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From: Eric E. <eri...@us...> - 2006-10-04 01:49:38
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31107 Modified Files: Makefile.am Log Message: add new files Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.am,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Makefile.am 7 Sep 2006 08:25:42 -0000 1.3 --- Makefile.am 3 Oct 2006 15:09:24 -0000 1.4 *************** *** 7,10 **** --- 7,11 ---- metadata/capfloor.xml \ metadata/capletvolstructure.xml \ + metadata/cmsmarket.xml \ metadata/couponvectors.xml \ metadata/date.xml \ *************** *** 45,50 **** GENSRC_STUBS := stubs/stub.copyright \ ! stubs/stub.excel.includes \ ! stubs/stub.excel.register # this should prevent running from a distributed tarball --- 46,50 ---- GENSRC_STUBS := stubs/stub.copyright \ ! stubs/stub.excel.includes # this should prevent running from a distributed tarball |
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From: Eric E. <eri...@us...> - 2006-10-04 01:49:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26165 Modified Files: Makefile.am Log Message: add new files Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Makefile.am,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** Makefile.am 7 Sep 2006 21:27:37 -0000 1.4 --- Makefile.am 3 Oct 2006 14:58:13 -0000 1.5 *************** *** 11,24 **** include_HEADERS = \ asianoption.hpp \ barrieroption.hpp \ baseinstruments.hpp \ bonds.hpp \ - calendarfactory.cpp \ capfloor.hpp \ capletvolstructure.hpp \ cliquetoption.hpp \ config.hpp \ conversions.hpp \ couponvectors.hpp \ dividendvanillaoption.hpp \ enumclassctors.hpp \ --- 11,26 ---- include_HEADERS = \ asianoption.hpp \ + assetswap.hpp \ barrieroption.hpp \ baseinstruments.hpp \ bonds.hpp \ capfloor.hpp \ capletvolstructure.hpp \ cliquetoption.hpp \ + cmsmarket.hpp \ config.hpp \ conversions.hpp \ couponvectors.hpp \ + date.hpp \ dividendvanillaoption.hpp \ enumclassctors.hpp \ *************** *** 45,49 **** --- 47,54 ---- ratehelpers.hpp \ schedule.hpp \ + sequencestatistics.hpp \ + settings.hpp \ shortratemodels.hpp \ + statistics.hpp \ swap.hpp \ swaption.hpp \ *************** *** 57,63 **** --- 62,70 ---- vanillaswap.hpp \ vcconfig.hpp \ + vo_assetswap.hpp \ vo_bonds.hpp \ vo_capfloor.hpp \ vo_capletvolstructure.hpp \ + vo_cmsmarket.hpp \ vo_couponvectors.hpp \ vo_exercise.hpp \ *************** *** 66,69 **** --- 73,77 ---- vo_interpolation.hpp \ volatilities.hpp \ + vo_marketmodels.hpp \ vo_mathf.hpp \ vo_optimization.hpp \ *************** *** 75,79 **** --- 83,89 ---- vo_ratehelpers.hpp \ vo_schedule.hpp \ + vo_sequencestatistics.hpp \ vo_shortratemodels.hpp \ + vo_statistics.hpp \ vo_swap.hpp \ vo_swaption.hpp \ *************** *** 85,93 **** --- 95,106 ---- libQuantLibAddin_la_SOURCES = \ asianoption.cpp \ + assetswap.cpp \ barrieroption.cpp \ bonds.cpp \ + calendarfactory.cpp \ capfloor.cpp \ capletvolstructure.cpp \ cliquetoption.cpp \ + cmsmarket.cpp \ conversions.cpp \ couponvectors.cpp \ *************** *** 104,107 **** --- 117,121 ---- interpolation2D.cpp \ interpolation.cpp \ + marketmodels.cpp \ optimization.cpp \ payoffs.cpp \ *************** *** 113,117 **** --- 127,133 ---- ratehelpers.cpp \ schedule.cpp \ + sequencestatistics.cpp \ shortratemodels.cpp \ + statistics.cpp \ swap.cpp \ swaption.cpp \ *************** *** 122,128 **** --- 138,146 ---- vanillaoption.cpp \ vanillaswap.cpp \ + vo_assetswap.cpp \ vo_bonds.cpp \ vo_capfloor.cpp \ vo_capletvolstructure.cpp \ + vo_cmsmarket.cpp \ vo_couponvectors.cpp \ vo_exercise.cpp \ *************** *** 131,134 **** --- 149,153 ---- vo_interpolation.cpp \ volatilities.cpp \ + vo_marketmodels.cpp \ vo_mathf.cpp \ vo_optimization.cpp \ *************** *** 140,144 **** --- 159,165 ---- vo_ratehelpers.cpp \ vo_schedule.cpp \ + vo_sequencestatistics.cpp \ vo_shortratemodels.cpp \ + vo_statistics.cpp \ vo_swap.cpp \ vo_swaption.cpp \ *************** *** 148,150 **** vo_volatilities.cpp - --- 169,170 ---- |
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From: Eric E. <eri...@us...> - 2006-10-04 01:49:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27433 Modified Files: design.docs extending.docs Log Message: update docs Index: extending.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/extending.docs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** extending.docs 22 Jun 2006 10:56:35 -0000 1.2 --- extending.docs 3 Oct 2006 13:48:41 -0000 1.3 *************** *** 24,27 **** --- 24,36 ---- /*! \page extending Extending QuantLibAddin + <table border="1" bgcolor="lightsteelblue"> + <tr> + <td><b>NB:</b> This document is out of date. The QuantLibAddin implementation + still reflects the high-level ideas in this document but many of the details + have changed. For further information please refer to the QuantLibAddin source + code or send email to qua...@li....</td> + </tr> + </table> + \section overview Overview Index: design.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/design.docs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** design.docs 19 May 2006 16:56:16 -0000 1.1 --- design.docs 3 Oct 2006 13:48:41 -0000 1.2 *************** *** 24,27 **** --- 24,36 ---- /*! \page design Design + <table border="1" bgcolor="lightsteelblue"> + <tr> + <td><b>NB:</b> This document is out of date. The QuantLibAddin implementation + still reflects the high-level ideas in this document but many of the details + have changed. For further information please refer to the QuantLibAddin source + code or send email to qua...@li....</td> + </tr> + </table> + <h2>Abstract</h2> <p>%QuantLibAddin implements an interface supporting a subset of |
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From: Eric E. <eri...@us...> - 2006-10-04 01:49:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5733/gensrc Modified Files: Makefile.vc gensrc.vcproj gensrc_vc8.vcproj Log Message: cleaner processing to register functions with Excel Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** Makefile.vc 2 Oct 2006 14:55:57 -0000 1.29 --- Makefile.vc 3 Oct 2006 12:59:35 -0000 1.30 *************** *** 53,57 **** STUBS=stubs\stub.copyright \ - stubs\stub.excel.xladdin \ stubs\stub.excel.includes --- 53,56 ---- Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** gensrc_vc8.vcproj 2 Oct 2006 14:55:57 -0000 1.26 --- gensrc_vc8.vcproj 3 Oct 2006 12:59:35 -0000 1.27 *************** *** 235,242 **** > </File> - <File - RelativePath=".\stubs\stub.excel.xladdin" - > - </File> </Filter> <File --- 235,238 ---- Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** gensrc.vcproj 2 Oct 2006 14:55:57 -0000 1.21 --- gensrc.vcproj 3 Oct 2006 12:59:35 -0000 1.22 *************** *** 173,179 **** RelativePath=".\stubs\stub.excel.includes"> </File> - <File - RelativePath=".\stubs\stub.excel.xladdin"> - </File> </Filter> <File --- 173,176 ---- |
