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From: Cristina D. <cdu...@us...> - 2006-10-02 21:00:38
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8933/gensrc/metadata Modified Files: couponvectors.xml Log Message: added CMSZeroCouponVector Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** couponvectors.xml 23 Sep 2006 11:00:44 -0000 1.31 --- couponvectors.xml 28 Sep 2006 16:42:41 -0000 1.32 *************** *** 166,170 **** </ParameterList> </Constructor> ! <Member name='qlGetLeg' objectClass='CouponVector'> <description>return coupon details</description> --- 166,251 ---- </ParameterList> </Constructor> ! ! <Constructor name='qlCMSZeroCouponVector'> ! <libraryFunction>CMSZeroCouponVector</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </Parameter> ! <Parameter name='spreads'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>spreads</description> ! </Parameter> ! <Parameter name='gearings'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>gearings</description> ! </Parameter> ! <Parameter name='caps'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='meanReversions'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>mean reversions</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> ! </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlGetLeg' objectClass='CouponVector'> <description>return coupon details</description> |
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From: Eric E. <eri...@us...> - 2006-10-02 21:00:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29349/gensrc/stubs Added Files: stub.excel.xladdin Log Message: restore ohParseField()/ohPack() --- NEW FILE: stub.excel.xladdin --- #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); 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); 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 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); return 1; } catch (...) { Excel(xlFree, 0, 1, &xDll); return 0; } } |
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From: Eric E. <eri...@us...> - 2006-10-02 21:00:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10472/gensrc Modified Files: Makefile.vc gensrc.vcproj gensrc_vc8.vcproj Log Message: restore ohParseField()/ohPack() Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** Makefile.vc 2 Oct 2006 12:31:29 -0000 1.28 --- Makefile.vc 2 Oct 2006 14:55:57 -0000 1.29 *************** *** 53,57 **** STUBS=stubs\stub.copyright \ ! stubs\stub.excel.addin \ stubs\stub.excel.includes --- 53,57 ---- STUBS=stubs\stub.copyright \ ! stubs\stub.excel.xladdin \ stubs\stub.excel.includes Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** gensrc_vc8.vcproj 12 Sep 2006 12:18:26 -0000 1.25 --- gensrc_vc8.vcproj 2 Oct 2006 14:55:57 -0000 1.26 *************** *** 236,240 **** </File> <File ! RelativePath="stubs\stub.excel.register" > </File> --- 236,240 ---- </File> <File ! RelativePath=".\stubs\stub.excel.xladdin" > </File> Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** gensrc.vcproj 12 Sep 2006 09:38:25 -0000 1.20 --- gensrc.vcproj 2 Oct 2006 14:55:57 -0000 1.21 *************** *** 174,178 **** </File> <File ! RelativePath=".\stubs\stub.excel.register"> </File> </Filter> --- 174,178 ---- </File> <File ! RelativePath=".\stubs\stub.excel.xladdin"> </File> </Filter> |
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From: Giorgio F. <gi...@us...> - 2006-10-02 14:05:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21182/gensrc/metadata Modified Files: swap.xml Log Message: work in progress ... Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** swap.xml 23 Sep 2006 11:00:44 -0000 1.26 --- swap.xml 2 Oct 2006 14:05:05 -0000 1.27 *************** *** 86,89 **** --- 86,111 ---- </ReturnValue> </Member> + + <Member name='qlSwapLegNPV' libraryClass='Swap'> + <description>the NPV of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> + <libraryFunction>legNPV</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='legNumber'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>Zero based leg number (e.g. 0 for the first leg, 1 for the second leg, etc)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> <Member name='qlSwapStartDate' libraryClass='Swap'> |
