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From: Ferdinando A. <na...@us...> - 2006-10-13 18:41:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26818/qlo Modified Files: capfloor.cpp capfloor.hpp Log Message: added no-collar constructor with slimmer input list. Shouldn't we deprecate Collar at all? Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** capfloor.hpp 5 Oct 2006 14:42:51 -0000 1.8 --- capfloor.hpp 13 Oct 2006 18:41:48 -0000 1.9 *************** *** 30,35 **** CapFloor(QuantLib::CapFloor::Type type, const boost::shared_ptr<LegWrapper>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& capRates, ! const std::vector<QuantLib::Rate>& floorRates, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, const boost::shared_ptr<QuantLib::PricingEngine>& engine); --- 30,34 ---- CapFloor(QuantLib::CapFloor::Type type, const boost::shared_ptr<LegWrapper>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& strikes, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, const boost::shared_ptr<QuantLib::PricingEngine>& engine); Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** capfloor.cpp 5 Oct 2006 14:42:51 -0000 1.9 --- capfloor.cpp 13 Oct 2006 18:41:48 -0000 1.10 *************** *** 29,45 **** QuantLib::CapFloor::Type type, const boost::shared_ptr<LegWrapper>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& capRates, ! const std::vector<QuantLib::Rate>& floorRates, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, const boost::shared_ptr<QuantLib::PricingEngine>& engine) { const Leg& floatingLeg = floatingLegWrapper->getVector(); ! libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::CapFloor(type, ! floatingLeg, ! capRates, ! floorRates, ! termStructure, ! engine)); } --- 29,40 ---- QuantLib::CapFloor::Type type, const boost::shared_ptr<LegWrapper>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& strikes, const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, const boost::shared_ptr<QuantLib::PricingEngine>& engine) { const Leg& floatingLeg = floatingLegWrapper->getVector(); ! libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(new ! QuantLib::CapFloor(type, floatingLeg, strikes, termStructure, ! engine)); } |
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From: Ferdinando A. <na...@us...> - 2006-10-13 18:41:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26818/gensrc/metadata Modified Files: capfloor.xml Log Message: added no-collar constructor with slimmer input list. Shouldn't we deprecate Collar at all? Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** capfloor.xml 13 Oct 2006 16:26:00 -0000 1.25 --- capfloor.xml 13 Oct 2006 18:41:48 -0000 1.26 *************** *** 127,139 **** <description>coupon vector</description> </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>cap strikes</description> ! </Parameter> ! <Parameter name='floorStrikes' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>floor strikes</description> </Parameter> <Parameter name='termStructureID' libToHandle='YieldTermStructure'> --- 127,134 ---- <description>coupon vector</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>strikes</description> </Parameter> <Parameter name='termStructureID' libToHandle='YieldTermStructure'> |
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From: Ferdinando A. <na...@us...> - 2006-10-13 18:38:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25508/gensrc/metadata Modified Files: capletvolstructure.xml Log Message: Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** capletvolstructure.xml 12 Oct 2006 17:05:42 -0000 1.21 --- capletvolstructure.xml 13 Oct 2006 18:38:28 -0000 1.22 *************** *** 15,19 **** <!-- CapletVolatilityStructure interface--> - <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> --- 15,18 ---- *************** *** 109,113 **** <!-- CapletVolatilityStructure constructors --> - <Constructor name='qlCapletVTSConstant'> <libraryFunction>CapletConstantVolatility</libraryFunction> --- 108,111 ---- *************** *** 132,136 **** <!-- CapsStripper interface--> - <Member name='qlCapsStripperStrikes' libraryClass='CapsStripper'> <description>Returns the vector of cap strikes underlying the given ObjectID.</description> --- 130,133 ---- *************** *** 220,224 **** <!-- Handle<CapletVolatilityStructure> --> - <Constructor name='qlHandleCapletVolatilityStructuree'> <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> --- 217,220 ---- |
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From: Francois du V. <fd...@us...> - 2006-10-13 16:26:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3799 Modified Files: capfloor.xml Log Message: atmRate and vega methods exposed to excel Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** capfloor.xml 9 Oct 2006 11:18:10 -0000 1.24 --- capfloor.xml 13 Oct 2006 16:26:00 -0000 1.25 *************** *** 80,83 **** --- 80,113 ---- </Member> + <Member name='qlCapFloorAtmRate' libraryClass='CapFloor'> + <description>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='qlCapFloorVega' libraryClass='CapFloor'> + <description>Cap Floor Vega</description> + <libraryFunction>vega</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlCapFloor'> <libraryFunction>CapFloor</libraryFunction> |
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From: Ferdinando A. <na...@us...> - 2006-10-13 10:54:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31632/qlo Modified Files: couponvectors.cpp Log Message: Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** couponvectors.cpp 12 Oct 2006 10:51:30 -0000 1.36 --- couponvectors.cpp 13 Oct 2006 10:53:59 -0000 1.37 *************** *** 41,45 **** std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Date"); headings[1]=std::string("Amount"); --- 41,45 ---- std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Payment Date"); headings[1]=std::string("Amount"); |