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From: Eric E. <eri...@us...> - 2006-10-04 01:49:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5733/gensrc/stubs Removed Files: stub.excel.addin stub.excel.xladdin Log Message: cleaner processing to register functions with Excel --- stub.excel.addin DELETED --- --- stub.excel.xladdin DELETED --- |
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From: Eric E. <eri...@us...> - 2006-10-04 01:47:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27835 Modified Files: build.tutorial.docs Log Message: update build tutorial Index: build.tutorial.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/build.tutorial.docs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** build.tutorial.docs 17 Sep 2006 17:20:31 -0000 1.5 --- build.tutorial.docs 3 Oct 2006 10:07:01 -0000 1.6 *************** *** 24,29 **** /*! \page build_tutorial Build Tutorial - <center><small>last updated 5 September 2006</small></center> - This document explains how to build QuantLibXL and its prerequisites from source code. --- 24,27 ---- *************** *** 32,39 **** to the <a href="http://www.quantlibxl.org">QuantLibXL</a> web site. - Piter Dias has written a - <a href="http://sourceforge.net/mailarchive/forum.php?thread_id=30355157&forum_id=4299">DOS batch file</a> - which automates all of the steps described in this document. - \ref sec_build_vc8 \n \ref sec_build_python \n --- 30,33 ---- *************** *** 44,48 **** \ref sec_build_quantlib \n \ref sec_build_quantlibtestsuite \n - \ref sec_build_quantlibfunctions \n \ref sec_build_log4cxx \n \ref sec_build_gensrc \n --- 38,41 ---- *************** *** 55,60 **** \section sec_build_vc8 Install Visual C++ ! This section explains how to install Visual C++ (also known as VC8). VC8 is ! available either as a free download called Visual Studio Express, or for purchase as a component of Microsoft Visual Studio 2005 Professional Edition. --- 48,53 ---- \section sec_build_vc8 Install Visual C++ ! This section explains how to install Visual C++ 2005 (also known as VC8). VC8 ! is available either as a free download called Visual Studio Express, or for purchase as a component of Microsoft Visual Studio 2005 Professional Edition. *************** *** 100,108 **** You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib 0.3.13</a> - the core C++ analytics library - <b>log4cxx 0.9.7a</b> - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler 0.1.4</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin 0.3.13</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL 0.3.13</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries --- 93,101 ---- You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib 0.4.0</a> - the core C++ analytics library - <b>log4cxx 0.9.7a</b> - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler 0.2.0</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin 0.4.0</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL 0.4.0</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries *************** *** 138,142 **** "QuantLibXL" (no version number) e.g: \verbatim ! C:\projects\QuantLibAddin-0.3.13 C:\projects\QuantLibXL \endverbatim --- 131,135 ---- "QuantLibXL" (no version number) e.g: \verbatim ! C:\projects\QuantLibAddin-0.4.0 C:\projects\QuantLibXL \endverbatim *************** *** 155,163 **** For purposes of this tutorial we assume all packages are installed to <tt>C:\\projects</tt> e.g.: \verbatim ! C:\projects\QuantLib-0.3.13 ! C:\projects\gensrc-0.1.4 C:\projects\log4cxx-0.9.7a ! C:\projects\ObjectHandler-0.1.4 ! C:\projects\QuantLibAddin-0.3.13 C:\projects\QuantLibXL \endverbatim --- 148,156 ---- For purposes of this tutorial we assume all packages are installed to <tt>C:\\projects</tt> e.g.: \verbatim ! C:\projects\QuantLib-0.4.0 ! C:\projects\gensrc-0.2.0 C:\projects\log4cxx-0.9.7a ! C:\projects\ObjectHandler-0.2.0 ! C:\projects\QuantLibAddin-0.4.0 C:\projects\QuantLibXL \endverbatim *************** *** 179,183 **** <img src="images/ql_build.jpg"> ! The build process creates file <tt>QuantLib\\lib\\QuantLib-vc80-mt-s-0_3_13.lib</tt>. Create environment variable <tt>QL_DIR</tt> and set it equal to the path to the --- 172,176 ---- <img src="images/ql_build.jpg"> ! The build process creates file <tt>QuantLib\\lib\\QuantLib-vc80-mt-s-0_4_0.lib</tt>. Create environment variable <tt>QL_DIR</tt> and set it equal to the path to the *************** *** 186,199 **** file. In other words the QuantLibAddin compilation will expect to find - QuantLib header files in directory <tt>\$(QL_DIR)\\include</tt> ! - QuantLib lib file <tt>QuantLib-vc80-mt-s-0_3_13.lib</tt> in directory <tt>\$(QL_DIR)\\lib</tt> \section sec_build_quantlibtestsuite Run the QuantLib Testsuite ! It's a good idea to verify the status of the QuantLib library by compiling the testsuite. This will run the testsuite executable automatically (should take less than half an hour in Release configuration, few hours in Debug) and report something like: \verbatim 1>Auto run test 1>===================================== ! 1>Testing QuantLib-vc80-mt-s-0_3_13.lib 1>===================================== 1>Running moreThan200 test cases... --- 179,195 ---- file. In other words the QuantLibAddin compilation will expect to find - QuantLib header files in directory <tt>\$(QL_DIR)\\include</tt> ! - QuantLib lib file <tt>QuantLib-vc80-mt-s-0_4_0.lib</tt> in directory <tt>\$(QL_DIR)\\lib</tt> \section sec_build_quantlibtestsuite Run the QuantLib Testsuite ! It's a good idea to verify the status of the QuantLib library by compiling the ! testsuite. This will run the testsuite executable automatically (should take ! less than half an hour in Release configuration, few hours in Debug) and report ! something like: \verbatim 1>Auto run test 1>===================================== ! 