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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9830/Addins/Calc Modified Files: AddinCalc.vcproj AddinCalc_vc8.vcproj Makefile.am Makefile.vc calcutils.hpp conversions.cpp conversions.hpp Added Files: loop.hpp Log Message: support loop functions on Calc --- NEW FILE: loop.hpp --- /* Copyright (C) 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_calc_loop_hpp #define qla_calc_loop_hpp namespace QuantLibAddin { template<class LoopFunction, class InputType, class OutputType> void loopIteration(LoopFunction &loopFunction, const ANY &anyIn, ANY &anyOut) { InputType inputItem; calcToScalar(inputItem, anyIn); OutputType returnItem = loopFunction(inputItem); scalarToCalc(anyOut, returnItem); } template<class LoopFunction, class InputType, class OutputType> void loop(LoopFunction &loopFunction, const SEQSEQ(ANY) &anyIn, SEQSEQ(ANY) &anyOut) { // if the input is a scalar then call the function once & return if (anyIn.getLength() == 1 && anyIn[0].getLength() == 1) { anyOut.realloc(1); anyOut[0].realloc(1); loopIteration<LoopFunction, InputType, OutputType>( loopFunction, anyIn[0][0], anyOut[0][0]); return; } anyOut.realloc(anyIn.getLength()); for (int i=0; i<anyIn.getLength(); i++) { anyOut[i].realloc(anyIn[i].getLength()); for (int j=0; j<anyIn[i].getLength(); j++) { loopIteration<LoopFunction, InputType, OutputType>( loopFunction, anyIn[i][j], anyOut[i][j]); } } } } #endif Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/conversions.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** conversions.hpp 28 Aug 2006 10:05:22 -0000 1.2 --- conversions.hpp 9 Oct 2006 15:30:58 -0000 1.3 *************** *** 26,45 **** #include <vector> ! void calcToLib(QuantLib::Date &, const sal_Int32&); ! void calcToLib(QuantLib::Calendar &, const STRING &id); ! void calcToLib(QuantLib::Period &, const STRING &id); ! void calcToVectorLib(std::vector<QuantLib::Date> &, const SEQSEQ(sal_Int32) &); ! void calcToVectorLib(QuantLib::Array &, const SEQSEQ(double) &); ! void calcToVectorLib(std::vector<std::string> &, const SEQSEQ(ANY) &); ! void calcToVectorLib(std::vector<long> &, const SEQSEQ(sal_Int32) &); ! void calcToVectorLib(std::vector<bool> &, const SEQSEQ(sal_Int32) &); ! void calcToVectorLib(std::vector<QuantLib::Period> &, const SEQSEQ(ANY) &); QuantLib::Matrix calcToQlMatrix(const SEQSEQ(double) &); ! void scalarToCalcLib(sal_Int32 &, const QuantLib::Date &); ! void scalarToCalcLib(double &, const QuantLib::Real &); ! void vectorToCalcLib(SEQSEQ(sal_Int32) &, const std::vector<QuantLib::Date> &); ! void vectorToCalcLib(SEQSEQ(double) &, const QuantLib::Array &); ! void matrixToCalcLib(SEQSEQ(double) &, const QuantLib::Matrix &); #endif --- 26,46 ---- #include <vector> ! void calcToScalar(QuantLib::Date &, const sal_Int32&); ! void calcToScalar(QuantLib::Date &, const ANY&); ! void calcToScalar(QuantLib::Calendar &, const STRING &id); ! void calcToScalar(QuantLib::Period &, const STRING &id); ! void calcToVector(std::vector<QuantLib::Date> &, const SEQSEQ(sal_Int32) &); ! void calcToVector(QuantLib::Array &, const SEQSEQ(double) &); ! void calcToVector(std::vector<std::string> &, const SEQSEQ(ANY) &); ! void calcToVector(std::vector<long> &, const SEQSEQ(sal_Int32) &); ! void calcToVector(std::vector<bool> &, const SEQSEQ(sal_Int32) &); ! void calcToVector(std::vector<QuantLib::Period> &, const SEQSEQ(ANY) &); QuantLib::Matrix calcToQlMatrix(const SEQSEQ(double) &); ! void scalarToCalc(sal_Int32 &, const QuantLib::Date &); ! void scalarToCalc(double &, const QuantLib::Real &); ! void vectorToCalc(SEQSEQ(sal_Int32) &, const std::vector<QuantLib::Date> &); ! void vectorToCalc(SEQSEQ(double) &, const QuantLib::Array &); ! void matrixToCalc(SEQSEQ(double) &, const QuantLib::Matrix &); #endif Index: AddinCalc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/AddinCalc.vcproj,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** AddinCalc.vcproj 6 Oct 2006 16:40:44 -0000 1.5 --- AddinCalc.vcproj 9 Oct 2006 15:30:58 -0000 1.6 *************** *** 72,75 **** --- 72,78 ---- </File> <File + RelativePath=".\ratehelpers.cpp"> + </File> + <File RelativePath=".\session.cpp"> </File> *************** *** 78,81 **** --- 81,87 ---- </File> <File + RelativePath=".\termstructures.cpp"> + </File> + <File RelativePath=".\utilities.cpp"> </File> *************** *** 100,103 **** --- 106,112 ---- </File> <File + RelativePath=".\loop.hpp"> + </File> + <File RelativePath=".\mathf.hpp"> </File> *************** *** 127,133 **** --- 136,148 ---- </File> <File + RelativePath=".\ratehelpers.hpp"> + </File> + <File RelativePath=".\settings.hpp"> </File> <File + RelativePath=".\termstructures.hpp"> + </File> + <File RelativePath=".\utilities.hpp"> </File> Index: calcutils.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/calcutils.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** calcutils.hpp 28 Aug 2006 10:05:22 -0000 1.2 --- calcutils.hpp 9 Oct 2006 15:30:58 -0000 1.3 *************** *** 64,68 **** } ! void calcToScalar(bool &ret, const sal_Int32&value); void calcToScalar(boost::any &ret, const ANY &value); void calcToScalar(long &ret, const ANY &value, const long &defaultValue = 0); --- 64,68 ---- } ! void calcToScalar(bool &ret, const sal_Int32 &value); void calcToScalar(boost::any &ret, const ANY &value); void calcToScalar(long &ret, const ANY &value, const long &defaultValue = 0); Index: conversions.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/conversions.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** conversions.cpp 6 Oct 2006 16:40:44 -0000 1.3 --- conversions.cpp 9 Oct 2006 15:30:58 -0000 1.4 *************** *** 16,19 **** --- 16,20 ---- */ + #include <ql/Utilities/dataparsers.hpp> #include <Addins/Calc/conversions.hpp> #include <Addins/Calc/calcutils.hpp> *************** *** 22,30 **** #include <oh/objecthandler.hpp> ! void calcToLib(QuantLib::Date &ret, const sal_Int32 &date) { ret = QuantLib::Date(date); } ! //void calcToLib(QuantLib::Calendar &ret, const STRING &id2) { // std::string id = ouStringToStlString(id2); // if (QuantLibAddin::Create<QuantLib::Calendar>().checkType(id)) { --- 23,37 ---- #include <oh/objecthandler.hpp> ! void calcToScalar(QuantLib::Date &ret, const sal_Int32 &date) { ret = QuantLib::Date(date); } ! void calcToScalar(QuantLib::Date &ret, const ANY &date) { ! long dateLong; ! calcToScalar(dateLong, date); ! ret = QuantLib::Date(dateLong); ! } ! ! //void calcToScalar(QuantLib::Calendar &ret, const STRING &id2) { // std::string id = ouStringToStlString(id2); // if (QuantLibAddin::Create<QuantLib::Calendar>().checkType(id)) { *************** *** 37,44 **** //} ! void calcToLib(QuantLib::Period &ret, const STRING &id) { } ! void calcToVectorLib(std::vector<QuantLib::Date> &ret, const SEQSEQ(sal_Int32) &in) { for (int i=0; i<in.getLength(); i++) --- 44,53 ---- //} ! void calcToScalar(QuantLib::Period &ret, const STRING &id) { ! std::string idCpp = ouStringToStlString(id); ! ret = QuantLib::PeriodParser::parse(idCpp); } ! void calcToVector(std::vector<QuantLib::Date> &ret, const SEQSEQ(sal_Int32) &in) { for (int i=0; i<in.getLength(); i++) *************** *** 48,64 **** } ! void calcToVectorLib(QuantLib::Array &ret, const SEQSEQ(double) &in) { } ! void calcToVectorLib(std::vector<std::string> &ret, const SEQSEQ(ANY) &in) { } ! void calcToVectorLib(std::vector<long> &ret, const SEQSEQ(sal_Int32) &in) { } ! void calcToVectorLib(std::vector<bool> &ret, const SEQSEQ(sal_Int32) &in) { } ! void calcToVectorLib(std::vector<QuantLib::Period> &ret, const