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From: Ferdinando A. <na...@us...> - 2006-10-13 08:21:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2462/gensrc/metadata Modified Files: calendar.xml Log Message: exported qlCalendarBusinessDaysBetween Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** calendar.xml 6 Oct 2006 12:08:13 -0000 1.28 --- calendar.xml 13 Oct 2006 08:21:11 -0000 1.29 *************** *** 254,257 **** --- 254,293 ---- </EnumerationMember> + <EnumerationMember name='qlCalendarBusinessDaysBetween' enumeration='QuantLib::Calendar'> + <description>advances a date according to a given calendar</description> + <libraryFunction>businessDaysBetween</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='firstDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>first date of the period</description> + </Parameter> + <Parameter name='lastDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>last date of the period</description> + </Parameter> + <Parameter name='includeFirst' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>include the first date when counting business days</description> + </Parameter> + <Parameter name='includeLast' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>include the last date when counting business days</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </EnumerationMember> + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-10-12 17:05:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13990/gensrc/metadata Modified Files: capletvolstructure.xml swaptionvolstructure.xml Log Message: Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** capletvolstructure.xml 12 Oct 2006 16:06:39 -0000 1.20 --- capletvolstructure.xml 12 Oct 2006 17:05:42 -0000 1.21 *************** *** 4,9 **** --- 4,11 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> + <include>qlo/index.hpp</include> <include>qlo/capletvolstructure.hpp</include> <include>ql/Volatilities/capletconstantvol.hpp</include> + <include>ql/Volatilities/capstripper.hpp</include> </includes> <copyright> *************** *** 106,113 **** </Member> ! <!-- Handle<CapletVolatilityStructure> --> ! <Constructor name='qlHandleCapletVolatilityStructuree'> ! <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> <SupportedPlatforms> <Excel/> --- 108,115 ---- </Member> ! <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant'> ! <libraryFunction>CapletConstantVolatility</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 115,122 **** <ParameterList> <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> </Parameter> </Parameters> --- 117,129 ---- <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'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 124,173 **** </Constructor> ! <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> ! <libraryFunction>linkTo</libraryFunction> ! <description>relink handle</description> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of the CapletVolatilityStructure object</description> ! </Parameter> ! </Parameters> </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> ! ! <!-- CapletVolatilityStructure constructors --> ! ! <Constructor name='qlCapletVTSConstant'> ! <libraryFunction>CapletConstantVolatility</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <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'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> </ParameterList> ! </Constructor> ! <Constructor name='qlCapsStripper'> <libraryFunction>CapsStripper</libraryFunction> <SupportedPlatforms> --- 131,167 ---- </Constructor> ! <!-- CapsStripper interface--> ! ! <Member name='qlCapsStripperStrikes' libraryClass='CapsStripper'> ! <description>Returns the vector of cap strikes underlying the given ObjectID.</description> ! <libraryFunction>strikes</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlCapsStripperTenors' libraryClass='CapsStripper'> ! <description>Returns the vector of cap tenors underlying the given ObjectID.</description> ! <libraryFunction>tenors</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Constructor name='qlCapsStripper'> <libraryFunction>CapsStripper</libraryFunction> <SupportedPlatforms> *************** *** 176,210 **** <ParameterList> <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> ! <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>cap lengths.</description> </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>cap strikes.</description> </Parameter> ! <Parameter name='volatilities' libToHandle='QuantLib::Quote'> <type>double</type> <tensorRank>matrix</tensorRank> <description>cap volatilities.</description> </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> --- 170,204 ---- <ParameterList> <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> ! <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> ! <Parameter name='capTenors' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>cap lengths.</description> </Parameter> ! <Parameter name='capStrikes' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>cap strikes.</description> </Parameter> ! <Parameter name='volatilities' libToHandle='QuantLib::Quote'> <type>double</type> <tensorRank>matrix</tensorRank> <description>cap volatilities.</description> </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 216,220 **** <description>cap index</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> --- 210,214 ---- <description>cap index</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 225,228 **** --- 219,261 ---- </Constructor> + <!