1>Testing QuantLib-vc80-mt-s-0_4_0.lib 1>===================================== 1>Running moreThan200 test cases... *************** *** 217,229 **** \endverbatim - \section sec_build_quantlibfunctions Build QuantLibFunctions - - Still in the QuantLib workspace, under configuration <tt>Release</tt>, choose - solution <tt>QuantLibFunctions</tt>, and do <tt>Build/Build - QuantLibFunctions</tt>. The build process creates file - <tt>QuantLib\\lib\\QuantLibFunctions-vc80-mt-s-0_3_13.lib</tt>. - \section sec_build_log4cxx Install and Build log4cxx Download <tt>log4cxx-0.9.7a.exe</tt> from the ObjectHandler 0.1.4 section of the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> --- 213,223 ---- \endverbatim \section sec_build_log4cxx Install and Build log4cxx + ObjectHandler versions 0.1.4 and 0.2.0 both rely on log4cxx version 0.9.7a. If + you already built log4cxx 0.9.7a for ObjectHandler 0.1.4, you don't need to do + anything further for ObjectHandler 0.2.0, and you can skip ahead to the next + step. + Download <tt>log4cxx-0.9.7a.exe</tt> from the ObjectHandler 0.1.4 section of the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> *************** *** 239,243 **** \section sec_build_gensrc Install gensrc ! Download <tt>gensrc-0.1.4.exe</tt> from the ObjectHandler 0.1.4 section of the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable --- 233,237 ---- \section sec_build_gensrc Install gensrc ! Download <tt>gensrc-0.2.0.exe</tt> from the ObjectHandler 0.2.0 section of the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable *************** *** 250,254 **** \section sec_build_objecthandler Install and Build ObjectHandler ! Download <tt>ObjectHandler-0.1.4.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable --- 244,248 ---- \section sec_build_objecthandler Install and Build ObjectHandler ! Download <tt>ObjectHandler-0.2.0.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable *************** *** 259,267 **** <tt>Release</tt>, solution <tt>ohxllib</tt>, and do <tt>Build/Build ohxllib</tt>. The build process creates file ! <tt>ObjectHandler\\ohxl\\ohxllib\\lib\\ObjectHandler-vc80-mt-s-0_1_4.lib</tt>. \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.3.13.exe</tt> and <tt>QuantLibXL-src-0.3.13.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, --- 253,261 ---- <tt>Release</tt>, solution <tt>ohxllib</tt>, and do <tt>Build/Build ohxllib</tt>. The build process creates file ! <tt>ObjectHandler\\ohxl\\ohxllib\\lib\\ObjectHandler-vc80-mt-s-0_2_0.lib</tt>. \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.4.0.exe</tt> and <tt>QuantLibXL-src-0.4.0.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, *************** *** 279,283 **** <tt>Release</tt>, solution <tt>QuantLibXL</tt>, and do <tt>Build/Build QuantLibXL</tt>. The build process creates the QuantLibAddin XLL file ! <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_3_13.xll</tt>. \section sec_build_usage Usage --- 273,277 ---- <tt>Release</tt>, solution <tt>QuantLibXL</tt>, and do <tt>Build/Build QuantLibXL</tt>. The build process creates the QuantLibAddin XLL file ! <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_4_0.xll</tt>. \section sec_build_usage Usage *************** *** 285,289 **** To launch QuantLibXL: - start Excel ! - load the addin <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_3_13.xll</tt> - load a sample spreadsheet e.g. <tt>QuantLibXL\\Workbooks\\OriginalExamples\\instruments.xls</tt> - hit <tt>Ctrl-Alt-F9</tt> to force a recalculation of all formulas --- 279,283 ---- To launch QuantLibXL: - start Excel ! - load the addin <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_4_0.xll</tt> - load a sample spreadsheet e.g. <tt>QuantLibXL\\Workbooks\\OriginalExamples\\instruments.xls</tt> - hit <tt>Ctrl-Alt-F9</tt> to force a recalculation of all formulas |
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From: Eric E. <eri...@us...> - 2006-10-04 01:47:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12940/gensrc/stubs Modified Files: stub.excel.xladdin Log Message: cleaner implementation for ohPack/ohParseFields Index: stub.excel.xladdin =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs/stub.excel.xladdin,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** stub.excel.xladdin 2 Oct 2006 15:39:47 -0000 1.1 --- stub.excel.xladdin 3 Oct 2006 09:32:49 -0000 1.2 *************** *** 75,108 **** #ifdef XLL_STATIC registerFunctions(xDll); ! ! Excel(xlfRegister, 0, 11, &xDll, ! TempStrNoSize("\x06""ohPack"), // function code name ! TempStrNoSize("\x03""RP#"), // parameter codes ! TempStrNoSize("\x06""ohPack"), // function display name ! TempStrNoSize("\x10""inputRange"), // comma-delimited list of parameter names ! TempStrNoSize("\x01""1"), // function type (1 = worksheet function) ! TempStrNoSize("\x0D""ObjectHandler"), // function category ! TempStrNoSize("\x00"""), // shortcut text (command macros only) ! TempStrNoSize("\x00"""), // path to help file ! TempStrNoSize("\x3D""trim #ERR/empty values from bottom/right edges of input range"), // function description ! TempStrNoSize("\x1D""range of cells to be packed ")); // description of parameter 1 ! ! Excel(xlfRegister, 0, 14, &xDll, ! TempStrNoSize("\x0C""ohParseField"), // function code name ! TempStrNoSize("\x06""RCNCP#"), // parameter codes ! TempStrNoSize("\x0C""ohParseField"), // function display name ! TempStrNoSize("\x19""line,index,type,delimiter"), // comma-delimited list of parameter names ! TempStrNoSize("\x01""1"), // function type (1 = worksheet function) ! TempStrNoSize("\x0D""ObjectHandler"), // function category ! TempStrNoSize("\x00"""), // shortcut text (command macros only) ! TempStrNoSize("\x00"""), // path to help file ! TempStrNoSize("\x41""Extract the ith number from a whitespace-delimited list of fields"), // function description ! TempStrNoSize("\x11""text to be parsed"), // description of parameter 1 ! TempStrNoSize("\x20""index (1-based) of desired field"), // description of parameter 2 ! TempStrNoSize("\x21""required datatype (string/number)"), // description of parameter 3 ! TempStrNoSize("\x29""field delimiter (default is whitespace) ")); // description of parameter 3 ! #endif %(registerFunctions)s Excel(xlFree, 0, 1, &xDll); --- 75,82 ---- #ifdef XLL_STATIC registerFunctions(xDll); ! registerOhManual(xDll); #endif + registerQlManual(xDll); %(registerFunctions)s Excel(xlFree, 0, 1, &xDll); *************** *** 126,170 **** #ifdef XLL_STATIC - XLOPER xlRegID; - unregisterFunctions(xDll); ! ! Excel(xlfRegister, 0, 11, &xDll, ! TempStrNoSize("\x06""ohPack"), // function code name ! TempStrNoSize("\x03""RP#"), // parameter codes ! TempStrNoSize("\x06""ohPack"), // function display name ! TempStrNoSize("\x10""inputRange"), // comma-delimited list of parameter names ! TempStrNoSize("\x01""0"), // function type (0 = hidden function) ! TempStrNoSize("\x0D""ObjectHandler"), // function category ! TempStrNoSize("\x00"""), // shortcut text (command macros only) ! TempStrNoSize("\x00"""), // path to help file ! TempStrNoSize("\x3D""trim #ERR/empty values from bottom/right edges of input range"), // function description ! TempStrNoSize("\x1D""range of cells to be packed ")); // description of parameter 1 ! ! Excel4(xlfRegisterId, &xlRegID, 2, &xDll, ! TempStrNoSize("\x06""ohPack")); // function code name ! ! Excel4(xlfUnregister, 0, 1, &xlRegID); ! ! Excel(xlfRegister, 0, 14, &xDll, ! TempStrNoSize("\x0C""ohParseField"), // function code name ! TempStrNoSize("\x06""RCNCP#"), // parameter codes ! TempStrNoSize("\x0C""ohParseField"), // function