MarketModels/Models/expcorrflatvol.hpp> #include <ql/MarketModels/Models/expcorrabcdvol.hpp> --- 20,24 ---- #endif #include <qlo/marketmodels.hpp> ! #include <qlo/ValueObjects/vo_marketmodels.hpp> #include <ql/MarketModels/Models/expcorrflatvol.hpp> #include <ql/MarketModels/Models/expcorrabcdvol.hpp> |
|
From: Ferdinando A. <na...@us...> - 2006-10-17 13:31:32
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5822/gensrc/metadata Modified Files: interpolation.xml Log Message: restoring looping behaviour for interpolation functions Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** interpolation.xml 17 Oct 2006 08:44:37 -0000 1.40 --- interpolation.xml 17 Oct 2006 13:31:28 -0000 1.41 *************** *** 77,81 **** </Member> ! <Member name='qlInterpolationDerivative' libraryClass='Interpolation'> <description>Returns the first derivative of the interpolated curve</description> <libraryFunction>derivative</libraryFunction> --- 77,81 ---- </Member> ! <Member name='qlInterpolationDerivative' libraryClass='Interpolation' loopParameter='xValues'> <description>Returns the first derivative of the interpolated curve</description> <libraryFunction>derivative</libraryFunction> *************** *** 87,91 **** <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 87,91 ---- <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 99,107 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation'> <description>Returns the second derivative of the interpolated curve</description> <libraryFunction>secondDerivative</libraryFunction> --- 99,107 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation' loopParameter='xValues'> <description>Returns the second derivative of the interpolated curve</description> <libraryFunction>secondDerivative</libraryFunction> *************** *** 113,117 **** <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 113,117 ---- <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 125,133 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterpolationPrimitive' libraryClass='Interpolation'> <description>Returns the primitive of the interpolated curve</description> <libraryFunction>primitive</libraryFunction> --- 125,133 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlInterpolationPrimitive' libraryClass='Interpolation' loopParameter='xValues'> <description>Returns the primitive of the interpolated curve</description> <libraryFunction>primitive</libraryFunction> *************** *** 139,143 **** <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 139,143 ---- <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 151,155 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 151,155 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
|
From: Eric E. <eri...@us...> - 2006-10-17 10:38:53
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21443/gensrc/metadata Modified Files: capletvolstructure.xml Log Message: add support for converting a matrix of strings to a matrix of handles Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** capletvolstructure.xml 13 Oct 2006 18:38:28 -0000 1.22 --- capletvolstructure.xml 17 Oct 2006 10:38:50 -0000 1.23 *************** *** 192,197 **** <description>cap strikes.</description> </Parameter> ! <Parameter name='volatilities' libToHandle='QuantLib::Quote'> ! <type>double</type> <tensorRank>matrix</tensorRank> <description>cap volatilities.</description> --- 192,197 ---- <description>cap strikes.</description> </Parameter> ! <Parameter name='volatilities' libToHandle='Quote'> ! <type>string</type> <tensorRank>matrix</tensorRank> <description>cap volatilities.</description> |
|
From: Ferdinando A. <na...@us...> - 2006-10-17 10:31:24
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16409/qlo Modified Files: vanillaoption.cpp Log Message: Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** vanillaoption.cpp 28 Sep 2006 15:49:14 -0000 1.10 --- vanillaoption.cpp 17 Oct 2006 10:31:13 -0000 1.11 *************** *** 22,26 **** #include <qlo/typefactory.hpp> #include <qlo/exercise.hpp> - #include <qlo/vo_exercise.hpp> // TEST CODE DELETE ME namespace QuantLibAddin { --- 22,25 ---- |
|
From: Ferdinando A. <na...@us...> - 2006-10-17 10:22:57
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11480/gensrc/metadata Modified Files: index.xml Log Message: isValidFixingDate added Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** index.xml 16 Oct 2006 13:12:41 -0000 1.41 --- index.xml 17 Oct 2006 10:22:53 -0000 1.42 *************** *** 32,35 **** --- 32,56 ---- </Member> + <Member name='qlIndexIsValidFixingDate' libraryClass='Index' loopParameter='fixingDate'> + <description>Returns TRUE if the fixing date is a valid one</description> + <libraryFunction>isValidFixingDate</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='fixingDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>vector</tensorRank> + <description>fixing date(s)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <Member name='qlIndexFixing' libraryClass='Index' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> |