-- Handle<CapletVolatilityStructure> --> + + <Constructor name='qlHandleCapletVolatilityStructuree'> + <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure' default='""'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>ID of the CapletVolatilityStructure object</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> + <libraryFunction>linkTo</libraryFunction> + <description>relink handle</description> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>ID of the CapletVolatilityStructure object</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + </Functions> </Category> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.59 retrieving revision 1.60 diff -C2 -d -r1.59 -r1.60 *** swaptionvolstructure.xml 11 Oct 2006 17:26:30 -0000 1.59 --- swaptionvolstructure.xml 12 Oct 2006 17:05:42 -0000 1.60 *************** *** 535,539 **** </ReturnValue> </Member> ! <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> --- 535,539 ---- </ReturnValue> </Member> ! <Member name='qlSparseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> *************** *** 550,554 **** </ReturnValue> </Member> ! <Member name='qlDenseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> --- 550,554 ---- </ReturnValue> </Member> ! <Member name='qlDenseSabrParameters' objectClass='SwaptionVolatilityCubeBySabr'> <description>return results of Sabr calibration</description> *************** *** 565,569 **** </ReturnValue> </Member> ! <Member name='qlMarketVolCube' objectClass='SwaptionVolatilityCubeBySabr'> <description>return the market volatility cube</description> --- 565,569 ---- </ReturnValue> </Member> ! <Member name='qlMarketVolCube' objectClass='SwaptionVolatilityCubeBySabr'> <description>return the market volatility cube</description> *************** *** 580,584 **** </ReturnValue> </Member> ! <Member name='qlVolCubeAtmCalibrated' objectClass='SwaptionVolatilityCubeBySabr'> <description>return the volatility cube calibrated to ATM matrix</description> --- 580,584 ---- </ReturnValue> </Member> ! <Member name='qlVolCubeAtmCalibrated' objectClass='SwaptionVolatilityCubeBySabr'> <description>return the volatility cube calibrated to ATM matrix</description> *************** *** 596,603 **** </Member> ! ! <!-- SmileSection constructors --> ! <Constructor name='qlSmileSectionBySabr'> <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 596,602 ---- </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlSmileSectionBySabr'> <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 605,609 **** <Excel/> </SupportedPlatforms> ! <ParameterList> <Parameters> <Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCubeBySabr'> --- 604,608 ---- <Excel/> </SupportedPlatforms> ! <ParameterList> <Parameters> <Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCubeBySabr'> *************** *** 622,629 **** <description>smile's underlying swap length</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlSmileSection'> <libraryFunction>SmileSection</libraryFunction> --- 621,628 ---- <description>smile's underlying swap length</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlSmileSection'> <libraryFunction>SmileSection</libraryFunction> *************** *** 649,656 **** <description>volatilities</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlFictitiousSmileSection'> <libraryFunction>SmileSection</libraryFunction> --- 648,655 ---- <description>volatilities</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlFictitiousSmileSection'> <libraryFunction>SmileSection</libraryFunction> *************** *** 671,678 **** <description>flat Volatility</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='SmileSection'> <description>Return the volatility from SmileSection</description> --- 670,677 ---- <description>flat Volatility</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='SmileSection'> <description>Return the volatility from SmileSection</description> *************** *** 695,700 **** </ReturnValue> </Member> ! </Functions> </Category> - --- 694,698 ---- </ReturnValue> </Member> ! </Functions> </Category> |
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From: Francois du V. <fd...@us...> - 2006-10-12 16:06:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21539 Modified Files: capletvolstructure.xml Log Message: exporting CapStripper to Excel Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** capletvolstructure.xml 11 Oct 2006 11:32:29 -0000 1.19 --- capletvolstructure.xml 12 Oct 2006 16:06:39 -0000 1.20 *************** *** 169,172 **** --- 169,228 ---- </Constructor> + <Constructor name='qlCapsStripper'> + <libraryFunction>CapsStripper</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>business day convention (e.g. ModifiedFollowing)</description> + </Parameter> + <Parameter name='fixingDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>fixing days (e.g. 2)</description> + </Parameter> + <Parameter name='capTenors' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>cap lengths.</description> + </Parameter> + <Parameter name='capStrikes' libraryType='QuantLib::Rate'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>cap strikes.</description> + </Parameter> + <Parameter name='volatilities' libToHandle='QuantLib::Quote'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>cap volatilities.</description> + </Parameter> + <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter (e.g. Actual/360)</description> + </Parameter> + <Parameter name="indexID" libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>cap index</description> + </Parameter> + <Parameter name='termStructureID' libToHandle='YieldTermStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>discounting term structure</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + </Functions> </Category> |
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From: Francois du V. <fd...@us...> - 2006-10-12 14:55:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23665 Modified Files: capletvolstructure.cpp capletvolstructure.hpp Log Message: CapStripper class exposed Index: capletvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** capletvolstructure.hpp 26 Jun 2006 22:05:48 -0000 1.2 --- capletvolstructure.hpp 12 Oct 2006 14:55:40 -0000 1.3 *************** *** 28,38 **** class CapletConstantVolatility : public CapletVolatilityStructure { ! public: CapletConstantVolatility(QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter); }; ! ! } --- 28,48 ---- class CapletConstantVolatility : public CapletVolatilityStructure { ! public: CapletConstantVolatility(QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter); }; ! class CapsStripper : public CapletVolatilityStructure { ! public: ! CapsStripper(const QuantLib::Calendar & calendar, ! QuantLib::BusinessDayConvention convention, ! QuantLib::Integer fixingDays, ! const std::vector<QuantLib::Period>& tenors, ! const