display name ! TempStrNoSize("\x19""line,index,type,delimiter"), // comma-delimited list of parameter names ! TempStrNoSize("\x01""0"), // function type (0 = hidden function) ! TempStrNoSize("\x0D""ObjectHandler"), // function category ! TempStrNoSize("\x00"""), // shortcut text (command macros only) ! TempStrNoSize("\x00"""), // path to help file ! TempStrNoSize("\x41""Extract the ith number from a whitespace-delimited list of fields"), // function description ! TempStrNoSize("\x11""text to be parsed"), // description of parameter 1 ! TempStrNoSize("\x20""index (1-based) of desired field"), // description of parameter 2 ! TempStrNoSize("\x21""required datatype (string/number)"), // description of parameter 3 ! TempStrNoSize("\x29""field delimiter (default is whitespace) ")); // description of parameter 3 ! ! Excel4(xlfRegisterId, &xlRegID, 2, &xDll, ! TempStrNoSize("\x0C""ohParseField")); // function code name ! #endif %(unregisterFunctions)s Excel(xlFree, 0, 1, &xDll); --- 100,108 ---- #ifdef XLL_STATIC unregisterFunctions(xDll); ! unregisterOhManual(xDll); #endif + unregisterQlManual(xDll); %(unregisterFunctions)s Excel(xlFree, 0, 1, &xDll); *************** *** 176,178 **** } - --- 114,115 ---- |
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From: Eric E. <eri...@us...> - 2006-10-04 01:47:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12940/gensrc/metadata Modified Files: utilities.xml Log Message: cleaner implementation for ohPack/ohParseFields Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** utilities.xml 26 Sep 2006 19:05:13 -0000 1.10 --- utilities.xml 3 Oct 2006 09:32:49 -0000 1.11 *************** *** 3,10 **** <displayName>Utilities</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> - <includes> - <include>qlo/utilities.hpp</include> - <include>qlxl/functioncount.hpp</include> - </includes> <copyright> Copyright (C) 2005 Plamen Neykov --- 3,6 ---- *************** *** 106,110 **** <Procedure name='qlFunctionCount'> <description>return the number of functions in this Addin</description> ! <code>FUNCTION_COUNT</code> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 102,106 ---- <Procedure name='qlFunctionCount'> <description>return the number of functions in this Addin</description> ! <documentationOnly>true</documentationOnly> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> |
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From: Eric E. <eri...@us...> - 2006-10-04 01:46:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21259/Docs/pages Modified Files: faq.docs history.docs installation.docs Log Message: update docs Index: history.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/history.docs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** history.docs 28 Aug 2006 10:05:24 -0000 1.2 --- history.docs 3 Oct 2006 11:06:38 -0000 1.3 *************** *** 24,27 **** --- 24,49 ---- /*! \page history Version History + <strong>Release 0.4.0 - October 2006</strong> + + REQUIRED PACKAGES + + - QuantLib version 0.4.0 + - ObjectHandler version 0.2.0 + - gensrc version 0.2.0 + + FUNCTIONALITY + + - 200 new functions / 427 in total + - new categories: assetswap, capletvolstructure, cmsmarket, marketmodels, + sequencestatistics, statistics + + DESIGN + + - resolved problem of VC8 build running slowly + - implementation of loop functions re-implemented as a template using + boost::bind; performance optimized + - enumeration registry enhanced to generate Calendars/JointCalendars + depending on format of requested ID + <strong>Release 0.3.13 - August 2006</strong> Index: installation.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/installation.docs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** installation.docs 28 Aug 2006 10:05:24 -0000 1.3 --- installation.docs 3 Oct 2006 11:06:38 -0000 1.4 *************** *** 28,35 **** This document provides general instructions for building and installing %QuantLibAddin 0.3.13 under Windows, and on platforms which use Autoconf ! e.g. Linux. For a walk through of all steps required to compile the Excel ! addin and dependent projects, please refer instead to the \ref build_tutorial. ! For additional notes regarding the installation of the Calc addin please refer ! to the document \ref calc. %QuantLibAddin is available for download from the --- 28,38 ---- This document provides general instructions for building and installing %QuantLibAddin 0.3.13 under Windows, and on platforms which use Autoconf ! e.g. Linux. ! \li For a precompiled binary installation of the Excel addin, please ! visit <a href="http://www.quantlibxl.org">http://www.quantlibxl.org</a>. ! \li For a walk through of all steps required to build the Excel addin ! and dependent projects, please refer instead to the \ref build_tutorial. ! \li For additional notes regarding the installation of the Calc addin please ! refer to the document \ref calc. %QuantLibAddin is available for download from the *************** *** 37,83 **** QuantLib downloads page on sourceforge.</a> ! <dl> ! <dt>\ref binary</dt> ! <dt>\ref source</dt> ! <dd><dl> ! <dt>\ref prerequisites</dt> ! <dt>\ref windows_installation</dt> ! <dt>\ref autoconf_installation</dt> ! </dl></dd> ! </dl> ! ! \section binary Binary Installation ! ! The binary installation comprises a compiled Excel Addin ! (an XLL) and related files. The binary installer is available from the ! downloads page and installs the following files: ! ! <table> ! <tr> ! <td><strong>installation subdirectory</strong></td><td><strong>files</strong></td> ! </tr> ! <tr> ! <td>Addins\\Excel\\xll</td><td>the addin</td> ! </tr> ! <tr> ! <td>Clients\\Excel</td><td>sample worksheets</td> ! </tr> ! <tr> ! <td>Docs</td><td>documentation</td> ! </tr> ! </table> ! ! The directory structure corresponds to the directories used for the ! source code installation. To use %QuantLibAddin, launch Excel and then ! load the Addin and the example workbooks. ! ! \section source Source Installation ! \subsection prerequisites Prerequisites \li <a href="http://quantlib.org/">QuantLib</a> version 0.3.13 \li <a href="http://quantlib.org/objecthandler/">ObjectHandler</a> version 0.1.3 ! \subsection windows_installation Installing under Windows These instructions assume configuration <b>Win32 Release</b>, runtime library <b>Release Multithreaded</b>. --- 40,53 ---- QuantLib downloads page on sourceforge.