|
From: Eric E. <eri...@us...> - 2006-10-17 09:23:23
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18131 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: remove autogenerated VO files to separate subdirectory Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** QuantLibObjects_vc8.vcproj 12 Oct 2006 12:22:59 -0000 1.48 --- QuantLibObjects_vc8.vcproj 17 Oct 2006 09:23:18 -0000 1.49 *************** *** 362,602 **** > <File ! RelativePath=".\qlo\vo_assetswap.cpp" > </File> <File ! RelativePath=".\qlo\vo_assetswap.hpp" > </File> <File ! RelativePath=".\qlo\vo_bonds.cpp" > </File> <File ! RelativePath=".\qlo\vo_bonds.hpp" > </File> <File ! RelativePath=".\qlo\vo_capfloor.cpp" > </File> <File ! RelativePath=".\qlo\vo_capfloor.hpp" > </File> <File ! RelativePath=".\qlo\vo_capletvolstructure.cpp" > </File> <File ! RelativePath=".\qlo\vo_capletvolstructure.hpp" > </File> <File ! RelativePath=".\qlo\vo_cmsmarket.cpp" > </File> <File ! RelativePath=".\qlo\vo_cmsmarket.hpp" > </File> <File ! RelativePath=".\qlo\vo_couponvectors.cpp" > </File> <File ! RelativePath=".\qlo\vo_couponvectors.hpp" > </File> <File ! RelativePath=".\qlo\vo_exercise.cpp" > </File> <File ! RelativePath=".\qlo\vo_exercise.hpp" > </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.cpp" > </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.hpp" > </File> <File ! RelativePath=".\qlo\vo_index.cpp" > </File> <File ! RelativePath=".\qlo\vo_index.hpp" > </File> <File ! RelativePath=".\qlo\vo_interpolation.cpp" > </File> <File ! RelativePath=".\qlo\vo_interpolation.hpp" > </File> <File ! RelativePath=".\qlo\vo_marketmodels.cpp" > </File> <File ! RelativePath=".\qlo\vo_marketmodels.hpp" > </File> <File ! RelativePath=".\qlo\vo_mathf.cpp" > </File> <File ! RelativePath=".\qlo\vo_mathf.hpp" > </File> <File ! RelativePath=".\qlo\vo_optimization.cpp" > </File> <File ! RelativePath=".\qlo\vo_optimization.hpp" > </File> <File ! RelativePath=".\qlo\vo_options.cpp" > </File> <File ! RelativePath=".\qlo\vo_options.hpp" > </File> <File ! RelativePath=".\qlo\vo_payoffs.cpp" > </File> <File ! RelativePath=".\qlo\vo_payoffs.hpp" > </File> <File ! RelativePath=".\qlo\vo_pricingengines.cpp" > </File> <File ! RelativePath=".\qlo\vo_pricingengines.hpp" > </File> <File ! RelativePath=".\qlo\vo_processes.cpp" > </File> <File ! RelativePath=".\qlo\vo_processes.hpp" > </File> <File ! RelativePath=".\qlo\vo_randomsequencegenerator.cpp" > </File> <File ! RelativePath=".\qlo\vo_randomsequencegenerator.hpp" > </File> <File ! RelativePath=".\qlo\vo_ratehelpers.cpp" > </File> <File ! RelativePath=".\qlo\vo_ratehelpers.hpp" > </File> <File ! RelativePath=".\qlo\vo_schedule.cpp" > </File> <File ! RelativePath=".\qlo\vo_schedule.hpp" > </File> <File ! RelativePath=".\qlo\vo_sequencestatistics.cpp" > </File> <File ! RelativePath=".\qlo\vo_sequencestatistics.hpp" > </File> <File ! RelativePath=".\qlo\vo_shortratemodels.cpp" > </File> <File ! RelativePath=".\qlo\vo_shortratemodels.hpp" > </File> <File ! RelativePath=".\qlo\vo_simplecashflow.cpp" > </File> <File ! RelativePath=".\qlo\vo_simplecashflow.hpp" > </File> <File ! RelativePath=".\qlo\vo_statistics.cpp" > </File> <File ! RelativePath=".\qlo\vo_statistics.hpp" > </File> <File ! RelativePath=".\qlo\vo_swap.cpp" > </File> <File ! RelativePath=".\qlo\vo_swap.hpp" > </File> <File ! RelativePath=".\qlo\vo_swaption.cpp" > </File> <File ! RelativePath=".\qlo\vo_swaption.hpp" > </File> <File ! RelativePath=".\qlo\vo_swaptionvolstructure.cpp" > </File> <File ! RelativePath=".\qlo\vo_swaptionvolstructure.hpp" > </File> <File ! RelativePath=".\qlo\vo_termstructures.cpp" > </File> <File ! RelativePath=".\qlo\vo_termstructures.hpp" > </File> <File ! RelativePath=".\qlo\vo_vanillaswap.cpp" > </File> <File ! RelativePath=".\qlo\vo_vanillaswap.hpp" > </File> <File ! RelativePath=".\qlo\vo_volatilities.cpp" > </File> <File ! RelativePath=".\qlo\vo_volatilities.hpp" > </File> --- 362,602 ---- > <File ! RelativePath=".\qlo\ValueObjects\vo_assetswap.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_assetswap.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_bonds.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_bonds.