SEQSEQ(ANY) &in) { } --- 57,80 ---- } ! void calcToVector(QuantLib::Array &ret, const SEQSEQ(double) &in) { } ! void calcToVector(std::vector<std::string> &ret, const SEQSEQ(ANY) &in) { ! for (int i=0; i<in.getLength(); i++) { ! for (int j=0; j<in[i].getLength(); j++) { ! std::string s; ! calcToScalar(s, in[i][j]); ! ret.push_back(s); ! } ! } } ! void calcToVector(std::vector<long> &ret, const SEQSEQ(sal_Int32) &in) { } ! void calcToVector(std::vector<bool> &ret, const SEQSEQ(sal_Int32) &in) { } ! void calcToVector(std::vector<QuantLib::Period> &ret, const SEQSEQ(ANY) &in) { } *************** *** 81,93 **** ! void scalarToCalcLib(sal_Int32 &ret, const QuantLib::Date &in) { ret = in.serialNumber(); } ! void scalarToCalcLib(double &ret, const QuantLib::Real &in) { ret = in; } ! void vectorToCalcLib(SEQSEQ(sal_Int32) &ret, const std::vector<QuantLib::Date> &v) { ret.realloc(v.size()); for (unsigned int i=0; i<v.size(); i++) { --- 97,109 ---- ! void scalarToCalc(sal_Int32 &ret, const QuantLib::Date &in) { ret = in.serialNumber(); } ! void scalarToCalc(double &ret, const QuantLib::Real &in) { ret = in; } ! void vectorToCalc(SEQSEQ(sal_Int32) &ret, const std::vector<QuantLib::Date> &v) { ret.realloc(v.size()); for (unsigned int i=0; i<v.size(); i++) { *************** *** 98,102 **** } ! void vectorToCalcLib(SEQSEQ(double) &ret, const QuantLib::Array &in) { ret.realloc(in.size()); for (unsigned int i=0; i<in.size(); i++) { --- 114,118 ---- } ! void vectorToCalc(SEQSEQ(double) &ret, const QuantLib::Array &in) { ret.realloc(in.size()); for (unsigned int i=0; i<in.size(); i++) { *************** *** 107,111 **** } ! void matrixToCalcLib(SEQSEQ(double) &ret, const QuantLib::Matrix &in) { ret.realloc(in.rows()); for (unsigned int i=0; i<in.rows(); i++) { --- 123,127 ---- } ! void matrixToCalc(SEQSEQ(double) &ret, const QuantLib::Matrix &in) { ret.realloc(in.rows()); for (unsigned int i=0; i<in.rows(); i++) { Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/Makefile.am,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** Makefile.am 7 Oct 2006 14:30:16 -0000 1.5 --- Makefile.am 9 Oct 2006 15:30:58 -0000 1.6 *************** *** 65,68 **** --- 65,69 ---- exercise.hpp \ instruments.hpp \ + loop.hpp \ mathf.hpp \ ohfunctions.hpp \ Index: AddinCalc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/AddinCalc_vc8.vcproj,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** AddinCalc_vc8.vcproj 7 Oct 2006 14:30:16 -0000 1.5 --- AddinCalc_vc8.vcproj 9 Oct 2006 15:30:58 -0000 1.6 *************** *** 99,102 **** --- 99,106 ---- </File> <File + RelativePath=".\ratehelpers.cpp" + > + </File> + <File RelativePath=".\session.cpp" > *************** *** 107,110 **** --- 111,118 ---- </File> <File + RelativePath=".\termstructures.cpp" + > + </File> + <File RelativePath=".\utilities.cpp" > *************** *** 136,139 **** --- 144,151 ---- </File> <File + RelativePath=".\loop.hpp" + > + </File> + <File RelativePath=".\mathf.hpp" > *************** *** 172,179 **** --- 184,199 ---- </File> <File + RelativePath=".\ratehelpers.hpp" + > + </File> + <File RelativePath=".\settings.hpp" > </File> <File + RelativePath=".\termstructures.hpp" + > + </File> + <File RelativePath=".\utilities.hpp" > Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/Makefile.vc,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Makefile.vc 6 Oct 2006 16:40:44 -0000 1.3 --- Makefile.vc 9 Oct 2006 15:30:58 -0000 1.4 *************** *** 47,52 **** --- 47,54 ---- "$(INT_DIR)\processes.obj" \ "$(INT_DIR)\qladdin.obj" \ + "$(INT_DIR)\ratehelpers.obj" \ "$(INT_DIR)\session.obj" \ "$(INT_DIR)\settings.obj" \ + "$(INT_DIR)\termstructures.obj" \ "$(INT_DIR)\utilities.obj" \ "$(INT_DIR)\volatilities.obj" |
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From: Eric E. <eri...@us...> - 2006-10-09 15:31:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9830/gensrc/metadata Modified Files: ratehelpers.xml termstructures.xml Log Message: support loop functions on Calc Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** ratehelpers.xml 6 Oct 2006 12:08:14 -0000 1.27 --- ratehelpers.xml 9 Oct 2006 15:30:59 -0000 1.28 *************** *** 85,88 **** --- 85,89 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** termstructures.xml 6 Oct 2006 12:08:14 -0000 1.41 --- termstructures.xml 9 Oct 2006 15:30:59 -0000 1.42 *************** *** 76,79 **** --- 76,80 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 291,294 **** --- 292,296 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> |
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From: Eric E. <eri...@us...> - 2006-10-09 11:18:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2351/gensrc/metadata Modified Files: bonds.xml capfloor.xml Log Message: extend support for implicit conversions from scalars to vectors/matrices Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** bonds.xml 6 Oct 2006 12:08:13 -0000 1.35 --- bonds.xml 9 Oct 2006 11:18:09 -0000 1.36 *************** *** 11,19 **** </includes> <copyright> ! Copyright (C) 2006 Chiara Fornarola ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Walter Penschke </copyright> --- 11,19 ---- </includes> <copyright> ! Copyright (C) 2006 Chiara Fornarola ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005 Walter Penschke </copyright> *************** *** 408,413 **** <description>settlement days</description> </Parameter> ! <Parameter name='coupons'> ! <!--<Parameter name='coupons' libraryType='QuantLib::Rate'>--> <type>double</type> <tensorRank>vector</tensorRank> --- 408,412 ---- <description>settlement days</description> </Parameter> ! <Parameter name='coupons' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 510,515 **** <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> </Parameter> ! <!--<Parameter name='spreads' default='0' libraryType='QuantLib::Spread'>--> ! <Parameter name='spreads' default='0'> <type>double</type> <tensorRank>vector</tensorRank> --- 509,513 ---- <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> </Parameter> ! <Parameter name='spreads' default='0' libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>vector</tensorRank> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** capfloor.xml 9 Oct 2006 10:02:39 -0000 1.23 --- capfloor.xml 9 Oct 2006 11:18:10 -0000 1.24 *************** *** 9,14 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> --- 9,14 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> *************** *** 38,43 **** <Parameters/> </ParameterList> ! <!--<ReturnValue libraryType='QuantLib::Rate'>--> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 38,42 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 54,59 **** <Parameters/> </ParameterList> ! <!--<ReturnValue libraryType='QuantLib::Rate'>--> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 53,57 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 99,110 **** <description>coupon vector</description> </Parameter> ! <Parameter name='capStrikes'> ! <!--<Parameter name='capStrikes' libraryType='QuantLib::Rate'>--> <type>double</type> <tensorRank>vector</tensorRank> <description>cap strikes</description> </Parameter> ! <Parameter name='floorStrikes'> ! <!--<Parameter name='floorStrikes' libraryType='QuantLib::Rate'>--> <type>double</type> <tensorRank>vector</tensorRank> --- 97,106 ---- <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> |