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From: Giorgio F. <gi...@us...> - 2006-10-02 13:28:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5045/qlo Modified Files: cmsmarket.cpp cmsmarket.hpp Log Message: work in progress ... Index: cmsmarket.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** cmsmarket.hpp 12 Sep 2006 16:14:29 -0000 1.3 --- cmsmarket.hpp 2 Oct 2006 13:27:57 -0000 1.4 *************** *** 54,58 **** class SmileAndCmsCalibrationBySabr: public ObjHandler::LibraryObject<QuantLib::SmileAndCmsCalibrationBySabr>{ public: ! SmileAndCmsCalibrationBySabr::SmileAndCmsCalibrationBySabr( QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, --- 54,58 ---- class SmileAndCmsCalibrationBySabr: public ObjHandler::LibraryObject<QuantLib::SmileAndCmsCalibrationBySabr>{ public: ! SmileAndCmsCalibrationBySabr( QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** cmsmarket.cpp 15 Sep 2006 13:54:40 -0000 1.5 --- cmsmarket.cpp 2 Oct 2006 13:27:57 -0000 1.6 *************** *** 54,58 **** std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket){ std::vector<std::vector<boost::any> > result; ! QuantLib::Size numberOfColumn = 9; std::vector<boost::any> headings(numberOfColumn); --- 54,58 ---- std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket){ std::vector<std::vector<boost::any> > result; ! QuantLib::Size numberOfColumn = 14; std::vector<boost::any> headings(numberOfColumn); *************** *** 66,70 **** headings[6]=std::string("Error (bps)"); headings[7]=std::string("Overreach bid/ask"); ! headings[8]=std::string("Price"); result.push_back(headings); --- 66,75 ---- headings[6]=std::string("Error (bps)"); headings[7]=std::string("Overreach bid/ask"); ! headings[8]=std::string("Price Cms Leg"); ! headings[9]=std::string("Price Floating Leg"); ! headings[10]=std::string("Price (spread = 0)"); ! headings[11]=std::string("Bid Price"); ! headings[12]=std::string("Ask Price"); ! headings[13]=std::string("Mid Price"); result.push_back(headings); |
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From: Giorgio F. <gi...@us...> - 2006-09-29 10:07:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25885/qlo Modified Files: couponvectors.cpp couponvectors.hpp Log Message: Added CmsInArrearsCouponVector Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** couponvectors.hpp 28 Sep 2006 16:42:41 -0000 1.22 --- couponvectors.hpp 29 Sep 2006 10:07:27 -0000 1.23 *************** *** 121,124 **** --- 121,143 ---- }; + class CMSInArrearsCouponVector : public CouponVector { + public: + CMSInArrearsCouponVector( + 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 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** couponvectors.cpp 28 Sep 2006 16:42:41 -0000 1.32 --- couponvectors.cpp 29 Sep 2006 10:07:27 -0000 1.33 *************** *** 259,261 **** --- 259,294 ---- + CMSInArrearsCouponVector::CMSInArrearsCouponVector( + 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::CMSInArrearsCouponVector(*schedule, + paymentAdjustment, + nominals, + index, + fixingDays, + dayCounter, + spreads, + gearings, + caps, + floors, + meanReversions, + pricer, + vol); + } + } |
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From: Giorgio F. <gi...@us...> - 2006-09-29 10:07:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25885/gensrc/metadata Modified Files: couponvectors.xml Log Message: Added CmsInArrearsCouponVector Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** couponvectors.xml 28 Sep 2006 16:42:41 -0000 1.32 --- couponvectors.xml 29 Sep 2006 10:07:27 -0000 1.33 *************** *** 166,170 **** </ParameterList> </Constructor> ! <Constructor name='qlCMSZeroCouponVector'> <libraryFunction>CMSZeroCouponVector</libraryFunction> --- 166,251 ---- </ParameterList> </Constructor> ! ! <Constructor name='qlCMSInArrearsCouponVector'> ! <libraryFunction>CMSInArrearsCouponVector</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </Parameter> ! <Parameter name='spreads'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>spreads</description> ! </Parameter> ! <Parameter name='gearings'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>gearings</description> ! </Parameter> ! <Parameter name='caps'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='meanReversions'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>mean reversions</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> ! </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlCMSZeroCouponVector'> <libraryFunction>CMSZeroCouponVector</libraryFunction> |