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capfloor.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capfloor.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capletvolstructure.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capletvolstructure.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_cmsmarket.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_cmsmarket.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_couponvectors.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_couponvectors.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_exercise.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_exercise.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_forwardrateagreement.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_forwardrateagreement.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_index.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_index.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_interpolation.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_interpolation.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_marketmodels.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_marketmodels.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_mathf.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_mathf.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_optimization.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_optimization.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_options.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_options.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_payoffs.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_payoffs.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_pricingengines.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_pricingengines.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_processes.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_processes.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_randomsequencegenerator.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_randomsequencegenerator.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_ratehelpers.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_ratehelpers.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_schedule.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_schedule.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_sequencestatistics.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_sequencestatistics.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_shortratemodels.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_shortratemodels.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_simplecashflow.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_simplecashflow.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_statistics.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_statistics.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swap.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swap.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaption.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaption.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaptionvolstructure.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaptionvolstructure.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_termstructures.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_termstructures.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_vanillaswap.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_vanillaswap.hpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_volatilities.cpp" > </File> <File ! RelativePath=".\qlo\ValueObjects\vo_volatilities.hpp" > </File> Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** QuantLibObjects.vcproj 16 Oct 2006 09:19:30 -0000 1.39 --- QuantLibObjects.vcproj 17 Oct 2006 09:23:18 -0000 1.40 *************** *** 360,541 **** Filter=""> <File ! RelativePath=".\qlo\vo_assetswap.cpp"> </File> <File ! RelativePath=".\qlo\vo_assetswap.hpp"> </File> <File ! RelativePath=".\qlo\vo_bonds.cpp"> </File> <File ! RelativePath=".\qlo\vo_bonds.hpp"> </File> <File ! RelativePath=".\qlo\vo_capfloor.cpp"> </File> <File ! RelativePath=".\qlo\vo_capfloor.hpp"> </File> <File ! RelativePath=".\qlo\vo_capletvolstructure.cpp"> </File> <File ! RelativePath=".\qlo\vo_capletvolstructure.hpp"> </File> <File ! RelativePath=".\qlo\vo_cmsmarket.cpp"> </File> <File ! RelativePath=".\qlo\vo_cmsmarket.hpp"> </File> <File ! RelativePath=".\qlo\vo_couponvectors.cpp"> </File> <File ! RelativePath=".