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From: Eric E. <eri...@us...> - 2006-10-09 11:18:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2351/gensrc/config Modified Files: config.xml Log Message: extend support for implicit conversions from scalars to vectors/matrices Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** config.xml 3 Oct 2006 09:32:49 -0000 1.31 --- config.xml 9 Oct 2006 11:18:09 -0000 1.32 *************** *** 58,62 **** <implicitConversion>QuantLib::Time</implicitConversion> <implicitConversion>QuantLib::Real</implicitConversion> ! <implicitConversion>QuantLib::Size</implicitConversion> </implicitConversions> --- 58,62 ---- <implicitConversion>QuantLib::Time</implicitConversion> <implicitConversion>QuantLib::Real</implicitConversion> ! <!--<implicitConversion>QuantLib::Size</implicitConversion>--> </implicitConversions> |
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From: Ferdinando A. <na...@us...> - 2006-10-09 10:02:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3919 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** todonando.txt 27 Sep 2006 10:07:37 -0000 1.38 --- todonando.txt 9 Oct 2006 10:02:47 -0000 1.39 *************** *** 4,9 **** - deprecate swaptionvol time interface - deprecate MonthEndReference - - vola model, corr model - - corregere OneAssetOption impliedVol - cap ATM strike --- 4,7 ---- *************** *** 11,18 **** - SWAP implement fair rate for floating/fixed rate vector - add SABR factory - - use boost ublas - use boost random number generators - COUPON refactoring - - SCHEDULE refactoring - Volatility assume a daycounter in the same way as rate (see InterestRate) - ForwardSpreadedCurve con spread term structure --- 9,14 ---- *************** *** 20,24 **** - Instrument<Args> - Inherit Exercise from Event? - - fixing days in Vanilla Swap - use strategy pattern for simulation termination criteria --- 16,19 ---- *************** *** 44,75 **** - bootstrap ForwardSpreadedYieldCurve - - - separate drift test - - displacement calibration - LUIGI - - introduce Sobol BrownianGenerator - - convergence (sequence) statistics - - composite product - - debug vari crash in test suite per floating point exception - risolvere Halley improvements - - refactor market model test suite: - 1 test per Forward e Caplet - diversi BrownianGenerator - - Weekly CHANGELOG update - - separare modelli di correlazione da modelli di volatilità - - - fixing days in VanillaSwap? - - InterpolatedYieldTermStructure<Discount,LogLinear> - InterpolatedYieldTermStructure<Discount,LogLinear> constructor using an input discount grid - InterpolatedYieldTermStructure<Discount,LogLinear>::gridDates() - - generic ForwardSpreadedYieldCurve (spread term structure) - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve - MODULES - reorganize file/folder/projectfolder --- 39,52 ---- *************** *** 77,81 **** - create QuantLib-other CVS mailing list - QUANTLIBADDIN - break Eric's data conversion (Rate, Vol, etc) --- 54,57 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-09 10:02:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3894/gensrc/metadata Modified Files: capfloor.xml Log Message: adopting QuantLibb::Types Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** capfloor.xml 6 Oct 2006 12:08:13 -0000 1.22 --- capfloor.xml 9 Oct 2006 10:02:39 -0000 1.23 *************** *** 9,14 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> --- 9,14 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> *************** *** 38,41 **** --- 38,42 ---- <Parameters/> </ParameterList> + <!--<ReturnValue libraryType='QuantLib::Rate'>--> <ReturnValue> <type>double</type> *************** *** 53,56 **** --- 54,58 ---- <Parameters/> </ParameterList> + <!--<ReturnValue libraryType='QuantLib::Rate'>--> <ReturnValue> <type>double</type> *************** *** 74,78 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 76,80 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 98,101 **** --- 100,104 ---- </Parameter> <Parameter name='capStrikes'> + <!--<Parameter name='capStrikes' libraryType='QuantLib::Rate'>--> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 103,106 **** --- 106,110 ---- </Parameter> <Parameter name='floorStrikes'> + <!--<Parameter name='floorStrikes' libraryType='QuantLib::Rate'>--> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 136,141 **** </Member> - </Functions> </Category> - --- 140,143 ---- |
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From: Eric E. <eri...@us...> - 2006-10-09 09:48:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30439/gensrc/metadata Modified Files: ohfunctions.xml Log Message: fix for The Bug of the Day Index: ohfunctions.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ohfunctions.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** ohfunctions.xml 7 Oct 2006 12:44:58 -0000 1.9 --- ohfunctions.xml 9 Oct 2006 09:48:38 -0000 1.10 *************** *** 286,290 **** </Procedure> ! <Procedure name='ohParseField'> <description>Extract the ith number from a whitespace-delimited list of fields</description> <alias>ObjHandler::parseField</alias> --- 286,290 ---- </Procedure> ! <Procedure name='ohParseField' dependencyTrigger='False'> <description>Extract the ith number from a whitespace-delimited list of fields</description> <alias>ObjHandler::parseField</alias> *************** *** 304,311 **** <description>index (1-based) of desired field</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> --- 304,321 ---- <description>index (1-based) of desired field</description> </Parameter> + <Parameter name='dataType' default='"NUMBER"'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>expected datatype - NUMBER or STRING (default = NUMBER)</description> + </Parameter> + <Parameter name='delim' default='"[:space:]"'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>delimiter (default = whitespace)</description> + </Parameter> </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>scalar</tensorRank> </ReturnValue> |
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From: Eric E. <eri...@us...> - 2006-10-09 07:28:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4559/Addins/Calc Modified Files: manual.cpp Log Message: fix carriage returns Index: manual.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/manual.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** manual.cpp 7 Oct 2006 12:44:57 -0000 1.1 --- manual.cpp 9 Oct 2006 07:28:50 -0000 1.2 *************** *** 1,91 **** ! #include <qlo/qladdindefines.hpp> ! #include <qlo/typefactory.hpp> ! #include <qlo/conversions.hpp> ! #include <oh/objecthandler.hpp> ! ! #include <Addins/Calc/qladdin.hpp> ! #include <Addins/Calc/calcutils.hpp> ! #include <Addins/Calc/conversions.hpp> ! ! sal_Int32 SAL_CALL QLAddin::ohDependsOn( ! const ANY &dummy0, ! const ANY &dummy1, ! const ANY &dummy2, ! const ANY &dummy3, ! const ANY &dummy4, ! const ANY &dummy5, ! const ANY &dummy6, ! const ANY &dummy7, ! const ANY &dummy8, ! const ANY &dummy9, ! const ANY &trigger) THROWDEF_RTE_IAE { ! long returnValue = 1; ! return returnValue; ! } ! ! SEQSEQ(STRING) SAL_CALL QLAddin::ohPropertyNames( ! const STRING &objectID, ! const ANY &trigger) THROWDEF_RTE_IAE { ! try { ! ! // convert input datatypes to C++ datatypes ! ! std::string objectIDCpp = ouStringToStlString(objectID); ! ! // convert object IDs into library objects ! ! OH_GET_OBJECT(objectIDObj, objectIDCpp, ObjHandler::Object) ! ! // invoke the member function ! ! std::vector<std::string> returnValue = objectIDObj->propertyNames(); ! ! // convert and return the return value ! ! ! /* no VO - not a constructor*/ ! SEQSEQ(STRING) returnValueCalc; ! vectorToCalc(returnValueCalc, returnValue); ! return returnValueCalc; ! ! } catch (const