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From: Ferdinando A. <na...@us...> - 2006-09-28 17:34:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29959/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: in synch with C++ Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** marketmodels.hpp 28 Sep 2006 15:48:18 -0000 1.20 --- marketmodels.hpp 28 Sep 2006 17:33:59 -0000 1.21 *************** *** 156,160 **** }; - class AccountingEngine : public ObjHandler::LibraryObject< QuantLib::AccountingEngine> { --- 156,159 ---- *************** *** 162,166 **** AccountingEngine( const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver, ! const boost::shared_ptr<QuantLib::MarketModelMultiProduct>& product, double initialNumeraireValue); }; --- 161,165 ---- AccountingEngine( const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver, ! const QuantLib::Clone<QuantLib::MarketModelMultiProduct>& product, double initialNumeraireValue); }; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** marketmodels.cpp 28 Sep 2006 15:48:18 -0000 1.21 --- marketmodels.cpp 28 Sep 2006 17:33:59 -0000 1.22 *************** *** 206,214 **** AccountingEngine::AccountingEngine( const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver, ! const boost::shared_ptr<QuantLib::MarketModelMultiProduct>& product, double initialNumeraireValue) { libraryObject_ = boost::shared_ptr<QuantLib::AccountingEngine>( new QuantLib::AccountingEngine(evolver, product, initialNumeraireValue)); --- 206,215 ---- AccountingEngine::AccountingEngine( const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver, ! const QuantLib::Clone<QuantLib::MarketModelMultiProduct>& product, double initialNumeraireValue) { libraryObject_ = boost::shared_ptr<QuantLib::AccountingEngine>( new QuantLib::AccountingEngine(evolver, + //*(product.get()), product, initialNumeraireValue)); |
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From: Ferdinando A. <na...@us...> - 2006-09-28 17:34:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29959/gensrc/metadata Modified Files: marketmodels.xml Log Message: in synch with C++ Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** marketmodels.xml 28 Sep 2006 07:48:03 -0000 1.42 --- marketmodels.xml 28 Sep 2006 17:33:59 -0000 1.43 *************** *** 1631,1635 **** <description>MarketModelEvolver object</description> </Parameter> ! <Parameter name='product' libraryClass='MarketModelMultiProduct'> <type>string</type> <tensorRank>scalar</tensorRank> --- 1631,1635 ---- <description>MarketModelEvolver object</description> </Parameter> ! <Parameter name='product' underlyingClass='MarketModelMultiProduct'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-09-28 17:03:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17533/gensrc/metadata Modified Files: date.xml Log Message: static bool isIMMdate(const Date& d, bool mainCycle = true); static Date nextIMMdate(const Date& d, bool mainCycle = true); default to the main H, M, U, Z cycle as before, but can now also handle other futures. Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** date.xml 24 Sep 2006 21:20:22 -0000 1.13 --- date.xml 28 Sep 2006 17:03:19 -0000 1.14 *************** *** 66,69 **** --- 66,74 ---- <description>date</description> </Parameter> + <Parameter name='mainCycle' default='true'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>FALSE to consider all futures, not just the main H, M, U, Z cycle</description> + </Parameter> </Parameters> </ParameterList> *************** *** 87,90 **** --- 92,100 ---- <description>date with respect to which the next IMM date is calculated</description> </Parameter> + <Parameter name='mainCycle' default='true'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>FALSE to consider all futures, not just the main H, M, U, Z cycle</description> + </Parameter> </Parameters> </ParameterList> |