</a> ! \ref install_prerequisites<br> ! \ref install_windows<br> ! \ref install_autoconf<br> ! \section install_prerequisites Prerequisites \li <a href="http://quantlib.org/">QuantLib</a> version 0.3.13 \li <a href="http://quantlib.org/objecthandler/">ObjectHandler</a> version 0.1.3 ! \section install_windows Installing under Windows These instructions assume configuration <b>Win32 Release</b>, runtime library <b>Release Multithreaded</b>. *************** *** 85,98 **** To build %QuantLibAddin for Excel: \li build QuantLib configuration <b>Win32 Release</b> ! \li build ObjectHandler project \b ohlib, configuration <b>Win32 Release</b> ! \li build %QuantLibAddin project \b AddinExcelStatic, configuration <b>Win32 Release</b> \li start Excel \li load the Addin. The name of the Addin will depend on the compiler version and configuration, e.g. if compiled under VC8 release the Addin is called ! <strong>%QuantLibAddin\\Addins\\Excel\\xll\\QuantLibAddinStatic-vc80-mt-s-0_3_13.xll.</strong> ! \li load a sample spreadsheet e.g. <strong>%QuantLibAddin\\Clients\\Excel\\QLADemo.xls</strong> \li hit Ctrl-Alt-F9 to force a recalculation of all formulas ! Project AddinExcelDynamic is a build which links dynamically to the ObjectHandler XLL, allowing multiple XLLs to share a global repository, as described in the ObjectHandler documentation. --- 55,68 ---- To build %QuantLibAddin for Excel: \li build QuantLib configuration <b>Win32 Release</b> ! \li build ObjectHandler project \b ohxllib, configuration <b>Win32 Release</b> ! \li build %QuantLibAddin project \b QuantLibXL, configuration <b>Win32 Release</b> \li start Excel \li load the Addin. The name of the Addin will depend on the compiler version and configuration, e.g. if compiled under VC8 release the Addin is called ! <strong>%QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_3_13.xll</strong>. ! \li load a sample spreadsheet e.g. <strong>%QuantLibXL\\Workbooks\\OriginalExamples\\options.xls</strong> \li hit Ctrl-Alt-F9 to force a recalculation of all formulas ! Project QuantLibXLDynamic is a build which links dynamically to the ObjectHandler XLL, allowing multiple XLLs to share a global repository, as described in the ObjectHandler documentation. *************** *** 100,108 **** For other platforms please build the appropriate project, e.g. workspace ClientCDemo creates standalone C client executable ! <strong>Clients\\C\\bin\\QLADemo-vc6-mt-sgd.exe</strong>. ! \subsection autoconf_installation Installing with Autoconf ! \subsubsection autoconf_brief In Brief \verbatim --- 70,78 ---- For other platforms please build the appropriate project, e.g. workspace ClientCDemo creates standalone C client executable ! <strong>Clients\\C\\bin\\QLADemo-vc8-mt-sgd.exe</strong>. ! \section install_autoconf Installing with Autoconf ! \subsection install_autoconf_brief In Brief \verbatim *************** *** 115,119 **** \endverbatim ! \subsubsection autoconf_detail In Detail \par configure --- 85,89 ---- \endverbatim ! \subsection install_autoconf_detail In Detail \par configure Index: faq.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/faq.docs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** faq.docs 29 Aug 2006 13:50:14 -0000 1.4 --- faq.docs 3 Oct 2006 11:06:38 -0000 1.5 *************** *** 298,304 **** QuantLib releases 0.3.3 through 0.3.8. That project was discontinued. ! All %QuantLibAddin releases have included an Excel addin. Beginning with ! %QuantLibAddin version 0.3.13, the QuantLibXL name has been resurrected and ! given to the %QuantLibAddin build for the Excel platform. The %QuantLibAddin/QuantLibXL projects are structured as follows: - <a href="http://www.quantlibxl.org">http://www.quantlibxl.org</a> - --- 298,305 ---- QuantLib releases 0.3.3 through 0.3.8. That project was discontinued. ! QuantLib releases 0.3.10 and later have been accompanied by a release of ! %QuantLibAddin. All %QuantLibAddin releases have included an Excel addin. ! Beginning with %QuantLibAddin version 0.3.13, the QuantLibXL name has been ! resurrected and given to the %QuantLibAddin build for the Excel platform. The %QuantLibAddin/QuantLibXL projects are structured as follows: - <a href="http://www.quantlibxl.org">http://www.quantlibxl.org</a> - |
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From: Eric E. <eri...@us...> - 2006-10-04 01:46:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21259 Modified Files: NEWS.txt Log Message: update docs Index: NEWS.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/NEWS.txt,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** NEWS.txt 29 Jun 2006 10:47:32 -0000 1.2 --- NEWS.txt 3 Oct 2006 11:06:32 -0000 1.3 *************** *** 1,118 **** ! Release 0.3.13 - ??? 2006 ! ! REQUIRED PACKAGES ! ! - QuantLib version 0.3.13 ! - QuantLibFunctions version 0.3.13 ! - ObjectHandler version 0.1.4 ! ! FUNCTIONALITY ! ! - xx new functions / xx in total ! - support for Value Objects (Plamen Neykov) (see ObjectHandler documentation for details) ! - Random Sequence Generators (Aurelien Chanudet) ! - Additional functionality for options - greeks, Bermudan payoffs, other minor enhancements ! - complete interface for YieldTermStructure class ! - New function qlSetEvaluationDate() to set the global value of the evaluation date, ! qlPiecewiseFlatForward() no longer sets the evaluation date ! - Support for Sessions compiled into binary installation. Please see the QuantLibAddin ! documentation of the Evaluation Date for details. ! - renamed QuantLibAddin functions to correspond to underlying QuantLib functions: ! 0.3.12 0.3.13 ! qlBlackScholesProcess qlGeneralizedBlackScholesProcess ! qlBondAccrued qlBondAccruedAmount ! qlEvalDate qlEvaluationDate ! qlFutureRateHelper qlFuturesRateHelper ! qlGetDf qlDiscount ! qlSimpleSwap qlVanillaSwap ! qlSwapFixedLeg qlSwapGetFixLeg ! qlSwapFloatLeg qlSwapGetFloatLeg ! - revise processing for Enumerations: blah blah blah. ! rename "Enumeration" -> "EnumeratedType", "ComplexType" -> "EnumeratedClass" ! rename associated functions: ! 0.3.12 0.3.13 ! qlListRegisteredEnums qlListEnumeratedTypes ! qlListEnum qlEnumeratedType ! qlListRegisteredTypes qlListEnumeratedClasses ! qlListType qlEnumeratedClass ! ! CALC ! ! - renamed project to avoid conflict with core QuantLibAddin lib file ! - upgraded VC workspace to Visual Studio 2003 (latest version supported by OOo) (thanks ! to Joe Byers) ! - upgraded OpenOffice.org Calc version from 1.1.3 to 2.0.2 for Windows (thanks to Joe Byers) ! and Linux ! ! ! ! Release 0.3.12 - March 2006 ! ! REQUIRED PACKAGES ! ! - QuantLib version 0.3.12 ! - ObjectHandler version 0.1.3 ! ! FUNCTIONALITY ! ! - 11 new functions / 81 in total ! - backward & forward flat interpolators (Aurelien Chanudet) ! - enhancements to xibor / rate helper / term structures / ! utilities (Marco Marchioro) ! - support for new QuantLib functionality for sessions, ! allowing multiple instances of the global evaluation date ! - documentation revised and extended ! ! EXCEL ! ! - unregister functions when XLL unloaded (Lars Schouw) ! ! ! Release 0.3.11 - October 2005 ! ! REQUIRED PACKAGES ! ! - QuantLib version 