std::exception &e) { ! ObjHandler::logMessage(std::string("ERROR: ohPropertyNames: ") + e.what(), 2); ! THROW_RTE; ! } ! } ! ! ANY SAL_CALL QLAddin::ohPropertyValue( ! const STRING &objectID, ! const STRING &fieldName, ! const ANY &trigger) THROWDEF_RTE_IAE { ! try { ! ! // convert input datatypes to C++ datatypes ! ! std::string objectIDCpp = ouStringToStlString(objectID); ! ! std::string fieldNameCpp = ouStringToStlString(fieldName); ! ! // convert object IDs into library objects ! ! OH_GET_OBJECT(objectIDObj, objectIDCpp, ObjHandler::Object) ! ! // invoke the member function ! ! boost::any returnValue = objectIDObj->propertyValue( ! fieldNameCpp); ! ! // convert and return the return value ! ! ! /* no VO - not a constructor*/ ! ANY returnValueCalc; ! scalarToCalc(returnValueCalc, returnValue); ! return returnValueCalc; ! ! } catch (const std::exception &e) { ! ObjHandler::logMessage(std::string("ERROR: ohPropertyValue: ") + e.what(), 2); ! THROW_RTE; ! } ! } ! --- 1,90 ---- ! #include <qlo/qladdindefines.hpp> ! #include <qlo/typefactory.hpp> ! #include <qlo/conversions.hpp> ! #include <oh/objecthandler.hpp> ! ! #include <Addins/Calc/qladdin.hpp> ! #include <Addins/Calc/calcutils.hpp> ! #include <Addins/Calc/conversions.hpp> ! ! sal_Int32 SAL_CALL QLAddin::ohDependsOn( ! const ANY &dummy0, ! const ANY &dummy1, ! const ANY &dummy2, ! const ANY &dummy3, ! const ANY &dummy4, ! const ANY &dummy5, ! const ANY &dummy6, ! const ANY &dummy7, ! const ANY &dummy8, ! const ANY &dummy9, ! const ANY &trigger) THROWDEF_RTE_IAE { ! long returnValue = 1; ! return returnValue; ! } ! ! SEQSEQ(STRING) SAL_CALL QLAddin::ohPropertyNames( ! const STRING &objectID, ! const ANY &trigger) THROWDEF_RTE_IAE { ! try { ! ! // convert input datatypes to C++ datatypes ! ! std::string objectIDCpp = ouStringToStlString(objectID); ! ! // convert object IDs into library objects ! ! OH_GET_OBJECT(objectIDObj, objectIDCpp, ObjHandler::Object) ! ! // invoke the member function ! ! std::vector<std::string> returnValue = objectIDObj->propertyNames(); ! ! // convert and return the return value ! ! ! /* no VO - not a constructor*/ ! SEQSEQ(STRING) returnValueCalc; ! vectorToCalc(returnValueCalc, returnValue); ! return returnValueCalc; ! ! } catch (const std::exception &e) { ! ObjHandler::logMessage(std::string("ERROR: ohPropertyNames: ") + e.what(), 2); ! THROW_RTE; ! } ! } ! ! ANY SAL_CALL QLAddin::ohPropertyValue( ! const STRING &objectID, ! const STRING &fieldName, ! const ANY &trigger) THROWDEF_RTE_IAE { ! try { ! ! // convert input datatypes to C++ datatypes ! ! std::string objectIDCpp = ouStringToStlString(objectID); ! ! std::string fieldNameCpp = ouStringToStlString(fieldName); ! ! // convert object IDs into library objects ! ! OH_GET_OBJECT(objectIDObj, objectIDCpp, ObjHandler::Object) ! ! // invoke the member function ! ! boost::any returnValue = objectIDObj->propertyValue( ! fieldNameCpp); ! ! // convert and return the return value ! ! ! /* no VO - not a constructor*/ ! ANY returnValueCalc; ! scalarToCalc(returnValueCalc, returnValue); ! return returnValueCalc; ! ! } catch (const std::exception &e) { ! ObjHandler::logMessage(std::string("ERROR: ohPropertyValue: ") + e.what(), 2); ! THROW_RTE; ! } ! } |
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From: Eric E. <eri...@us...> - 2006-10-07 15:47:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/Guile In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11421/Clients/Guile Modified Files: Makefile.am Added Files: options.scm Log Message: linux catching up --- NEW FILE: options.scm --- ; Copyright (C) 2006 Eric Ehlers ; ; This file is part of QuantLib, a free-software/open-source library ; for financial quantitative analysts and developers - http://quantlib.org/ ; ; QuantLib is free software: you can redistribute it and/or modify it under the ; terms of the QuantLib license. You should have received a copy of the ; license along with this program; if not, please email qua...@li... ; The license is also available online at http://quantlib.org/html/license.html ; ; This program is distributed in the hope that it will be useful, but WITHOUT ; ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS ; FOR A PARTICULAR PURPOSE. See the license for more details. (dynamic-call "init_qladdin" (dynamic-link "libQuantLibAddinGuile")) (define false #f) (define (print . args) (for-each (lambda (item) (display item)) args)) (define (call-func func . args) (func args)) (define (date day month year) (qlDate (list day month year))) (call-func ohSetConsole 1 5) ; -- qlSetEvaluationDate (define evaluationDate (date 15 "May" 1998)) (call-func qlSetEvaluationDate evaluationDate) ; -- qlBlackConstantVol (define settlementDate (date 17 "May" 1998)) (call-func qlBlackConstantVol ; constructor "my_blackconstantvol"; object ID settlementDate ; settlement date 0.20 ; volatility "Actual/365 (Fixed)"); day counter ; -- qlGeneralizedBlackScholesProcess (call-func qlGeneralizedBlackScholesProcess ; constructor "my_stochastic" ; object ID "my_blackconstantvol"; black constant vol 36 ; underlying "Actual/365 (Fixed)" ; day counter settlementDate ; settlement date 0.06 ; risk free rate 0.00) ; dividend yield ; -- qlEuropeanExercise (define exerciseDate (date 17 "May" 1999)) (call-func qlEuropeanExercise ; constructor "my_exercise" ; object ID exerciseDate) ; exercise date ; -- qlStrikedTypePayoff (call-func qlStrikedTypePayoff ; constructor "my_payoff" ; object ID "vanilla" ; payoff "put" ; call/put 40.0) ; strike ; -- qlPricingEngine (call-func qlPricingEngine ; constructor "my_engine" ; object ID "AE") ; analytic european ; -- qlVanillaOption (call-func qlVanillaOption ; constructor "my_option" ; object ID "my_stochastic" ; stochastic object "my_payoff" ; payoff object "my_exercise" ; exercise object "my_engine") ; engine object ; -- NPV (print "npv : " (call-func qlNPV "my_option") "\n") Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Guile/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 7 Oct 2006 15:47:44 -0000 1.2 *************** *** 2,5 **** --- 2,6 ---- EXTRA_DIST = \ capfloor.scm \ + options.scm \ yc_swapdemo.scm |
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From: Eric E. <eri...@us...> - 2006-10-07 15:47:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11421/gensrc/metadata Modified Files: instruments.xml Log Message: linux catching up Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** instruments.xml 6 Oct 2006 12:08:13 -0000 1.21 --- instruments.xml 7 Oct 2006 15:47:45 -0000 1.22 *************** *** 20,23 **** --- 20,24 ---- <Excel/> <Calc/> + <Guile/> <C/> </SupportedPlatforms> |
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From: Eric E. <eri...@us...> - 2006-10-07 15:47:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11421/Addins/Guile Modified Files: Makefile.am extra.cpp Log Message: linux catching up Index: extra.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/extra.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** extra.cpp 28 Aug 2006 10:05:22 -0000 1.2 --- extra.cpp 7 Oct 2006 15:47:44 -0000 1.3 *************** *** 2,5 **** --- 2,6 ---- /* Copyright (C) 2005 Eric Ehlers + Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/Makefile.am,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Makefile.am 7 Oct 2006 12:44:57 -0000 1.3 --- Makefile.am 7 Oct 2006 15:47:44 -0000 1.4 *************** *** 18,21 **** --- 18,22 ---- extra.h \ guileutils.hpp \ + instruments.h \ ohfunctions.h \ options.h \ *************** *** 33,36 **** --- 34,38 ---- extra.cpp \ guileutils.cpp \ + instruments.cpp \ ohfunctions.cpp \ options.cpp \ |