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From: Ferdinando A. <na...@us...> - 2006-09-28 15:57:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18417/qlo Modified Files: bonds.cpp bonds.hpp Log Message: using QuantLib types Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** bonds.hpp 31 Aug 2006 15:44:02 -0000 1.10 --- bonds.hpp 28 Sep 2006 15:57:07 -0000 1.11 *************** *** 40,44 **** const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, ! long settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, --- 40,44 ---- const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, ! QuantLib::Integer settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, *************** *** 55,60 **** const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, ! long settlementDays, ! const std::vector<double>& coupons, QuantLib::Real redemption, const QuantLib::Frequency& frequency, --- 55,60 ---- const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, ! QuantLib::Integer settlementDays, ! const std::vector<QuantLib::Rate>& coupons, QuantLib::Real redemption, const QuantLib::Frequency& frequency, Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** bonds.cpp 31 Aug 2006 15:44:02 -0000 1.10 --- bonds.cpp 28 Sep 2006 15:57:07 -0000 1.11 *************** *** 47,51 **** const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, ! long settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, --- 47,51 ---- const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, ! QuantLib::Integer settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, *************** *** 72,76 **** const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, ! long settlementDays, const std::vector<double>& coupons, QuantLib::Real redemption, --- 72,76 ---- const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, ! QuantLib::Integer settlementDays, const std::vector<double>& coupons, QuantLib::Real redemption, |
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From: Ferdinando A. <na...@us...> - 2006-09-28 15:49:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15188/qlo Modified Files: vanillaoption.cpp vanillaoption.hpp Log Message: obsolete test code removed Index: vanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** vanillaoption.hpp 16 Jul 2006 17:11:30 -0000 1.8 --- vanillaoption.hpp 28 Sep 2006 15:49:14 -0000 1.9 *************** *** 32,38 **** const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); - - // temporary test code - std::string aaaJunkTest(const QuantLib::Date &d); }; --- 32,35 ---- Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** vanillaoption.cpp 28 Sep 2006 08:05:19 -0000 1.9 --- vanillaoption.cpp 28 Sep 2006 15:49:14 -0000 1.10 *************** *** 38,59 **** pricingEngine)); } - - // temporary test code - std::string VanillaOption::aaaJunkTest(const QuantLib::Date &d) { - boost::shared_ptr<ObjHandler::Object> objectPointer( - new QuantLibAddin::EuropeanExercise(d)); - - std::string anonymousID = - ObjHandler::ObjectHandler::instance().storeObject("", objectPointer); - - objectPointer->setProperties( - boost::shared_ptr<ObjHandler::ValueObject>( - new ValueObjects::qlEuropeanExercise( - anonymousID, - d.serialNumber()))); - - return anonymousID; - } - } - --- 38,40 ---- |
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From: Ferdinando A. <na...@us...> - 2006-09-28 15:48:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14747/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: evolution method exported Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** marketmodels.hpp 25 Sep 2006 17:16:40 -0000 1.19 --- marketmodels.hpp 28 Sep 2006 15:48:18 -0000 1.20 *************** *** 38,41 **** --- 38,43 ---- const std::vector<QuantLib::Time>& rateTimes, const std::vector<QuantLib::Time>& evolutionTimes); + EvolutionDescription( + const QuantLib::EvolutionDescription& ev); }; *************** *** 107,112 **** class MarketModelMultiProduct : public ObjHandler::LibraryObject< QuantLib::MarketModelMultiProduct> { ! //public: ! // virtual EvolutionDescription suggestedEvolution() const=0; }; --- 109,114 ---- class MarketModelMultiProduct : public ObjHandler::LibraryObject< QuantLib::MarketModelMultiProduct> { ! public: ! std::string evolution() const; }; *************** *** 117,122 **** const std::vector<QuantLib::Time>& paymentTimes, const std::vector<QuantLib::Rate>& strikes); - //EvolutionDescription suggestedEvolution() const; }; class OneStepCaplets : public MarketModelMultiProduct { public: --- 119,124 ---- const std::vector<QuantLib::Time>& paymentTimes, const std::vector<QuantLib::Rate>& strikes); }; + class OneStepCaplets : public MarketModelMultiProduct { public: Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** marketmodels.cpp 25 Sep 2006 17:16:40 -0000 1.20 --- marketmodels.cpp 28 Sep 2006 15:48:18 -0000 1.21 *************** *** 20,23 **** --- 