std::vector<QuantLib::Rate>& strikes, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, ! const QuantLib::DayCounter& dayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure); ! }; } Index: capletvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** capletvolstructure.cpp 26 Jun 2006 22:05:48 -0000 1.2 --- capletvolstructure.cpp 12 Oct 2006 14:55:40 -0000 1.3 *************** *** 22,25 **** --- 22,26 ---- #include <qlo/capletvolstructure.hpp> #include <ql/Volatilities/capletconstantvol.hpp> + #include <ql/Volatilities/capstripper.hpp> namespace QuantLibAddin { *************** *** 29,36 **** const QuantLib::DayCounter& dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::CapletConstantVolatility(volatility, ! dayCounter)); } } --- 30,55 ---- const QuantLib::DayCounter& dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new ! QuantLib::CapletConstantVolatility(volatility, ! dayCounter)); } + CapsStripper::CapsStripper( + const QuantLib::Calendar& calendar, + QuantLib::BusinessDayConvention convention, + QuantLib::Integer fixingDays, + const std::vector<QuantLib::Period>& tenors, + const std::vector<QuantLib::Rate>& strikes, + const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities, + const QuantLib::DayCounter& dayCounter, + const boost::shared_ptr<QuantLib::Xibor>& index, + const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure) + { + libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new + QuantLib::CapsStripper(calendar, convention, fixingDays, + tenors, strikes, volatilities, dayCounter, index, + yieldTermStructure)); + } + + } |
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From: Ferdinando A. <na...@us...> - 2006-10-12 14:39:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16871/qlo Modified Files: vanillaswap.cpp vanillaswap.hpp Log Message: introducing and using Payer/Receiver Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** vanillaswap.hpp 17 Aug 2006 12:35:08 -0000 1.12 --- vanillaswap.hpp 12 Oct 2006 14:39:15 -0000 1.13 *************** *** 28,32 **** public: VanillaSwap( ! const bool payFixed, const QuantLib::Real nominal, const boost::shared_ptr<QuantLib::Schedule>& fixedSchedule, --- 28,32 ---- public: VanillaSwap( ! const QuantLib::VanillaSwap::Type type, const QuantLib::Real nominal, const boost::shared_ptr<QuantLib::Schedule>& fixedSchedule, Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** vanillaswap.cpp 17 Aug 2006 12:35:08 -0000 1.9 --- vanillaswap.cpp 12 Oct 2006 14:39:15 -0000 1.10 *************** *** 30,34 **** VanillaSwap::VanillaSwap( ! const bool payFixed, const QuantLib::Real nominal, const boost::shared_ptr<QuantLib::Schedule>& fixedSchedule, --- 30,34 ---- VanillaSwap::VanillaSwap( ! const QuantLib::VanillaSwap::Type type, const QuantLib::Real nominal, const boost::shared_ptr<QuantLib::Schedule>& fixedSchedule, *************** *** 42,46 **** { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::VanillaSwap(payFixed, nominal, *fixedSchedule, --- 42,46 ---- { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::VanillaSwap(type, nominal, *fixedSchedule, |
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From: Ferdinando A. <na...@us...> - 2006-10-12 14:39:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16871/gensrc/metadata Modified Files: enumtypes.xml vanillaswap.xml Log Message: introducing and using Payer/Receiver Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** vanillaswap.xml 11 Oct 2006 17:22:30 -0000 1.27 --- vanillaswap.xml 12 Oct 2006 14:39:15 -0000 1.28 *************** *** 21,28 **** <ParameterList> <Parameters> ! <Parameter name='PayFixed'> ! <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>TRUE if pay the fixed rate, FALSE to receive it</description> </Parameter> <Parameter name='Nominal'> --- 21,28 ---- <ParameterList> <Parameters> ! <Parameter name='PayFixed' enumeration='QuantLib::VanillaSwap::Type'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>PAYER to pay the fixed rate, RECEIVER to receive it</description> </Parameter> <Parameter name='Nominal'> Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** enumtypes.xml 11 Oct 2006 11:44:32 -0000 1.23 --- enumtypes.xml 12 Oct 2006 14:39:15 -0000 1.24 *************** *** 908,911 **** --- 908,925 ---- </Enumeration> + <Enumeration type='QuantLib::VanillaSwap::Type'> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>Payer</string> + <value>QuantLib::VanillaSwap::Payer</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Receiver</string> + <value>QuantLib::VanillaSwap::Receiver</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + <Enumeration type='QuantLib::TimeUnit'> <constructor>true</constructor> |
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From: Ferdinando A. <na...@us...> - 2006-10-12 12:23:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22570 Modified Files: QuantLibObjects_vc8.vcproj Log Message: added missing file Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** QuantLibObjects_vc8.vcproj 11 Oct 2006 19:03:40 -0000 1.47 --- QuantLibObjects_vc8.vcproj 12 Oct 2006 12:22:59 -0000 1.48 *************** *** 538,541 **** --- 538,549 ---- </File> <File + RelativePath=".\qlo\vo_simplecashflow.cpp" + > + </File> + <File + RelativePath=".\qlo\vo_simplecashflow.hpp" + > + </File> + <File RelativePath=".\qlo\vo_statistics.cpp" > |
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From: Cristina D. <cdu...@us...> - 2006-10-12 10:51:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16967/qlo Modified Files: couponvectors.cpp couponvectors.hpp Added Files: simplecashflow.hpp Log Message: Added classes SimpleCashFlow and SimpleCashFlowVector. Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** couponvectors.hpp 11 Oct 2006 17:09:17 -0000 1.25 --- couponvectors.hpp 12 Oct 2006 10:51:30 -0000 1.26 *************** *** 53,56 **** --- 53,62 ---- SimpleCashFlow(double amount, const QuantLib::Date& date); }; + + class SimpleCashFlowVector : public LegWrapper { + public: + SimpleCashFlowVector(const std::vector<double> amounts, + const std::vector<QuantLib::Date>& dates); + }; class FixedRateCouponVector : public LegWrapper { Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** couponvectors.cpp 11 Oct 2006 17:09:17 -0000 1.35 --- couponvectors.cpp 12 Oct 2006 10:51:30 -0000 1.36 *************** *** 157,160 **** --- 157,169 ---- } + 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]))); + } + } + FixedRateCouponVector::FixedRateCouponVector( const boost::shared_ptr<QuantLib::Schedule>& schedule, --- NEW FILE: simplecashflow.hpp --- /* Copyright (C) 2006 Cristina Duminuco 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_simplecashflow_hpp #define qla_simplecashflow_hpp #include <qlo/couponvectors.hpp> #endif |