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From: Eric E. <eri...@us...> - 2006-10-07 14:30:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12948/gensrc/metadata Modified Files: exercise.xml options.xml pricingengines.xml Log Message: linux catching up Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** options.xml 6 Oct 2006 12:08:13 -0000 1.23 --- options.xml 7 Oct 2006 14:30:17 -0000 1.24 *************** *** 17,20 **** --- 17,21 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 63,66 **** --- 64,68 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 132,135 **** --- 134,138 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 183,186 **** --- 186,190 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 224,227 **** --- 228,232 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 265,270 **** <SupportedPlatforms> <Excel/> - <C/> <Calc/> <Guile/> </SupportedPlatforms> --- 270,275 ---- <SupportedPlatforms> <Excel/> <Calc/> + <C/> <Guile/> </SupportedPlatforms> *************** *** 299,302 **** --- 304,308 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 330,333 **** --- 336,340 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 376,379 **** --- 383,387 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 433,436 **** --- 441,445 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 448,451 **** --- 457,461 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 463,466 **** --- 473,477 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 478,481 **** --- 489,493 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 493,496 **** --- 505,509 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 508,511 **** --- 521,525 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 523,526 **** --- 537,541 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 538,541 **** --- 553,557 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 553,556 **** --- 569,573 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 568,571 **** --- 585,589 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** exercise.xml 6 Oct 2006 12:08:13 -0000 1.12 --- exercise.xml 7 Oct 2006 14:30:17 -0000 1.13 *************** *** 44,47 **** --- 44,48 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 70,76 **** <SupportedPlatforms> <Excel/> - <C/> <Calc/> <Guile/> </SupportedPlatforms> <ParameterList> --- 71,77 ---- <SupportedPlatforms> <Excel/> <Calc/> <Guile/> + <C/> </SupportedPlatforms> <ParameterList> *************** *** 89,92 **** --- 90,94 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** pricingengines.xml 6 Oct 2006 12:08:14 -0000 1.22 --- pricingengines.xml 7 Oct 2006 14:30:17 -0000 1.23 *************** *** 156,159 **** --- 156,160 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> |
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From: Eric E. <eri...@us...> - 2006-10-07 14:30:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12948/Clients/Calc Modified Files: Makefile.am options.ods Log Message: linux catching up Index: options.ods =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc/options.ods,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 Binary files /tmp/cvsYWUNDA and /tmp/cvs84w4ZY differ Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc/Makefile.am,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** Makefile.am 28 Aug 2006 10:05:23 -0000 1.2 --- Makefile.am 7 Oct 2006 14:30:17 -0000 1.3 *************** *** 1,8 **** EXTRA_DIST = \ ! capfloors.sxc \ ! instruments.sxc \ ! options.ods \ ! options.sxc \ ! QLADemo.sxc --- 1,5 ---- EXTRA_DIST = \ ! ObjectHandlerUtilities.ods \ ! options.ods |
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From: Eric E. <eri...@us...> - 2006-10-07 14:30:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12948/Addins/Calc Modified Files: AddinCalc_vc8.vcproj Makefile.am Log Message: linux catching up Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/Makefile.am,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** Makefile.am 7 Oct 2006 12:44:57 -0000 1.4 --- Makefile.am 7 Oct 2006 14:30:16 -0000 1.5 *************** *** 92,99 **** pricingengines.cpp \ processes.cpp \ - utilities.cpp \ qladdin.cpp \ session.cpp \ settings.cpp \ volatilities.cpp --- 92,99 ---- pricingengines.cpp \ processes.cpp \ qladdin.cpp \ session.cpp \ settings.cpp \ + utilities.cpp \ volatilities.cpp Index: AddinCalc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/AddinCalc_vc8.vcproj,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** AddinCalc_vc8.vcproj 28 Aug 2006 10:05:22 -0000 1.4 --- AddinCalc_vc8.vcproj 7 Oct 2006 14:30:16 -0000 1.5 *************** *** 63,66 **** --- 63,82 ---- </File> <File + RelativePath=".\instruments.cpp" + > + </File> + <File + RelativePath=".\manual.cpp" + > + </File> + <File + RelativePath=".\mathf.cpp" + > + </File> + <File + RelativePath=".\ohfunctions.cpp" + > + </File> + <File RelativePath=".\options.cpp" > *************** *** 87,90 **** --- 103,114 ---- </File> <File + RelativePath=".\settings.cpp" + > + </File> + <File + RelativePath=".\utilities.cpp" + > + </File> + <File RelativePath=".\volatilities.cpp" > *************** *** 108,111 **** --- 132,147 ---- </File> <File + RelativePath=".\instruments.hpp" + > + </File> + <File + RelativePath=".\mathf.hpp" + > + </File> + <File + RelativePath=".\ohfunctions.hpp" + > + </File> + <File RelativePath=".\options.hpp" > *************** *** 136,139 **** --- 172,183 ---- </File> <File + RelativePath=".\settings.hpp" + > + </File> + <File + RelativePath=".\utilities.hpp" + > + </File> + <File RelativePath=".\volatilities.hpp" > |
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From: Eric E. <eri...@us...> - 2006-10-07 12:45:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3087/gensrc/metadata Modified Files: ohfunctions.xml settings.xml utilities.xml Log Message: linux catching up Index: settings.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/settings.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** settings.xml 6 Oct 2006 16:40:44 -0000 1.4 --- settings.xml 7 Oct 2006 12:44:58 -0000 1.5 *************** *** 13,16 **** --- 13,19 ---- <SupportedPlatforms> <Excel/> + <Calc/> + <Guile/> + <C/> </SupportedPlatforms> <ParameterList> *************** *** 29,32 **** --- 32,37 ---- <Excel/> <Calc/> + <Guile/> + <C/> </SupportedPlatforms> <ParameterList> Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** utilities.xml 6 Oct 2006 16:40:44 -0000 1.14 --- utilities.xml 7 Oct 2006 12:44:58 -0000 1.15 *************** *** 112,113 **** --- 112,114 ---- </Functions> </Category> + Index: ohfunctions.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ohfunctions.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** ohfunctions.xml 6 Oct 2006 16:40:44 -0000 1.8 --- ohfunctions.xml 7 Oct 2006 12:44:58 -0000 1.9 *************** *** 201,206 **** <SupportedPlatforms> <Excel implementation='documentationOnly'/> - <C/> <Calc/> <Guile/> </SupportedPlatforms> --- 201,206 ---- <SupportedPlatforms> <Excel implementation='documentationOnly'/> <Calc/> + <C/> <Guile/> </SupportedPlatforms> *************** *** 230,235 **** <SupportedPlatforms> <Excel implementation='documentationOnly'/> - <C/> <Calc/> <Guile/> </SupportedPlatforms> --- 230,235 ---- <SupportedPlatforms> <Excel implementation='documentationOnly'/> <Calc/> + <C/> <Guile/> </SupportedPlatforms> *************** *** 370,375 **** <SupportedPlatforms> <Excel implementation='documentationOnly'/> - <C/> <Calc/> <Guile/> </SupportedPlatforms> --- 370,375 ---- <SupportedPlatforms> <Excel implementation='documentationOnly'/> <Calc/> + <C/> <Guile/> </SupportedPlatforms> |