20,24 ---- #endif #include <qlo/marketmodels.hpp> + #include <qlo/vo_marketmodels.hpp> #include <ql/MarketModels/Models/expcorrflatvol.hpp> #include <ql/MarketModels/Models/expcorrabcdvol.hpp> *************** *** 28,31 **** --- 29,49 ---- namespace QuantLibAddin { + EvolutionDescription::EvolutionDescription( + const std::vector<QuantLib::Time>& rateTimes, + const std::vector<QuantLib::Time>& evolutionTimes) + { + libraryObject_ = boost::shared_ptr<QuantLib::EvolutionDescription>( + new QuantLib::EvolutionDescription(rateTimes, evolutionTimes)); + } + + + EvolutionDescription::EvolutionDescription( + const QuantLib::EvolutionDescription& ev) + { + libraryObject_ = boost::shared_ptr<QuantLib::EvolutionDescription>( + new QuantLib::EvolutionDescription(ev)); + } + + ExpCorrFlatVol::ExpCorrFlatVol( double longTermCorr, *************** *** 81,93 **** - EvolutionDescription::EvolutionDescription( - const std::vector<QuantLib::Time>& rateTimes, - const std::vector<QuantLib::Time>& evolutionTimes) - { - libraryObject_ = boost::shared_ptr<QuantLib::EvolutionDescription>( - new QuantLib::EvolutionDescription(rateTimes, evolutionTimes)); - } - - CurveState::CurveState(const std::vector<QuantLib::Time>& rateTimes) { --- 99,102 ---- *************** *** 136,146 **** } ! //EvolutionDescription MarketModelForwards::suggestedEvolution() const ! //{ ! // QuantLib::EvolitionDescription ed = libraryObject_->suggestedEvolution(); ! // ! // boost::shared_ptr<ObjHandler::Object> objectPointer( ! // new QuantLibAddin::EvolutionDescription()); ! //} OneStepCaplets::OneStepCaplets(const std::vector<QuantLib::Time>& rateTimes, --- 145,167 ---- } ! std::string MarketModelMultiProduct::evolution() const ! { ! const QuantLib::EvolutionDescription& ev = libraryObject_->evolution(); ! ! boost::shared_ptr<ObjHandler::Object> objectPointer( ! new QuantLibAddin::EvolutionDescription(ev)); ! ! std::string anonymousID = ! ObjHandler::ObjectHandler::instance().storeObject("", objectPointer); ! ! objectPointer->setProperties( ! boost::shared_ptr<ObjHandler::ValueObject>( ! new ValueObjects::qlEvolutionDescription( ! anonymousID, ! ev.rateTimes(), ! ev.evolutionTimes()))); ! ! return anonymousID; ! } OneStepCaplets::OneStepCaplets(const std::vector<QuantLib::Time>& rateTimes, |
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From: Ferdinando A. <na...@us...> - 2006-09-28 15:47:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14315/gensrc/metadata Modified Files: bonds.xml Log Message: Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** bonds.xml 23 Sep 2006 11:00:44 -0000 1.32 --- bonds.xml 28 Sep 2006 15:47:13 -0000 1.33 *************** *** 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> *************** *** 51,56 **** </ReturnValue> </Member> ! ! <Member name='qlBondFirstCouponDate' libraryClass='Bond'> <description>Retrieves the first coupon date of the bond.</description> <libraryFunction>firstCouponDate</libraryFunction> --- 51,56 ---- </ReturnValue> </Member> ! ! <Member name='qlBondFirstCouponDate' libraryClass='Bond'> <description>Retrieves the first coupon date of the bond.</description> <libraryFunction>firstCouponDate</libraryFunction> *************** *** 66,70 **** </ReturnValue> </Member> ! <Member name='qlBondMaturityDate' libraryClass='Bond'> <description>Retrieves the maturity date of the bond.</description> --- 66,70 ---- </ReturnValue> </Member> ! <Member name='qlBondMaturityDate' libraryClass='Bond'> <description>Retrieves the maturity date of the bond.</description> *************** *** 81,85 **** </ReturnValue> </Member> ! <Member name='qlBondCalendar' libraryClass='Bond'> <description>Returns the calendar of the bond, e.g. TARGET.</description> --- 81,85 ---- </ReturnValue> </Member> ! <Member name='qlBondCalendar' libraryClass='Bond'> <description>Returns the calendar of the bond, e.g. TARGET.</description> *************** *** 96,101 **** </ReturnValue> </Member> ! ! <Member name='qlBondAccrualBDC' libraryClass='Bond'> <description>Retrieves the accrual business day convention for the given Bond, e.g. Unadjusted.</description> <libraryFunction>accrualConvention</libraryFunction> --- 96,101 ---- </ReturnValue> </Member> ! ! <Member name='qlBondAccrualBDC' libraryClass='Bond'> <description>Retrieves the accrual business day convention for the given Bond, e.g. Unadjusted.