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From: Cristina D. <cdu...@us...> - 2006-10-12 10:49:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15679/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: Added simplecashflow.xml Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** Makefile.vc 11 Oct 2006 18:52:24 -0000 1.32 --- Makefile.vc 12 Oct 2006 10:49:02 -0000 1.33 *************** *** 40,43 **** --- 40,44 ---- metadata\settings.xml \ metadata\shortratemodels.xml \ + metadata\simplecashflow.xml \ metadata\statistics.xml \ metadata\swap.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** gensrc_vc8.vcproj 11 Oct 2006 18:52:24 -0000 1.29 --- gensrc_vc8.vcproj 12 Oct 2006 10:49:02 -0000 1.30 *************** *** 184,187 **** --- 184,191 ---- </File> <File + RelativePath=".\metadata\simplecashflow.xml" + > + </File> + <File RelativePath=".\metadata\statistics.xml" > |
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From: Cristina D. <cdu...@us...> - 2006-10-12 10:49:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15679/gensrc/config Modified Files: config.xml Log Message: Added simplecashflow.xml Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** config.xml 11 Oct 2006 18:52:24 -0000 1.34 --- config.xml 12 Oct 2006 10:49:02 -0000 1.35 *************** *** 41,44 **** --- 41,45 ---- <categoryName>settings</categoryName> <categoryName>shortratemodels</categoryName> + <categoryName>simplecashflow</categoryName> <categoryName>statistics</categoryName> <categoryName>swap</categoryName> |
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From: Cristina D. <cdu...@us...> - 2006-10-12 10:47:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15216/gensrc/metadata Added Files: simplecashflow.xml Log Message: Added qlSimpleCashFlow and qlSimpleCashFlowVector. --- NEW FILE: simplecashflow.xml --- <Category name='simplecashflow'> <description>functions to construct and use CashFlow objects</description> <displayName>SimpleCashFlow</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/couponvectors.hpp</include> </includes> <copyright> Copyright (C) 2006 Cristina Duminuco </copyright> <Functions> <Constructor name='qlSimpleCashFlow'> <libraryFunction>SimpleCashFlow</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> <Parameters> <Parameter name='amount'> <type>double</type> <tensorRank>scalar</tensorRank> <description>cash to be received/paid</description> </Parameter> <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>payment date</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlSimpleCashFlowVector'> <libraryFunction>SimpleCashFlowVector</libraryFunction> <SupportedPlatforms> <Excel/> </SupportedPlatforms> <ParameterList> <Parameters> <Parameter name='amounts'> <type>double</type> <tensorRank>vector</tensorRank> <description>list of cash to be received/paid</description> </Parameter> <Parameter name='dates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>payment dates corresponding to amounts</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-10-11 19:03:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18973 Modified Files: QuantLibObjects_vc8.vcproj Log Message: qlSimpleCashFlow has not been added for real... yet Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.46 retrieving revision 1.47 diff -C2 -d -r1.46 -r1.47 *** QuantLibObjects_vc8.vcproj 11 Oct 2006 17:09:17 -0000 1.46 --- QuantLibObjects_vc8.vcproj 11 Oct 2006 19:03:40 -0000 1.47 *************** *** 538,549 **** </File> <File - RelativePath=".\qlo\vo_simplecashflow.cpp" - > - </File> - <File - RelativePath=".\qlo\vo_simplecashflow.hpp" - > - </File> - <File RelativePath=".\qlo\vo_statistics.cpp" > --- 538,541 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-11 18:52:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14475/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: qlSimpleCashFlow has not been added for real... yet Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** Makefile.vc 11 Oct 2006 17:09:17 -0000 1.31 --- Makefile.vc 11 Oct 2006 18:52:24 -0000 1.32 *************** *** 40,44 **** metadata\settings.xml \ metadata\shortratemodels.xml \ - metadata\simplecashflow.xml \ metadata\statistics.xml \ metadata\swap.xml \ --- 40,43 ---- Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** gensrc_vc8.vcproj 11 Oct 2006 17:09:17 -0000 1.28 --- gensrc_vc8.vcproj 11 Oct 2006 18:52:24 -0000 1.29 *************** *** 184,191 **** </File> <File - RelativePath=".\metadata\simplecashflow.xml" - > - </File> - <File RelativePath=".\metadata\statistics.xml" > --- 184,187 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-11 18:52:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14475/gensrc/config Modified Files: config.xml Log Message: qlSimpleCashFlow has not been added for real... yet Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** config.xml 11 Oct 2006 17:09:17 -0000 1.33 --- config.xml 11 Oct 2006 18:52:24 -0000 1.34 *************** *** 41,45 **** <categoryName>settings</categoryName> <categoryName>shortratemodels</categoryName> - <categoryName>simplecashflow</categoryName> <categoryName>statistics</categoryName> <categoryName>swap</categoryName> --- 41,44 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-11 18:33:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6549/gensrc/metadata Modified Files: settings.xml Log Message: renamed qlSetEvaluationDate->qlSettingsSetEvaluationDate renamed qlEvaluationDate->qlSettingsEvaluationDate Index: settings.