\qlo\vo_couponvectors.hpp"> </File> <File ! RelativePath=".\qlo\vo_exercise.cpp"> </File> <File ! RelativePath=".\qlo\vo_exercise.hpp"> </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.cpp"> </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.hpp"> </File> <File ! RelativePath=".\qlo\vo_index.cpp"> </File> <File ! RelativePath=".\qlo\vo_index.hpp"> </File> <File ! RelativePath=".\qlo\vo_interpolation.cpp"> </File> <File ! RelativePath=".\qlo\vo_interpolation.hpp"> </File> <File ! RelativePath=".\qlo\vo_marketmodels.cpp"> </File> <File ! RelativePath=".\qlo\vo_marketmodels.hpp"> </File> <File ! RelativePath=".\qlo\vo_mathf.cpp"> </File> <File ! RelativePath=".\qlo\vo_mathf.hpp"> </File> <File ! RelativePath=".\qlo\vo_optimization.cpp"> </File> <File ! RelativePath=".\qlo\vo_optimization.hpp"> </File> <File ! RelativePath=".\qlo\vo_options.cpp"> </File> <File ! RelativePath=".\qlo\vo_options.hpp"> </File> <File ! RelativePath=".\qlo\vo_payoffs.cpp"> </File> <File ! RelativePath=".\qlo\vo_payoffs.hpp"> </File> <File ! RelativePath=".\qlo\vo_pricingengines.cpp"> </File> <File ! RelativePath=".\qlo\vo_pricingengines.hpp"> </File> <File ! RelativePath=".\qlo\vo_processes.cpp"> </File> <File ! RelativePath=".\qlo\vo_processes.hpp"> </File> <File ! RelativePath=".\qlo\vo_randomsequencegenerator.cpp"> </File> <File ! RelativePath=".\qlo\vo_randomsequencegenerator.hpp"> </File> <File ! RelativePath=".\qlo\vo_ratehelpers.cpp"> </File> <File ! RelativePath=".\qlo\vo_ratehelpers.hpp"> </File> <File ! RelativePath=".\qlo\vo_schedule.cpp"> </File> <File ! RelativePath=".\qlo\vo_schedule.hpp"> </File> <File ! RelativePath=".\qlo\vo_sequencestatistics.cpp"> </File> <File ! RelativePath=".\qlo\vo_sequencestatistics.hpp"> </File> <File ! RelativePath=".\qlo\vo_shortratemodels.cpp"> </File> <File ! RelativePath=".\qlo\vo_shortratemodels.hpp"> </File> <File ! RelativePath=".\qlo\vo_simplecashflow.cpp"> </File> <File ! RelativePath=".\qlo\vo_simplecashflow.hpp"> </File> <File ! RelativePath=".\qlo\vo_statistics.cpp"> </File> <File ! RelativePath=".\qlo\vo_statistics.hpp"> </File> <File ! RelativePath=".\qlo\vo_swap.cpp"> </File> <File ! RelativePath=".\qlo\vo_swap.hpp"> </File> <File ! RelativePath=".\qlo\vo_swaption.cpp"> </File> <File ! RelativePath=".\qlo\vo_swaption.hpp"> </File> <File ! RelativePath=".\qlo\vo_swaptionvolstructure.cpp"> </File> <File ! RelativePath=".\qlo\vo_swaptionvolstructure.hpp"> </File> <File ! RelativePath=".\qlo\vo_termstructures.cpp"> </File> <File ! RelativePath=".\qlo\vo_termstructures.hpp"> </File> <File ! RelativePath=".\qlo\vo_vanillaswap.cpp"> </File> <File ! RelativePath=".\qlo\vo_vanillaswap.hpp"> </File> <File ! RelativePath=".\qlo\vo_volatilities.cpp"> </File> <File ! RelativePath=".\qlo\vo_volatilities.hpp"> </File> </Filter> --- 360,541 ---- Filter=""> <File ! RelativePath=".\qlo\ValueObjects\vo_assetswap.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_assetswap.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_bonds.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_bonds.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capfloor.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capfloor.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capletvolstructure.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_capletvolstructure.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_cmsmarket.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_cmsmarket.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_couponvectors.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_couponvectors.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_exercise.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_exercise.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_forwardrateagreement.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_forwardrateagreement.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_index.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_index.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_interpolation.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_interpolation.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_marketmodels.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_marketmodels.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_mathf.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_mathf.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_optimization.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_optimization.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_options.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_options.