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From: Eric E. <eri...@us...> - 2006-10-07 12:45:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3087/Addins/Calc Modified Files: Makefile.am Added Files: manual.cpp Log Message: linux catching up --- NEW FILE: manual.cpp --- #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> #include <qlo/conversions.hpp> #include <oh/objecthandler.hpp> #include <Addins/Calc/qladdin.hpp> #include <Addins/Calc/calcutils.hpp> #include <Addins/Calc/conversions.hpp> sal_Int32 SAL_CALL QLAddin::ohDependsOn( const ANY &dummy0, const ANY &dummy1, const ANY &dummy2, const ANY &dummy3, const ANY &dummy4, const ANY &dummy5, const ANY &dummy6, const ANY &dummy7, const ANY &dummy8, const ANY &dummy9, const ANY &trigger) THROWDEF_RTE_IAE { long returnValue = 1; return returnValue; } SEQSEQ(STRING) SAL_CALL QLAddin::ohPropertyNames( const STRING &objectID, const ANY &trigger) THROWDEF_RTE_IAE { try { // convert input datatypes to C++ datatypes std::string objectIDCpp = ouStringToStlString(objectID); // convert object IDs into library objects OH_GET_OBJECT(objectIDObj, objectIDCpp, ObjHandler::Object) // invoke the member function std::vector<std::string> returnValue = objectIDObj->propertyNames(); // convert and return the return value /* no VO - not a constructor*/ SEQSEQ(STRING) returnValueCalc; vectorToCalc(returnValueCalc, returnValue); return returnValueCalc; } catch (const std::exception &e) { ObjHandler::logMessage(std::string("ERROR: ohPropertyNames: ") + e.what(), 2); THROW_RTE; } } ANY SAL_CALL QLAddin::ohPropertyValue( const STRING &objectID, const STRING &fieldName, const ANY &trigger) THROWDEF_RTE_IAE { try { // convert input datatypes to C++ datatypes std::string objectIDCpp = ouStringToStlString(objectID); std::string fieldNameCpp = ouStringToStlString(fieldName); // convert object IDs into library objects OH_GET_OBJECT(objectIDObj, objectIDCpp, ObjHandler::Object) // invoke the member function boost::any returnValue = objectIDObj->propertyValue( fieldNameCpp); // convert and return the return value /* no VO - not a constructor*/ ANY returnValueCalc; scalarToCalc(returnValueCalc, returnValue); return returnValueCalc; } catch (const std::exception &e) { ObjHandler::logMessage(std::string("ERROR: ohPropertyValue: ") + e.what(), 2); THROW_RTE; } } Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/Makefile.am,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Makefile.am 6 Oct 2006 12:08:13 -0000 1.3 --- Makefile.am 7 Oct 2006 12:44:57 -0000 1.4 *************** *** 65,68 **** --- 65,69 ---- exercise.hpp \ instruments.hpp \ + mathf.hpp \ ohfunctions.hpp \ options.hpp \ *************** *** 73,76 **** --- 74,79 ---- qladdin.hpp \ qldefs.hpp \ + settings.hpp \ + utilities.hpp \ volatilities.hpp endif *************** *** 82,85 **** --- 85,90 ---- funcdef.cpp \ instruments.cpp \ + manual.cpp \ + mathf.cpp \ ohfunctions.cpp \ options.cpp \ *************** *** 87,92 **** --- 92,99 ---- pricingengines.cpp \ processes.cpp \ + utilities.cpp \ qladdin.cpp \ session.cpp \ + settings.cpp \ volatilities.cpp |
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From: Eric E. <eri...@us...> - 2006-10-07 12:45:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3087/Addins/C Modified Files: .cvsignore Makefile.am Log Message: linux catching up Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/.cvsignore,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** .cvsignore 28 Aug 2006 10:05:22 -0000 1.2 --- .cvsignore 7 Oct 2006 12:44:57 -0000 1.3 *************** *** 34,37 **** --- 34,38 ---- randomsequencegenerator.* schedule.* + settings.* shortratemodels.* simpleswap.* Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/Makefile.am,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** Makefile.am 4 Oct 2006 14:25:57 -0000 1.4 --- Makefile.am 7 Oct 2006 12:44:57 -0000 1.5 *************** *** 27,30 **** --- 27,31 ---- processes.h \ qladdin.h \ + settings.h \ varies.h \ varies.hpp \ *************** *** 41,44 **** --- 42,46 ---- pricingengines.cpp \ processes.cpp \ + settings.cpp \ varies.cpp \ volatilities.cpp |
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From: Eric E. <eri...@us...> - 2006-10-07 12:45:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++ In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3087/Clients/C++ Modified Files: qlademo.cpp Log Message: linux catching up Index: qlademo.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++/qlademo.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** qlademo.cpp 28 Aug 2006 10:05:22 -0000 1.4 --- qlademo.cpp 7 Oct 2006 12:44:58 -0000 1.5 *************** *** 60,66 **** double underlying = 36; double strike = 40; ! //long timeSteps = 801; ! Date exerciseDate(13, March, 2020); ! Date settlementDate(13, March, 2019); boost::shared_ptr<Object> blackConstantVol( --- 60,68 ---- double underlying = 36; double strike = 40; ! Date evaluationDate(15, May, 1998); ! Date settlementDate(17, May, 1998); ! Date exerciseDate(17, May, 1999); ! ! QuantLibAddin::setEvaluationDate(evaluationDate); boost::shared_ptr<Object> blackConstantVol( *************** *** 68,72 **** settlementDate, // settlement date as long volatility, // volatility ! Actual360())); // daycount convention ObjHandler::ObjectHandler::instance().storeObject( "my_blackconstantvol", blackConstantVol); --- 70,74 ---- settlementDate, // settlement date as long volatility, // volatility ! Actual365Fixed())); // daycount convention ObjHandler::ObjectHandler::instance().storeObject( "my_blackconstantvol", blackConstantVol); *************** *** 79,83 **** blackvolRef, // black constant vol object ID underlying, // underlying ! Actual360(), // daycount convention settlementDate, // settlement date as long riskFreeRate, // risk free rate --- 81,85 ---- blackvolRef, // black constant vol object ID underlying, // underlying ! Actual365Fixed(), // daycount convention settlementDate, // settlement date as long riskFreeRate, // risk free rate *************** *** 86,89 **** --- 88,97 ---- "my_blackscholes", blackScholesProcess); + boost::shared_ptr<Object> exercise( + new QuantLibAddin::EuropeanExercise( + exerciseDate)); // exercise date + ObjHandler::ObjectHandler::instance().storeObject( + "my_exercise", exercise); + boost::shared_ptr<ObjHandler::Object> payoff( new QuantLibAddin::StrikedTypePayoff( *************** *** 94,108 **** "my_payoff", payoff); - boost::shared_ptr<Object> exercise( - new QuantLibAddin::AmericanExercise( - settlementDate, // settlement date - exerciseDate, // exercise date - false)); // payoff at expiry - ObjHandler::ObjectHandler::instance().storeObject( - "my_exercise", exercise); - boost::shared_ptr<Object> engine( new QuantLibAddin::PricingEngine( ! "JR")); // engine ID ObjHandler::ObjectHandler::instance().storeObject( "my_engine", engine); --- 102,108 ---- "my_payoff", payoff); boost::shared_ptr<Object> engine( new QuantLibAddin::PricingEngine( ! "AE")); // engine ID (Analytic European) ObjHandler::ObjectHandler::instance().storeObject( "my_engine", engine); *************** *** 116,120 **** OH_GET_REFERENCE(exerciseRef, "my_exercise", ! QuantLibAddin::AmericanExercise, QuantLib::Exercise) OH_GET_REFERENCE(engineRef, "my_engine", --- 116,120 ---- OH_GET_REFERENCE(exerciseRef, "my_exercise", ! QuantLibAddin::EuropeanExercise, QuantLib::Exercise) OH_GET_REFERENCE(engineRef, "my_engine", |