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/settings.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** settings.xml 11 Oct 2006 18:20:54 -0000 1.6 --- settings.xml 11 Oct 2006 18:33:39 -0000 1.7 *************** *** 8,12 **** <Functions> ! <Procedure name='qlEvaluationDate'> <description>returns the current value of the Evaluation Date</description> <alias>QuantLib::Settings::instance().evaluationDate</alias> --- 8,12 ---- <Functions> ! <Procedure name='qlSettingsEvaluationDate'> <description>returns the current value of the Evaluation Date</description> <alias>QuantLib::Settings::instance().evaluationDate</alias> *************** *** 26,30 **** </Procedure> ! <Procedure name='qlSetEvaluationDate'> <description>sets the value of the Evaluation Date</description> <alias>QuantLibAddin::setEvaluationDate</alias> --- 26,30 ---- </Procedure> ! <Procedure name='qlSettingsSetEvaluationDate'> <description>sets the value of the Evaluation Date</description> <alias>QuantLibAddin::setEvaluationDate</alias> |
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From: Ferdinando A. <na...@us...> - 2006-10-11 18:20:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1011/gensrc/metadata Modified Files: settings.xml Log Message: added enforceTodaysHistoricFixings Index: settings.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/settings.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** settings.xml 7 Oct 2006 12:44:58 -0000 1.5 --- settings.xml 11 Oct 2006 18:20:54 -0000 1.6 *************** *** 4,9 **** <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> <Functions> --- 4,9 ---- <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! </copyright> <Functions> *************** *** 50,54 **** </Procedure> </Functions> </Category> - --- 50,95 ---- </Procedure> + <Procedure name='qlSettingsEnforceTodaysHistoricFixings'> + <description>returns the current value of the boolean which enforce the usage of historic fixings for today's date</description> + <alias>QuantLib::Settings::instance().enforceTodaysHistoricFixings</alias> + <SupportedPlatforms> + <Excel/> + <Calc/> + <Guile/> + <C/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name='qlSettingsSetEnforceTodaysHistoricFixings'> + <description>sets the value of the boolean which enforce the usage of historic fixings for today's date</description> + <alias>QuantLib::Settings::instance().setEnforceTodaysHistoricFixings</alias> + <SupportedPlatforms> + <Excel/> + <Calc/> + <Guile/> + <C/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='boolean' default='true'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>new value for the boolean which enforce the usage of historic fixings for today's date</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-10-11 17:26:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11225/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: adopting QuantLib::Types Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.58 retrieving revision 1.59 diff -C2 -d -r1.58 -r1.59 *** swaptionvolstructure.xml 6 Oct 2006 12:08:14 -0000 1.58 --- swaptionvolstructure.xml 11 Oct 2006 17:26:30 -0000 1.59 *************** *** 37,41 **** <description>Underlying swap length as period (e.g. 5Y)</description> </Parameter> ! <Parameter name='strike'> <type>double</type> <tensorRank>scalar</tensorRank> --- 37,41 ---- <description>Underlying swap length as period (e.g. 5Y)</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 74,78 **** <description>underlying swap tenor</description> </Parameter> ! <Parameter name='strike' const='False'> <type>double</type> <tensorRank>scalar</tensorRank> --- 74,78 ---- <description>underlying swap tenor</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate' const='False'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 131,135 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 131,135 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 146,150 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 146,150 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 205,209 **** <description>reference date</description> </Parameter> ! <Parameter name='volatility'> <type>double</type> <tensorRank>scalar</tensorRank> --- 205,209 ---- <description>reference date</description> </Parameter> ! <Parameter name='volatility' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 360,364 **** <description>smile cube's underlying swap lengths</description> </Parameter> ! <Parameter name='strikeSpreads'> <type>double</type> <tensorRank>vector</tensorRank> --- 360,364 ---- <description>smile cube's underlying swap lengths</description> </Parameter> ! <Parameter name='strikeSpreads' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 400,404 **** <description>floating leg Index</description> </Parameter> ! <Parameter name='shortTenor'> <type>double</type> <tensorRank>scalar</tensorRank> --- 400,404 ---- <description>floating leg Index</description> </Parameter> ! <Parameter name='shortTenor' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 439,443 **** <description>smile cube's underlying swap lengths</description> </Parameter> ! <Parameter name='strikeSpreads'> <type>double</type> <tensorRank>vector</tensorRank> --- 439,443 ---- <description>smile cube's underlying swap lengths</description> </Parameter> ! <Parameter name='strikeSpreads' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 479,483 **** <description>floating leg Index</description> </Parameter> ! <Parameter name='shortTenor'> <type>double</type> <tensorRank>scalar</tensorRank> --- 479,483 ---- <description>floating leg Index</description> </Parameter> ! <Parameter name='shortTenor' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 612,616 **** <description>Swaption volatility cube by Sabr</description> </Parameter> ! <Parameter name='expiry'> <type>double</type> <tensorRank>scalar</tensorRank> --- 612,616 ---- <description>Swaption volatility cube by Sabr</description> </Parameter> ! <Parameter name='expiry' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 634,648 **** <ParameterList> <Parameters> ! <Parameter