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_payoffs.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_payoffs.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_pricingengines.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_pricingengines.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_processes.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_processes.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_randomsequencegenerator.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_randomsequencegenerator.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_ratehelpers.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_ratehelpers.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_schedule.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_schedule.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_sequencestatistics.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_sequencestatistics.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_shortratemodels.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_shortratemodels.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_simplecashflow.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_simplecashflow.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_statistics.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_statistics.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swap.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swap.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaption.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaption.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaptionvolstructure.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_swaptionvolstructure.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_termstructures.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_termstructures.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_vanillaswap.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_vanillaswap.hpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_volatilities.cpp"> </File> <File ! RelativePath=".\qlo\ValueObjects\vo_volatilities.hpp"> </File> </Filter> |
|
From: Eric E. <eri...@us...> - 2006-10-17 09:23:23
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18131/gensrc/config Modified Files: config.xml Log Message: remove autogenerated VO files to separate subdirectory Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** config.xml 12 Oct 2006 10:49:02 -0000 1.35 --- config.xml 17 Oct 2006 09:23:19 -0000 1.36 *************** *** 3,7 **** <prefix>ql</prefix> <libRootDirectory>qlo</libRootDirectory> ! <voRootDirectory>qlo</voRootDirectory> <loopRootDirectory>qlo/Loop</loopRootDirectory> <excelRootDirectory>../QuantLibXL/qlxl</excelRootDirectory> --- 3,7 ---- <prefix>ql</prefix> <libRootDirectory>qlo</libRootDirectory> ! <voRootDirectory>qlo/ValueObjects</voRootDirectory> <loopRootDirectory>qlo/Loop</loopRootDirectory> <excelRootDirectory>../QuantLibXL/qlxl</excelRootDirectory> |
|
From: Eric E. <eri...@us...> - 2006-10-17 09:23:23
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18131/qlo Modified Files: .cvsignore Log Message: remove autogenerated VO files to separate subdirectory Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** .cvsignore 16 Oct 2006 09:19:30 -0000 1.21 --- .cvsignore 17 Oct 2006 09:23:19 -0000 1.22 *************** *** 10,12 **** enumclassregistry.cpp qladdin.hpp - vo_*.*pp --- 10,11 ---- |
|
From: Eric E. <eri...@us...> - 2006-10-17 08:44:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32033/gensrc/metadata Modified Files: interpolation.xml Log Message: restore looping behavior for function qlInterpolate() Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** interpolation.xml 16 Oct 2006 15:15:31 -0000 1.39 --- interpolation.xml 17 Oct 2006 08:44:37 -0000 1.40 *************** *** 42,46 **** <!-- Interpolation interface --> ! <Member name='qlInterpolate' libraryClass='Interpolation'> <description>Returns interpolated values</description> <longDescription> --- 42,46 ---- <!-- Interpolation interface --> ! <Member name='qlInterpolate' libraryClass='Interpolation' loopParameter='xValues'> <description>Returns interpolated values</description> <longDescription> *************** *** 61,65 **** <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 61,65 ---- <Parameter name='xValues' const='False'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 73,77 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 73,77 ---- <ReturnValue> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