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From: Eric E. <eri...@us...> - 2006-10-07 12:45:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3087/Clients/Calc Modified Files: options.ods Removed Files: QLADemo.sxc capfloors.sxc instruments.sxc Log Message: linux catching up Index: options.ods =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc/options.ods,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 Binary files /tmp/cvsGwaqDr and /tmp/cvsBCs6b2 differ --- QLADemo.sxc DELETED --- --- capfloors.sxc DELETED --- --- instruments.sxc DELETED --- |
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From: Eric E. <eri...@us...> - 2006-10-07 12:45:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3087/Clients/C Modified Files: qlademo.c Log Message: linux catching up Index: qlademo.c =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/qlademo.c,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** qlademo.c 6 Oct 2006 12:44:26 -0000 1.6 --- qlademo.c 7 Oct 2006 12:44:58 -0000 1.7 *************** *** 27,36 **** double strike = 40; double npv = 0; ! long exerciseDate = 36297; // (17, May, 1999); ! long settlementDate = 35932; // (17, May, 1998); char returnString[100]; long logLevel = 4; Boolean result; ! // dummy value for trigger/permanent parameters which we are ignoring Varies dummy; dummy.type = LONG; --- 27,37 ---- double strike = 40; double npv = 0; ! long evaluationDate = 35930; // 15 May 1998 ! long settlementDate = 35932; // 17 May 1998 ! long exerciseDate = 36297; // 17 May 1999 char returnString[100]; long logLevel = 4; Boolean result; ! // dummy value for trigger parameter, which we are ignoring Varies dummy; dummy.type = LONG; *************** *** 42,45 **** --- 43,54 ---- ohLogMessage("begin example program", logLevel, dummy, &result); + if (qlSetEvaluationDate( + evaluationDate, + dummy, + &result) != SUCCESS) { + ohLogMessage("Error on call to qlSetEvaluationDate", logLevel, dummy, &result); + goto fail; + } + if (qlBlackConstantVol( "my_blackconstantvol", |
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From: Eric E. <eri...@us...> - 2006-10-07 12:45:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3087/Addins/Guile Modified Files: .cvsignore Makefile.am Log Message: linux catching up Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/.cvsignore,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** .cvsignore 28 Aug 2006 10:05:22 -0000 1.2 --- .cvsignore 7 Oct 2006 12:44:57 -0000 1.3 *************** *** 26,29 **** --- 26,30 ---- randomsequencegenerator.* schedule.* + settings.* shortratemodels.* simpleswap.* Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/Makefile.am,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** Makefile.am 28 Aug 2006 10:05:22 -0000 1.2 --- Makefile.am 7 Oct 2006 12:44:57 -0000 1.3 *************** *** 23,26 **** --- 23,27 ---- pricingengines.h \ processes.h \ + settings.h \ volatilities.h endif *************** *** 39,42 **** --- 40,44 ---- qladdin.c \ session.cpp \ + settings.cpp \ volatilities.cpp endif |
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From: Eric E. <eri...@us...> - 2006-10-06 16:40:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6745/gensrc/metadata Modified Files: mathf.xml ohfunctions.xml settings.xml utilities.xml Log Message: update support for calc on VC7 Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** mathf.xml 6 Oct 2006 12:08:13 -0000 1.24 --- mathf.xml 6 Oct 2006 16:40:44 -0000 1.25 *************** *** 155,158 **** --- 155,159 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 186,189 **** --- 187,191 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> Index: settings.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/settings.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** settings.xml 5 Oct 2006 20:17:10 -0000 1.3 --- settings.xml 6 Oct 2006 16:40:44 -0000 1.4 *************** *** 28,31 **** --- 28,32 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** utilities.xml 6 Oct 2006 12:08:14 -0000 1.13 --- utilities.xml 6 Oct 2006 16:40:44 -0000 1.14 *************** *** 13,16 **** --- 13,17 ---- <SupportedPlatforms> <Excel/> + <Calc/> </SupportedPlatforms> <ParameterList> Index: ohfunctions.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ohfunctions.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** ohfunctions.xml 6 Oct 2006 12:08:13 -0000 1.7 --- ohfunctions.xml 6 Oct 2006 16:40:44 -0000 1.8 *************** *** 34,40 **** <Procedure name='ohDeleteAllObjects'> <description>delete all objects from repository</description> ! <alias>ObjHandler::ObjectHandlerXL::instance().deleteAllObjects</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> </SupportedPlatforms> <ParameterList> --- 34,41 ---- <Procedure name='ohDeleteAllObjects'> <description>delete all objects from repository</description> ! <alias>ObjHandler::ObjectHandler::instance().deleteAllObjects</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 55,61 **** <Procedure name='ohDeleteObject'> <description>delete object from repository</description> ! <alias>ObjHandler::ObjectHandlerXL::instance().deleteObject</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> </SupportedPlatforms> <ParameterList> --- 56,63 ---- <Procedure name='ohDeleteObject'> <description>delete object from repository</description> ! <alias>ObjHandler::ObjectHandler::instance().deleteObject</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 79,82 **** --- 81,85 ---- <SupportedPlatforms> <Excel implementation='documentationOnly'/> + <Calc implementation='manual'/> </SupportedPlatforms> <ParameterList> *************** *** 157,163 **** <Procedure name='ohListObjectIDs'> <description>list the IDs of objects in repository matching regex</description> ! <alias>ObjHandler::ObjectHandlerXL::instance().listObjectIDs</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> </SupportedPlatforms> <ParameterList> --- 160,167 ---- <Procedure name='ohListObjectIDs'> <description>list the IDs of objects in repository matching regex</description> ! <alias>ObjHandler::ObjectHandler::instance().listObjectIDs</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 247,253 **** <Procedure name='ohObjectCount'> <description>#/objects in repository</description> ! <alias>ObjHandler::ObjectHandlerXL::instance().objectCount</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> </SupportedPlatforms> <ParameterList> --- 251,258 ---- <Procedure name='ohObjectCount'> <description>#/objects in repository</description> ! <alias>ObjHandler::ObjectHandler::instance().objectCount</alias> <SupportedPlatforms> <Excel implementation='documentationOnly'/> + <Calc/> </SupportedPlatforms> <ParameterList> *************** *** 312,315 **** --- 317,321 ---- <SupportedPlatforms> <Excel implementation='documentationOnly'/> + <Calc implementation='manual'/> </SupportedPlatforms> <ParameterList> *************** *** 327,330 **** --- 333,337 ---- <SupportedPlatforms> <Excel implementation='documentationOnly'/> + <Calc implementation='manual'/> </SupportedPlatforms> <ParameterList> |