0.3.11 ! - ObjectHandler version 0.1.2 ! ! FUNCTIONALITY ! ! - 13 new functions / 70 in total ! - Coupon Vectors, Interpolation, Schedules, Swaps (Aurelien Chanudet) ! - Polymorphic behavior in exported QuantLibAddin functions (Plamen Neykov) ! - support for direct calls to underlying QuantLib functions (Plamen Neykov) ! - optional function parameters (Plamen Neykov), default values ! - source code generation refactored for improved OO/maintainability ! ! ! Release 0.3.10 - July 2005 ! ! OVERVIEW ! ! Initial release consisting of prototype framework: ! - core library of supported classes ! - function metadata ! - script to autogenerate source for target platforms ! - sample client applications and spreadsheets ! ! REQUIRED PACKAGES ! ! - Boost version 1.31.0 or later ! - QuantLib version 0.3.10 ! - ObjectHandler version 0.1.1 ! ! FUNCTIONALITY ! ! - bonds & zero curves (Walter Penschke) ! - caps & floors, term structures (Aurelien Chanudet) ! - swaps, xibor, enumeration type factory (Plamen Neykov) ! - options, volatilities, processes ! - diagnostic and utility functions ! ! PLATFORMS ! ! - Microsoft Excel ! - OpenOffice.org Calc ! - C/C++ ! - Guile (Aurelien Chanudet) ! --- 1,2 ---- ! For a rundown of changes per QuantLibAddin release please visit ! http://www.quantlibaddin.org/history.html |
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From: Eric E. <eri...@us...> - 2006-10-04 01:42:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12940/gensrc/config Modified Files: config.xml Log Message: cleaner implementation for ohPack/ohParseFields Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** config.xml 27 Sep 2006 13:39:44 -0000 1.30 --- config.xml 3 Oct 2006 09:32:49 -0000 1.31 *************** *** 1,4 **** --- 1,5 ---- <Config> + <prefix>ql</prefix> <libRootDirectory>qlo</libRootDirectory> <voRootDirectory>qlo</voRootDirectory> |
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From: Eric E. <eri...@us...> - 2006-10-04 01:41:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22685 Modified Files: QuantLibObjects.vcproj Log Message: add missing files Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** QuantLibObjects.vcproj 24 Sep 2006 21:20:21 -0000 1.37 --- QuantLibObjects.vcproj 3 Oct 2006 14:50:50 -0000 1.38 *************** *** 565,568 **** --- 565,574 ---- </File> <File + RelativePath=".\qlo\sequencestatistics.cpp"> + </File> + <File + RelativePath=".\qlo\sequencestatistics.hpp"> + </File> + <File RelativePath=".\qlo\statistics.cpp"> </File> *************** *** 851,854 **** --- 857,863 ---- </File> <File + RelativePath="qlo\settings.hpp"> + </File> + <File RelativePath="qlo\utilities.cpp"> </File> |
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From: Eric E. <eri...@us...> - 2006-10-04 01:41:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/Loop In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27212 Added Files: Makefile.am Log Message: add new files --- NEW FILE: Makefile.am --- include_HEADERS = \ loop_calendar.hpp \ loop_capletvolstructure.hpp \ loop_date.hpp \ loop_index.hpp \ loop_marketmodels.hpp \ loop_termstructures.hpp |
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From: Ferdinando A. <na...@us...> - 2006-10-03 18:24:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20314/gensrc/metadata Modified Files: schedule.xml Log Message: deprecating old Schedule constructors... Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** schedule.xml 5 Sep 2006 11:44:53 -0000 1.12 --- schedule.xml 3 Oct 2006 18:23:59 -0000 1.13 *************** *** 8,12 **** <Functions> ! <Constructor name='qlSchedule'> <libraryFunction>Schedule</libraryFunction> <supportedPlatforms> --- 8,12 ---- <Functions> ! <!--<Constructor name='qlSchedule'> <libraryFunction>Schedule</libraryFunction> <supportedPlatforms> *************** *** 58,64 **** </Parameters> </ParameterList> ! </Constructor> ! <Constructor name='qlSchedule2'> <libraryFunction>Schedule</libraryFunction> <supportedPlatforms> --- 58,64 ---- </Parameters> </ParameterList> ! </Constructor>--> ! <Constructor name='qlSchedule'> <libraryFunction>Schedule</libraryFunction> <supportedPlatforms> |
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From: Ferdinando A. <na...@us...> - 2006-10-03 18:24:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20314/qlo Modified Files: schedule.cpp schedule.hpp Log Message: deprecating old Schedule constructors... Index: schedule.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** schedule.hpp 5 Sep 2006 11:44:54 -0000 1.5 --- schedule.hpp 3 Oct 2006 18:23:59 -0000 1.6 *************** *** 26,37 **** class Schedule : public ObjHandler::LibraryObject<QuantLib::Schedule> { public: - Schedule(const QuantLib::Calendar& calendar, - const QuantLib::Date& startDate, - const QuantLib::Date& endDate, - QuantLib::Frequency frequency, - QuantLib::BusinessDayConvention convention, - const QuantLib::Date& stubDate, - bool startFromEnd, - bool longFinal); Schedule(const QuantLib::Date& effectiveDate, const QuantLib::Date& terminationDate, --- 26,29 ---- Index: schedule.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** schedule.cpp 5 Sep 2006 11:44:54 -0000 1.5 --- schedule.cpp 3 Oct 2006 18:23:59 -0000 1.6 *************** *** 26,50 **** Schedule::Schedule( - const QuantLib::Calendar& calendar, - const QuantLib::Date& startDate, - const QuantLib::Date& endDate, - QuantLib::Frequency frequency, - QuantLib::BusinessDayConvention convention, - const QuantLib::Date& stubDate, - bool startFromEnd, - bool longFinal) { - - libraryObject_ = boost::shared_ptr<QuantLib::Schedule>( - new QuantLib::Schedule(calendar, - startDate, - endDate, - frequency, - convention, - stubDate, - startFromEnd, - longFinal)); - } - - Schedule::Schedule( const QuantLib::Date& effectiveDate, const QuantLib::Date& terminationDate, --- 26,29 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-03 17:25:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25913/gensrc/metadata Modified Files: termstructures.xml Log Message: renaming/refactoring Quote functions Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** termstructures.xml 28 Sep 2006 10:55:38 -0000 1.37 --- termstructures.xml 3 Oct 2006 17:24:58 -0000 1.38 *************** *** 513,517 **** </Constructor> ! <Member name='qlValue' handleToLib='SimpleQuote'> <description>retrieve value of SimpleQuote object</description> <libraryFunction>value</libraryFunction> --- 513,517 ---- </Constructor> ! <Member name='qlSimpleQuoteValue' handleToLib='SimpleQuote'> <description>retrieve value of SimpleQuote object</description> <libraryFunction>value</libraryFunction> *************** *** 528,532 **** </Member> ! <Member name='qlSetValue' handleToLib='SimpleQuote'> <description>set value of SimpleQuote object</description> <libraryFunction>setValue</libraryFunction> --- 528,532 ---- </Member> ! <Member name='qlSimpleQuoteSetValue' handleToLib='SimpleQuote'> <description>set value of SimpleQuote object</description> <libraryFunction>setValue</libraryFunction> *************** *** 544,548 **** </ParameterList> <ReturnValue> ! <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> --- 544,548 ---- </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> |