|
From: Ferdinando A. <na...@us...> - 2006-10-16 15:15:42
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26634/gensrc/metadata Modified Files: interpolation.xml Log Message: Sabr update Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** interpolation.xml 6 Oct 2006 12:08:13 -0000 1.38 --- interpolation.xml 16 Oct 2006 15:15:31 -0000 1.39 *************** *** 1,677 **** <Category name='interpolation'> ! <description>functions to construct and use Interpolation and Interpolation2D objects</description> ! <displayName>Interpolation</displayName> ! <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> ! <includes> ! <include>qlo/interpolation.hpp</include> ! <include>qlo/interpolation2D.hpp</include> ! <include>qlo/optimization.hpp</include> ! <include>ql/Optimization/method.hpp</include> ! <include>ql/Math/sabrinterpolation.hpp</include> [...1344 lines suppressed...] ! <tensorRank>vector</tensorRank> ! <description>x array</description> ! </Parameter> ! <Parameter name='yArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>y array</description> ! </Parameter> ! <Parameter name='zMatrix' libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>z-matrix values</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> |
|
From: Ferdinando A. <na...@us...> - 2006-10-16 15:15:41
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26634/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: Sabr update Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** interpolation.hpp 2 Aug 2006 18:14:07 -0000 1.18 --- interpolation.hpp 16 Oct 2006 15:15:32 -0000 1.19 *************** *** 67,70 **** --- 67,74 ---- double nu, double rho, + bool isAlphaFixed, + bool isBetaFixed, + bool isNuFixed, + bool isRhoFixed, const boost::shared_ptr<QuantLib::OptimizationMethod>& om); private: Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** interpolation.cpp 5 Sep 2006 14:50:51 -0000 1.16 --- interpolation.cpp 16 Oct 2006 15:15:32 -0000 1.17 *************** *** 70,81 **** double nu, double rho, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) : x_(x), y_(y) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SABRInterpolation( ! x_.begin(), x_.end(), y_.begin(), ! t, forward, alpha, beta, nu, rho, false, false, false, false, om ! )); } --- 70,84 ---- double nu, double rho, + bool isAlphaFixed, + bool isBetaFixed, + bool isNuFixed, + bool isRhoFixed, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) : x_(x), y_(y) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::SABRInterpolation(x_.begin(), x_.end(), y_.begin(), ! t, forward, alpha, beta, nu, rho, ! isAlphaFixed, isBetaFixed, isNuFixed, isRhoFixed, om)); } |
|
From: Ferdinando A. <na...@us...> - 2006-10-16 13:12:51
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1593 Modified Files: todonando.txt Log Message: 1) deprecated MonthEndReference 2) Xibor constructor with endOfMonth boolean Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** todonando.txt 9 Oct 2006 10:02:47 -0000 1.39 --- todonando.txt 16 Oct 2006 13:12:42 -0000 1.40 *************** *** 3,9 **** - fix convertible faceamount bug - deprecate swaptionvol time interface - - deprecate MonthEndReference - corregere OneAssetOption impliedVol - - cap ATM strike - spreaded swaption vol matrix - SWAP implement fair rate for floating/fixed rate vector --- 3,7 ---- |
|
From: Ferdinando A. <na...@us...> - 2006-10-16 13:12:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1593/qlo Modified Files: index.cpp index.hpp Log Message: 1) deprecated MonthEndReference 2) Xibor constructor with endOfMonth boolean Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** index.cpp 28 Aug 2006 15:20:45 -0000 1.14 --- index.cpp 16 Oct 2006 13:12:41 -0000 1.15 *************** *** 35,38 **** --- 35,39 ---- const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, + bool endOfMonth, const QuantLib::DayCounter& fltDayCounter, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) *************** *** 42,46 **** p, fixingDays, crr, calendar, ! fltBDC, fltDayCounter, hYTS)); } --- 43,47 ---- p, fixingDays, crr, calendar, ! fltBDC, endOfMonth, fltDayCounter, hYTS)); } Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** index.hpp 28 Aug 2006 15:20:45 -0000 1.12 --- index.hpp 16 Oct 2006 13:12:41 -0000 1.13 *************** *** 41,44 **** --- 41,45 ---- const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, + bool endOfMonth, const QuantLib::DayCounter& fltDayCounter, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); |
|
From: Ferdinando A. <na...@us...> - 2006-10-16 13:12:45