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From: Eric E. <eri...@us...> - 2006-10-06 16:40:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6745/Addins/Calc Modified Files: .cvsignore AddinCalc.vcproj Makefile.vc conversions.cpp Log Message: update support for calc on VC7 Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/Makefile.vc,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** Makefile.vc 28 Aug 2006 10:05:22 -0000 1.2 --- Makefile.vc 6 Oct 2006 16:40:44 -0000 1.3 *************** *** 10,14 **** DLL_NAME=$(COMPONENT_NAME)-vc71-mt-0_3_13 DLL_DIR=dll ! INT_DIR=build\vc71\DebugCRTDLL IDL_DIR="$(OFFICE_SDK_PATH)\idl" TYP_FILE="$(OFFICE_PROGRAM_PATH)\types.rdb" --- 10,14 ---- DLL_NAME=$(COMPONENT_NAME)-vc71-mt-0_3_13 DLL_DIR=dll ! INT_DIR=build\vc71\ReleaseCRTDLL IDL_DIR="$(OFFICE_SDK_PATH)\idl" TYP_FILE="$(OFFICE_PROGRAM_PATH)\types.rdb" *************** *** 34,69 **** OBJECTS= \ - "$(INT_DIR)\bonds.obj" \ "$(INT_DIR)\calcutils.obj" \ - "$(INT_DIR)\calendar.obj" \ - "$(INT_DIR)\capfloor.obj" \ - "$(INT_DIR)\capletvolstructure.obj" \ "$(INT_DIR)\conversions.obj" \ - "$(INT_DIR)\couponvectors.obj" \ - "$(INT_DIR)\date.obj" \ "$(INT_DIR)\exercise.obj" \ - "$(INT_DIR)\forwardrateagreement.obj" \ "$(INT_DIR)\funcdef.obj" \ "$(INT_DIR)\instruments.obj" \ ! "$(INT_DIR)\interpolation.obj" \ "$(INT_DIR)\mathf.obj" \ ! "$(INT_DIR)\optimization.obj" \ "$(INT_DIR)\options.obj" \ "$(INT_DIR)\payoffs.obj" \ - "$(INT_DIR)\prices.obj" \ "$(INT_DIR)\pricingengines.obj" \ "$(INT_DIR)\processes.obj" \ "$(INT_DIR)\qladdin.obj" \ - "$(INT_DIR)\randomsequencegenerator.obj" \ - "$(INT_DIR)\ratehelpers.obj" \ - "$(INT_DIR)\schedule.obj" \ "$(INT_DIR)\session.obj" \ ! "$(INT_DIR)\shortratemodels.obj" \ ! "$(INT_DIR)\swap.obj" \ ! "$(INT_DIR)\swaption.obj" \ ! "$(INT_DIR)\swaptionvolstructure.obj" \ ! "$(INT_DIR)\termstructures.obj" \ "$(INT_DIR)\utilities.obj" \ - "$(INT_DIR)\vanillaswap.obj" \ "$(INT_DIR)\volatilities.obj" --- 34,53 ---- OBJECTS= \ "$(INT_DIR)\calcutils.obj" \ "$(INT_DIR)\conversions.obj" \ "$(INT_DIR)\exercise.obj" \ "$(INT_DIR)\funcdef.obj" \ "$(INT_DIR)\instruments.obj" \ ! "$(INT_DIR)\manual.obj" \ "$(INT_DIR)\mathf.obj" \ ! "$(INT_DIR)\ohfunctions.obj" \ "$(INT_DIR)\options.obj" \ "$(INT_DIR)\payoffs.obj" \ "$(INT_DIR)\pricingengines.obj" \ "$(INT_DIR)\processes.obj" \ "$(INT_DIR)\qladdin.obj" \ "$(INT_DIR)\session.obj" \ ! "$(INT_DIR)\settings.obj" \ "$(INT_DIR)\utilities.obj" \ "$(INT_DIR)\volatilities.obj" Index: conversions.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/conversions.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** conversions.cpp 28 Aug 2006 10:05:22 -0000 1.2 --- conversions.cpp 6 Oct 2006 16:40:44 -0000 1.3 *************** *** 18,22 **** #include <Addins/Calc/conversions.hpp> #include <Addins/Calc/calcutils.hpp> ! #include <qlo/calendar.hpp> #include <qlo/typefactory.hpp> #include <oh/objecthandler.hpp> --- 18,22 ---- #include <Addins/Calc/conversions.hpp> #include <Addins/Calc/calcutils.hpp> ! //#include <qlo/calendar.hpp> #include <qlo/typefactory.hpp> #include <oh/objecthandler.hpp> *************** *** 26,39 **** } ! void calcToLib(QuantLib::Calendar &ret, const STRING &id2) { ! std::string id = ouStringToStlString(id2); ! if (QuantLibAddin::Create<QuantLib::Calendar>().checkType(id)) { ! ret = QuantLibAddin::Create<QuantLib::Calendar>()(id); ! } else { ! OH_GET_REFERENCE(calendarPointer, id, ! QuantLibAddin::JointCalendar, QuantLib::Calendar) ! ret = *calendarPointer.get(); ! } ! } void calcToLib(QuantLib::Period &ret, const STRING &id) { --- 26,39 ---- } ! //void calcToLib(QuantLib::Calendar &ret, const STRING &id2) { ! // std::string id = ouStringToStlString(id2); ! // if (QuantLibAddin::Create<QuantLib::Calendar>().checkType(id)) { ! // ret = QuantLibAddin::Create<QuantLib::Calendar>()(id); ! // } else { ! // OH_GET_REFERENCE(calendarPointer, id, ! // QuantLibAddin::JointCalendar, QuantLib::Calendar) ! // ret = *calendarPointer.get(); ! // } ! //} void calcToLib(QuantLib::Period &ret, const STRING &id) { Index: AddinCalc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/AddinCalc.vcproj,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** AddinCalc.vcproj 28 Aug 2006 10:05:22 -0000 1.4 --- AddinCalc.vcproj 6 Oct 2006 16:40:44 -0000 1.5 *************** *** 14,19 **** <Configuration Name="Release CRTDLL|Win32" ! OutputDirectory="$(ConfigurationName)" ! IntermediateDirectory="$(ConfigurationName)" ConfigurationType="0" UseOfMFC="0" --- 14,19 ---- <Configuration Name="Release CRTDLL|Win32" ! OutputDirectory=".\build\vc71\$(ConfigurationName)" ! IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="0" UseOfMFC="0" *************** *** 45,48 **** --- 45,60 ---- </File> <File + RelativePath=".\instruments.cpp"> + </File> + <File + RelativePath=".\manual.cpp"> + </File> + <File + RelativePath=".\mathf.cpp"> + </File> + <File + RelativePath=".\ohfunctions.cpp"> + </File> + <File RelativePath=".\options.cpp"> </File> *************** *** 63,66 **** --- 75,81 ---- </File> <File + RelativePath=".\settings.cpp"> + </File> + <File RelativePath=".\utilities.cpp"> </File> *************** *** 82,85 **** --- 97,109 ---- </File> <File + RelativePath=".\instruments.hpp"> + </File> + <File + RelativePath=".\mathf.hpp"> + </File> + <File + RelativePath=".\ohfunctions.hpp"> + </File> + <File RelativePath=".\options.hpp"> </File> *************** *** 103,106 **** --- 127,133 ---- </File> <File + RelativePath=".\settings.hpp"> + </File> + <File RelativePath=".\utilities.hpp"> </File> Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/.cvsignore,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** .cvsignore 6 Oct 2006 12:08:13 -0000 1.4 --- .cvsignore 6 Oct 2006 16:40:44 -0000 1.5 *************** *** 10,14 **** date.*pp daycounter.*pp - Debug\ CRTDLL .deps dll --- 10,13 ---- *************** *** 45,48 **** --- 44,48 ---- *.rdb schedule.*pp + settings.*pp shortratemodels.*pp swap.*pp *************** *** 56,57 **** --- 56,58 ---- volatilities.*pp xibor.*pp + |
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From: Eric E. <eri...@us...> - 2006-10-06 16:40:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6745/Clients/Calc Modified Files: options.ods Added Files: ObjectHandlerUtilities.ods Removed Files: options.sxc Log Message: update support for calc on VC7 Index: options.ods =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc/options.ods,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 Binary files /tmp/cvshnT7nJ and /tmp/cvsVSBuI8 differ --- options.sxc DELETED --- --- NEW FILE: ObjectHandlerUtilities.ods --- (This appears to be a binary file; contents omitted.) |
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From: Eric E. <eri...@us...> - 2006-10-06 12:44:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7524 Modified Files: qlademo.c Log Message: fix typos Index: qlademo.c =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/qlademo.c,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** qlademo.c 6 Oct 2006 11:24:48 -0000 1.5 --- qlademo.c 6 Oct 2006 12:44:26 -0000 1.6 *************** *** 65,69 **** dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackScholesProcess", logLevel, dummy, &result); goto fail; } --- 65,69 ---- dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlGeneralizedBlackScholesProcess", logLevel, dummy, &result); goto fail; } *************** *** 75,79 **** dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, dummy, &result); goto fail; } --- 75,79 ---- dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlEuropeanExercise", logLevel, dummy, &result); goto fail; } *************** *** 87,91 **** dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, dummy, &result); goto fail; } --- 87,91 ---- dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlStrikedTypePayoff", logLevel, dummy, &result); goto fail; } *************** *** 97,101 **** dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, dummy, &result); goto fail; } --- 97,101 ---- dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlPricingEngine", logLevel, dummy, &result); goto fail; } |