name='expiry'> <type>double</type> <tensorRank>scalar</tensorRank> <description>expiry</description> </Parameter> ! <Parameter name='strikes'> <type>double</type> <tensorRank>vector</tensorRank> <description>strikes</description> </Parameter> ! <Parameter name='volatilities'> <type>double</type> <tensorRank>vector</tensorRank> --- 634,648 ---- <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>scalar</tensorRank> <description>expiry</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>strikes</description> </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 661,670 **** <ParameterList> <Parameters> ! <Parameter name='expiry'> <type>double</type> <tensorRank>scalar</tensorRank> <description>expiry</description> </Parameter> ! <Parameter name='flatVolatility'> <type>double</type> <tensorRank>scalar</tensorRank> --- 661,670 ---- <ParameterList> <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>scalar</tensorRank> <description>expiry</description> </Parameter> ! <Parameter name='flatVolatility' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 683,687 **** <ParameterList> <Parameters> ! <Parameter name='strike'> <type>double</type> <tensorRank>scalar</tensorRank> --- 683,687 ---- <ParameterList> <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 690,694 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 690,694 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-10-11 17:22:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9630/gensrc/metadata Modified Files: marketmodels.xml payoffs.xml ratehelpers.xml vanillaswap.xml Log Message: adopting QuantLib::Types Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** vanillaswap.xml 6 Oct 2006 12:08:14 -0000 1.26 --- vanillaswap.xml 11 Oct 2006 17:22:30 -0000 1.27 *************** *** 36,40 **** <description>fixed leg schedule</description> </Parameter> ! <Parameter name='fixedRate'> <type>double</type> <tensorRank>scalar</tensorRank> --- 36,40 ---- <description>fixed leg schedule</description> </Parameter> ! <Parameter name='fixedRate' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 56,60 **** <description>floating leg Index</description> </Parameter> ! <Parameter name='floatingLegSpread'> <type>double</type> <tensorRank>scalar</tensorRank> --- 56,60 ---- <description>floating leg Index</description> </Parameter> ! <Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>scalar</tensorRank> Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** marketmodels.xml 11 Oct 2006 11:53:24 -0000 1.47 --- marketmodels.xml 11 Oct 2006 17:22:30 -0000 1.48 *************** *** 142,146 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 142,146 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 157,161 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 157,161 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 172,176 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 172,176 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 398,407 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='evolutionTimes'> <type>double</type> <tensorRank>vector</tensorRank> --- 398,407 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='evolutionTimes' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 423,427 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 423,427 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 438,442 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 438,442 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 571,575 **** <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> </Parameter> ! <Parameter name='volatilities'> <type>double</type> <tensorRank>vector</tensorRank> --- 571,575 ---- <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 586,595 **** <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements'> <type>double</type> <tensorRank>vector</tensorRank> --- 586,595 ---- <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 700,704 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 700,704 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 798,802 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 798,802 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 813,817 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 813,817 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 828,832 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 828,832 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 843,847 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 843,847 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Time'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 858,862 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 858,862 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 984,988 **** <ParameterList> <Parameters> ! <Parameter name='blackVols'> <type>double</type> <tensorRank>vector</tensorRank> --- 984,988 ---- <ParameterList> <Parameters> ! <Parameter name='blackVols' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1110,1119 **** <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements'> <type>double</type> <tensorRank>vector</tensorRank> --- 1110,1119 ---- <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial rates</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1158,1162 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 1158,1162 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1172,1176 **** <ParameterList> <Parameters> ! <Parameter name='rates'> <type>double</type> <tensorRank>vector</tensorRank> --- 1172,1176 ---- <ParameterList> <Parameters> ! <Parameter name='rates' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1214,1218 **** <ParameterList> <Parameters> ! <Parameter name='CoterminalSwaps'> <type>double</type> <tensorRank>vector</tensorRank> --- 1214,1218 ---- <ParameterList> <Parameters> ! <Parameter name='CoterminalSwaps' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1236,1240 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 1236,1240 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1266,1270 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 1266,1270 