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From: Ferdinando A. <na...@us...> - 2006-10-03 17:25:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25913/qlo Modified Files: termstructures.cpp termstructures.hpp Log Message: renaming/refactoring Quote functions Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** termstructures.hpp 27 Sep 2006 08:20:27 -0000 1.11 --- termstructures.hpp 3 Oct 2006 17:24:58 -0000 1.12 *************** *** 95,102 **** }; ! class SimpleQuote : public ObjHandler::LibraryObject<QuantLib::SimpleQuote> { public: ! SimpleQuote( ! const QuantLib::Real &value); }; --- 95,104 ---- }; ! class Quote : public ObjHandler::LibraryObject<QuantLib::Quote> { ! }; ! ! class SimpleQuote : public Quote { public: ! SimpleQuote(QuantLib::Real value); }; *************** *** 104,106 **** #endif - --- 106,107 ---- Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** termstructures.cpp 27 Sep 2006 08:20:27 -0000 1.17 --- termstructures.cpp 3 Oct 2006 17:24:58 -0000 1.18 *************** *** 151,158 **** } ! SimpleQuote::SimpleQuote( ! const QuantLib::Real &value) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::SimpleQuote>( new QuantLib::SimpleQuote(value)); } --- 151,156 ---- } ! SimpleQuote::SimpleQuote(QuantLib::Real value) { ! libraryObject_ = boost::shared_ptr<QuantLib::Quote>( new QuantLib::SimpleQuote(value)); } |
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From: Ferdinando A. <na...@us...> - 2006-10-03 17:24:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25841/qlo Modified Files: ratehelpers.cpp Log Message: setValue returns the diff Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** ratehelpers.cpp 27 Jul 2006 09:37:46 -0000 1.7 --- ratehelpers.cpp 3 Oct 2006 17:24:15 -0000 1.8 *************** *** 33,41 **** namespace QuantLibAddin { ! double RateHelper::setQuote(double quote) ! { ! double diff = quote - quote_->value(); ! quote_->setValue(quote); ! return diff; } --- 33,38 ---- namespace QuantLibAddin { ! double RateHelper::setQuote(double quote) { ! return quote_->setValue(quote); } |
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From: Ferdinando A. <na...@us...> - 2006-10-03 08:26:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2976/qlo Modified Files: marketmodels.cpp Log Message: leaner computeReduced signature Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** marketmodels.cpp 3 Oct 2006 08:25:31 -0000 1.23 --- marketmodels.cpp 3 Oct 2006 08:25:59 -0000 1.24 *************** *** 127,131 **** const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); ! libraryObject_->computeReduced(forwards, factors, results); return results; } --- 127,131 ---- const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); ! libraryObject_->computeReduced(forwards, results); return results; } |
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From: Ferdinando A. <na...@us...> - 2006-10-03 08:25:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2930/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: leaner computeReduced signature Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** marketmodels.hpp 28 Sep 2006 17:33:59 -0000 1.21 --- marketmodels.hpp 3 Oct 2006 08:25:31 -0000 1.22 *************** *** 93,97 **** class DriftCalculator : public ObjHandler::LibraryObject<QuantLib::DriftCalculator> { ! public: DriftCalculator(const QuantLib::Matrix& pseudo, const std::vector<QuantLib::Rate>& displacements, --- 93,97 ---- class DriftCalculator : public ObjHandler::LibraryObject<QuantLib::DriftCalculator> { ! public: DriftCalculator(const QuantLib::Matrix& pseudo, const std::vector<QuantLib::Rate>& displacements, *************** *** 99,108 **** QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> compute(const std::vector<QuantLib::Rate>& forwards) const; ! std::vector<QuantLib::Real> computeReduced(const std::vector<QuantLib::Rate>& forwards, ! QuantLib::Size factors) const; ! private: QuantLib::Size size_; - }; --- 99,108 ---- QuantLib::Size numeraire, QuantLib::Size alive); ! std::vector<QuantLib::Real> compute( ! const std::vector<QuantLib::Rate>& forwards) const; ! std::vector<QuantLib::Real> computeReduced( ! const std::vector<QuantLib::Rate>& forwards) const; ! private: QuantLib::Size size_; }; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** marketmodels.cpp 28 Sep 2006 17:33:59 -0000 1.22 --- marketmodels.cpp 3 Oct 2006 08:25:31 -0000 1.23 *************** *** 117,122 **** } ! std::vector<QuantLib::Real> DriftCalculator::compute(const std::vector<QuantLib::Rate>& forwards) const ! { std::vector<QuantLib::Real> results(size_); libraryObject_->compute(forwards, results); --- 117,122 ---- } ! std::vector<QuantLib::Real> DriftCalculator::compute( ! const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); libraryObject_->compute(forwards, results); *************** *** 124,130 **** } ! std::vector<QuantLib::Real> DriftCalculator::computeReduced(const std::vector<QuantLib::Rate>& forwards, ! QuantLib::Size factors) const ! { std::vector<QuantLib::Real> results(size_); libraryObject_->computeReduced(forwards, factors, results); --- 124,129 ---- } ! std::vector<QuantLib::Real> DriftCalculator::computeReduced( ! const std::vector<QuantLib::Rate>& forwards) const { std::vector<QuantLib::Real> results(size_); libraryObject_->computeReduced(forwards, factors, results); |
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From: Ferdinando A. <na...@us...> - 2006-10-03 08:23:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2056/gensrc/metadata Modified Files: marketmodels.xml Log Message: leaner computeReduced signature Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** marketmodels.xml 28 Sep 2006 17:33:59 -0000 1.43 --- marketmodels.xml 3 Oct 2006 08:23:55 -0000 1.44 *************** *** 1434,1442 **** <description>Forward rates</description> </Parameter> - <Parameter name='factors'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>number of factors</description> - </Parameter> </Parameters> </ParameterList> --- 1434,1437 ---- |