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1593/gensrc/metadata Modified Files: enumtypes.xml index.xml Log Message: 1) deprecated MonthEndReference 2) Xibor constructor with endOfMonth boolean Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** index.xml 11 Oct 2006 11:53:24 -0000 1.40 --- index.xml 16 Oct 2006 13:12:41 -0000 1.41 *************** *** 271,274 **** --- 271,289 ---- </Member> + <Member name='qlXiborIndexEndOfMonth' libraryClass='Xibor'> + <description>Returns TRUE if the index follow the 'end of month' convention</description> + <libraryFunction>endOfMonth</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <!--<Member name='qlIndexTermStructure' libraryClass='Xibor'> <description>retrieve the term structure for the given Index (e.g. EURYC)</description> *************** *** 325,328 **** --- 340,348 ---- <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> + <Parameter name='endOfMonth'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the index follow the 'end of month' convention</description> + </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** enumtypes.xml 12 Oct 2006 14:39:15 -0000 1.24 --- enumtypes.xml 16 Oct 2006 13:12:41 -0000 1.25 *************** *** 142,163 **** </EnumerationDefinition> <EnumerationDefinition> <string>Modified Following</string> <value>QuantLib::ModifiedFollowing</value> </EnumerationDefinition> <EnumerationDefinition> <string>Preceding</string> <value>QuantLib::Preceding</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Modified Preceding</string> ! <value>QuantLib::ModifiedPreceding</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Month End Reference</string> ! <value>QuantLib::MonthEndReference</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Unadjusted Month End</string> ! <value>QuantLib::MonthEndReference</value> </EnumerationDefinition> <EnumerationDefinition> --- 142,171 ---- </EnumerationDefinition> <EnumerationDefinition> + <string>F</string> + <value>QuantLib::Following</value> + </EnumerationDefinition> + <EnumerationDefinition> <string>Modified Following</string> <value>QuantLib::ModifiedFollowing</value> </EnumerationDefinition> <EnumerationDefinition> + <string>MF</string> + <value>QuantLib::ModifiedFollowing</value> + </EnumerationDefinition> + <EnumerationDefinition> <string>Preceding</string> <value>QuantLib::Preceding</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>P</string> ! <value>QuantLib::Preceding</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Modified Preceding</string> ! <value>QuantLib::ModifiedPreceding</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>MP</string> ! <value>QuantLib::ModifiedPreceding</value> </EnumerationDefinition> <EnumerationDefinition> |
|
From: Ferdinando A. <na...@us...> - 2006-10-16 09:19:37
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24672/qlo Modified Files: .cvsignore Log Message: updated Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** .cvsignore 11 Oct 2006 17:09:17 -0000 1.20 --- .cvsignore 16 Oct 2006 09:19:30 -0000 1.21 *************** *** 10,44 **** enumclassregistry.cpp qladdin.hpp ! vo_assetswap.*pp ! vo_bonds.*pp ! vo_calendar.*pp ! vo_capletvolstructure.*pp ! vo_capfloor.*pp ! vo_cmsmarket.*pp ! vo_couponvectors.*pp ! vo_exercise.*pp ! vo_forwardrateagreement.*pp ! vo_generalstatistics.*pp ! vo_index.*pp ! vo_incrementalstatistics.*pp ! vo_interpolation.*pp ! vo_mathf.*pp ! vo_marketmodels.*pp ! vo_optimization.*pp ! vo_options.*pp ! vo_payoffs.*pp ! vo_pricingengines.*pp ! vo_processes.*pp ! vo_randomsequencegenerator.*pp ! vo_ratehelpers.*pp ! vo_schedule.*pp ! vo_sequencestatistics.*pp ! vo_shortratemodels.*pp ! vo_simplecashflow.*pp ! vo_statistics.*pp ! vo_swap.*pp ! vo_swaption.*pp ! vo_swaptionvolstructure.*pp ! vo_termstructures.*pp ! vo_vanillaswap.*pp ! vo_volatilities.*pp --- 10,12 ---- enumclassregistry.cpp qladdin.hpp ! vo_*.*pp |
|
From: Ferdinando A. <na...@us...> - 2006-10-16 09:19:36
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24672 Modified Files: QuantLibObjects.vcproj Log Message: updated Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** QuantLibObjects.vcproj 3 Oct 2006 14:50:50 -0000 1.38 --- QuantLibObjects.vcproj 16 Oct 2006 09:19:30 -0000 1.39 *************** *** 492,495 **** --- 492,501 ---- </File> <File + RelativePath=".\qlo\vo_simplecashflow.cpp"> + </File> + <File + RelativePath=".\qlo\vo_simplecashflow.hpp"> + </File> + <File RelativePath=".\qlo\vo_statistics.cpp"> </File> *************** *** 724,727 **** --- 730,736 ---- RelativePath="qlo\couponvectors.hpp"> </File> + <File + RelativePath=".\qlo\simplecashflow.hpp"> + </File> </Filter> <Filter |