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1287,1291 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 1287,1291 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 1334,1338 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 1334,1338 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 1347,1351 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> --- 1347,1351 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1366,1370 **** <ParameterList> <Parameters> ! <Parameter name='forwards'> <type>double</type> <tensorRank>vector</tensorRank> --- 1366,1370 ---- <ParameterList> <Parameters> ! <Parameter name='forwards' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1387,1391 **** <ParameterList> <Parameters> ! <Parameter name='forwards'> <type>double</type> <tensorRank>vector</tensorRank> --- 1387,1391 ---- <ParameterList> <Parameters> ! <Parameter name='forwards' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 1412,1431 **** <description>Pseudo square root of the covariance matrix</description> </Parameter> ! <Parameter name='displacements'> <type>double</type> <tensorRank>vector</tensorRank> <description>displacements</description> </Parameter> ! <Parameter name='taus'> <type>double</type> <tensorRank>vector</tensorRank> <description>taus</description> </Parameter> ! <Parameter name='numeraire'> <type>long</type> <tensorRank>scalar</tensorRank> <description>numeraire</description> </Parameter> ! <Parameter name='alive'> <type>long</type> <tensorRank>scalar</tensorRank> --- 1412,1431 ---- <description>Pseudo square root of the covariance matrix</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>vector</tensorRank> <description>displacements</description> </Parameter> ! <Parameter name='taus' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> <description>taus</description> </Parameter> ! <Parameter name='numeraire' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>scalar</tensorRank> <description>numeraire</description> </Parameter> ! <Parameter name='alive' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 1499,1503 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>long</type> <tensorRank>scalar</tensorRank> --- 1499,1503 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Size'> <type>long</type> <tensorRank>scalar</tensorRank> Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** payoffs.xml 6 Oct 2006 12:08:14 -0000 1.7 --- payoffs.xml 11 Oct 2006 17:22:30 -0000 1.8 *************** *** 29,33 **** <description>option type</description> </Parameter> ! <Parameter name='strike'> <type>double</type> <tensorRank>scalar</tensorRank> --- 29,33 ---- <description>option type</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 55,59 **** <description>option type</description> </Parameter> ! <Parameter name='strike'> <type>double</type> <tensorRank>scalar</tensorRank> --- 55,59 ---- <description>option type</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** ratehelpers.xml 11 Oct 2006 11:46:31 -0000 1.29 --- ratehelpers.xml 11 Oct 2006 17:22:30 -0000 1.30 *************** *** 163,167 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 163,167 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 176,180 **** <ParameterList> <Parameters> ! <Parameter name='price' libToHandle='Quote' > <type>string</type> <tensorRank>scalar</tensorRank> --- 176,180 ---- <ParameterList> <Parameters> ! <Parameter name='price' libToHandle='Quote'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Cristina D. <cdu...@us...> - 2006-10-11 17:09:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4334/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: added qlSimpleCashFlow Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** Makefile.vc 3 Oct 2006 12:59:35 -0000 1.30 --- Makefile.vc 11 Oct 2006 17:09:17 -0000 1.31 *************** *** 40,43 **** --- 40,44 ---- metadata\settings.xml \ metadata\shortratemodels.xml \ + metadata\simplecashflow.xml \ metadata\statistics.xml \ metadata\swap.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** gensrc_vc8.vcproj 3 Oct 2006 12:59:35 -0000 1.27 --- gensrc_vc8.vcproj 11 Oct 2006 17:09:17 -0000 1.28 *************** *** 184,187 **** --- 184,191 ---- </File> <File + RelativePath=".\metadata\simplecashflow.xml" + > + </File> + <File RelativePath=".\metadata\statistics.xml" > |
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From: Cristina D. <cdu...@us...> - 2006-10-11 17:09:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4334/qlo Modified Files: .cvsignore couponvectors.cpp couponvectors.hpp Log Message: added qlSimpleCashFlow Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** .cvsignore 12 Sep 2006 17:52:55 -0000 1.19 --- .cvsignore 11 Oct 2006 17:09:17 -0000 1.20 *************** *** 35,38 **** --- 35,39 ---- vo_sequencestatistics.*pp vo_shortratemodels.*pp + vo_simplecashflow.*pp vo_statistics.*pp vo_swap.*pp Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** couponvectors.hpp 5 Oct 2006 14:42:51 -0000 1.24 --- couponvectors.hpp 11 Oct 2006 17:09:17 -0000 1.25 *************** *** 25,28 **** --- 25,29 ---- #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> + #include <ql/CashFlows/simplecashflow.hpp> #include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/conundrumpricer.hpp> *************** *** 47,50 **** --- 48,56 ---- Leg cashFlowVector_; }; + + class SimpleCashFlow : public LegWrapper { + public: + SimpleCashFlow(double amount, const QuantLib::Date& date); + }; class FixedRateCouponVector : public LegWrapper { Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** couponvectors.cpp 5 Oct 2006 14:42:51 -0000 1.34 --- couponvectors.cpp 11 Oct 2006 17:09:17 -0000 1.35 *************** *** 152,156 **** } ! FixedRateCouponVector::FixedRateCouponVector( const boost::shared_ptr<QuantLib::Schedule>& schedule, --- 152,160 ---- } ! SimpleCashFlow::SimpleCashFlow(double amount, const QuantLib::Date& date) ! { ! cashFlowVector_.push_back(boost::shared_ptr<QuantLib::CashFlow>(new QuantLib::SimpleCashFlow(amount,date))); ! } ! FixedRateCouponVector::FixedRateCouponVector( const boost::shared_ptr<QuantLib::Schedule>& schedule, |