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From: Eric E. <eri...@us...> - 2006-10-02 21:02:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13889/gensrc/stubs Added Files: stub.excel.addin Removed Files: stub.excel.register Log Message: subdivide function registration code into multiple source files --- NEW FILE: stub.excel.addin --- #include <ohxl/objhandlerxl.hpp> #include <qlo/qladdindefines.hpp> #include <qlxl/Register/register_all.hpp> /* Use BOOST_MSVC instead of _MSC_VER since some other vendors (Metrowerks, for example) also #define _MSC_VER */ #if defined BOOST_MSVC // Microsoft Visual C++ # define BOOST_LIB_DIAGNOSTIC # include <qlo/auto_link.hpp> # include <oh/auto_link.hpp> # if defined(XLL_STATIC) #include <ohxl/Register/register_all.hpp> #include <ohxl/export.hpp> #pragma message("XLL_STATIC is defined") # elif defined(XLL_IMPORTS) #include <xlsdk/auto_link.hpp> #pragma message("XLL_IMPORTS is defined") # endif # undef BOOST_LIB_DIAGNOSTIC #endif #if defined COMPILING_XLL # pragma message("COMPILING_XLL is defined") #else # pragma message("COMPILING_XLL is NOT defined") #endif #include <string> #include <sstream> #ifdef XLL_STATIC // instantiate the objecthandler singleton ObjHandler::ObjectHandlerXL oh; #endif DLLEXPORT void xlAutoFree(XLOPER *px) { if (px->xltype & xltypeStr && px->val.str) delete [] px->val.str; else if (px->xltype & xltypeMulti && px->val.array.lparray) { int size = px->val.array.rows * px->val.array.columns; for (int i=0; i<size; i++) if (px->val.array.lparray[i].xltype & xltypeStr && px->val.array.lparray[i].val.str) delete [] px->val.array.lparray[i].val.str; delete [] px->val.array.lparray; } } DLLEXPORT XLOPER *xlAddInManagerInfo(XLOPER *xlAction) { XLOPER xlReturn; static XLOPER xlLongName; // Coerce the argument XLOPER to an integer. Excel(xlCoerce, &xlReturn, 2, xlAction, TempInt(xltypeInt)); // The only valid argument value is 1. In this case we return the // long name for the XLL. Any other value should result in the // return of a #VALUE! error. if (1 == xlReturn.val.w) { ObjHandler::scalarToXloper(xlLongName, std::string("QuantLibAddin 0.3.14")); } else { xlLongName.xltype = xltypeErr; xlLongName.val.err = xlerrValue; } return &xlLongName; } DLLEXPORT int xlAutoOpen() { XLOPER xDll; try { Excel(xlGetName, &xDll, 0); #ifdef XLL_STATIC registerFunctions(xDll); #endif %(registerFunctions)s Excel(xlFree, 0, 1, &xDll); return 1; } catch (const std::exception &e) { std::ostringstream err; err << "Error loading QuantLibAddin: " << e.what(); Excel(xlcAlert, 0, 1, TempStrStl(err.str())); Excel(xlFree, 0, 1, &xDll); return 0; } catch (...) { Excel(xlFree, 0, 1, &xDll); return 0; } } DLLEXPORT int xlAutoClose() { static XLOPER xDll; try { Excel(xlGetName, &xDll, 0); #ifdef XLL_STATIC unregisterFunctions(xDll); #endif %(unregisterFunctions)s Excel(xlFree, 0, 1, &xDll); return 1; } catch (...) { Excel(xlFree, 0, 1, &xDll); return 0; } } --- stub.excel.register DELETED --- |
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From: Eric E. <eri...@us...> - 2006-10-02 21:02:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13889/gensrc/config Modified Files: excel.xml Log Message: subdivide function registration code into multiple source files Index: excel.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/excel.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** excel.xml 27 Sep 2006 13:39:44 -0000 1.6 --- excel.xml 2 Oct 2006 12:31:30 -0000 1.7 *************** *** 1,10 **** <root> - <AddinFiles> - <AddinFile name='qladdin.cpp'> - <Buffer name='stub' fileName='stub.excel.register' local='true'/> - </AddinFile> - </AddinFiles> - <functionCount>true</functionCount> --- 1,4 ---- |
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From: Eric E. <eri...@us...> - 2006-10-02 21:02:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13889/gensrc Modified Files: Makefile.vc Log Message: subdivide function registration code into multiple source files Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** Makefile.vc 12 Sep 2006 09:38:25 -0000 1.27 --- Makefile.vc 2 Oct 2006 12:31:29 -0000 1.28 *************** *** 53,58 **** STUBS=stubs\stub.copyright \ ! stubs\stub.excel.includes \ ! stubs\stub.excel.register INPUTS = $(METADATA) $(CONFIG) $(STUBS) $(SCRIPT) $(CORE_DEPENDENCIES) --- 53,58 ---- STUBS=stubs\stub.copyright \ ! stubs\stub.excel.addin \ ! stubs\stub.excel.includes INPUTS = $(METADATA) $(CONFIG) $(STUBS) $(SCRIPT) $(CORE_DEPENDENCIES) |
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From: Cristina D. <cdu...@us...> - 2006-10-02 21:00:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8933/qlo Modified Files: couponvectors.cpp couponvectors.hpp Log Message: added CMSZeroCouponVector Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** couponvectors.hpp 5 Sep 2006 07:49:04 -0000 1.21 --- couponvectors.hpp 28 Sep 2006 16:42:41 -0000 1.22 *************** *** 102,105 **** --- 102,124 ---- }; + class CMSZeroCouponVector : public CouponVector { + public: + CMSZeroCouponVector( + const boost::shared_ptr<QuantLib::Schedule>& schedule, + QuantLib::BusinessDayConvention paymentAdjustment, + const std::vector<QuantLib::Real>& nominals, + const boost::shared_ptr<QuantLib::SwapIndex>& index, + QuantLib::Integer fixingDays, + const QuantLib::DayCounter& dayCounter, + const std::vector<QuantLib::Real>& spreads, + const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Real>& caps, + const std::vector<QuantLib::Real>& floors, + const std::vector<QuantLib::Real>& meanReversions, + const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, + const std::string & typeOfVanillaCMSCouponPricer, + const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); + }; + } Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** couponvectors.cpp 6 Sep 2006 12:42:02 -0000 1.31 --- couponvectors.cpp 28 Sep 2006 16:42:41 -0000 1.32 *************** *** 225,227 **** --- 225,261 ---- } + CMSZeroCouponVector::CMSZeroCouponVector( + const boost::shared_ptr<QuantLib::Schedule>& schedule, + QuantLib::BusinessDayConvention paymentAdjustment, + const std::vector<QuantLib::Real>& nominals, + const boost::shared_ptr<QuantLib::SwapIndex>& index, + QuantLib::Integer fixingDays, + const QuantLib::DayCounter& dayCounter, + const std::vector<QuantLib::Real>& spreads, + const std::vector<QuantLib::Real>& gearings, + const std::vector<QuantLib::Rate>& caps, + const std::vector<QuantLib::Rate>& floors, + const std::vector<QuantLib::Real>& meanReversions, + const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, + const std::string & typeOfVanillaCMSCouponPricer, + const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) + { + VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve); + boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject(); + cashFlowVector_ = QuantLib::CMSZeroCouponVector(*schedule, + paymentAdjustment, + nominals, + index, + fixingDays, + dayCounter, + spreads, + gearings, + caps, + floors, + meanReversions, + pricer, + vol); + } + + } |