</description> <libraryFunction>accrualConvention</libraryFunction> *************** *** 111,115 **** </ReturnValue> </Member> ! <Member name='qlBondPaymentBDC' libraryClass='Bond'> <description>Retrieves the accrual business day convention for the given Bond, e.g. Unadjusted.</description> --- 111,115 ---- </ReturnValue> </Member> ! <Member name='qlBondPaymentBDC' libraryClass='Bond'> <description>Retrieves the accrual business day convention for the given Bond, e.g. Unadjusted.</description> *************** *** 126,131 **** </ReturnValue> </Member> ! ! <Member name='qlBondDayCount' libraryClass='Bond'> <description>Retrieves the day count fraction for the given Bond, e.g. Act/Act.</description> <libraryFunction>dayCounter</libraryFunction> --- 126,131 ---- </ReturnValue> </Member> ! ! <Member name='qlBondDayCount' libraryClass='Bond'> <description>Retrieves the day count fraction for the given Bond, e.g. Act/Act.</description> <libraryFunction>dayCounter</libraryFunction> *************** *** 141,146 **** </ReturnValue> </Member> ! ! <Member name='qlBondFrequency' libraryClass='Bond'> <description>Retrieves the frequency for the given Bond, e.g. Annual.</description> <libraryFunction>frequency</libraryFunction> --- 141,146 ---- </ReturnValue> </Member> ! ! <Member name='qlBondFrequency' libraryClass='Bond'> <description>Retrieves the frequency for the given Bond, e.g. Annual.</description> <libraryFunction>frequency</libraryFunction> *************** *** 156,159 **** --- 156,160 ---- </ReturnValue> </Member> + <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> <description>Theoretical clean price: The default bond settlement is used for calculation.</description> *************** *** 204,208 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 205,209 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 218,222 **** <ParameterList> <Parameters> ! <Parameter name='yield' const='False'> <type>double</type> <tensorRank>scalar</tensorRank> --- 219,223 ---- <ParameterList> <Parameters> ! <Parameter name='yield' const='False' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 249,253 **** <ParameterList> <Parameters> ! <Parameter name='yield' const='False'> <type>double</type> <tensorRank>scalar</tensorRank> --- 250,254 ---- <ParameterList> <Parameters> ! <Parameter name='yield' const='False' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 297,301 **** </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 298,302 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 333,341 **** <ParameterList> <Parameters> ! <Parameter name='FaceAmount'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description> face amount of the bond</description> ! </Parameter> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> --- 334,342 ---- <ParameterList> <Parameters> ! <Parameter name='FaceAmount'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description> face amount of the bond</description> ! </Parameter> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> *************** *** 390,398 **** <ParameterList> <Parameters> ! <Parameter name='FaceAmount'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description> face amount of the bond</description> ! </Parameter> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> --- 391,399 ---- <ParameterList> <Parameters> ! <Parameter name='FaceAmount'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description> face amount of the bond</description> ! </Parameter> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> *************** *** 416,419 **** --- 417,421 ---- </Parameter> <Parameter name='coupons'> + <!--<Parameter name='coupons' libraryType='QuantLib::Rate'>--> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 469,473 **** </Constructor> ! <Constructor name='qlFloatingCouponBond' dependencyTrigger='false'> <libraryFunction>FloatingCouponBond</libraryFunction> <supportedPlatforms> --- 471,475 ---- </Constructor> ! <Constructor name='qlFloatingCouponBond'> <libraryFunction>FloatingCouponBond</libraryFunction> <supportedPlatforms> *************** *** 477,485 **** <ParameterList> <Parameters> ! <Parameter name='FaceAmount'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description> face amount of the bond</description> ! </Parameter> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> --- 479,487 ---- <ParameterList> <Parameters> ! <Parameter name='FaceAmount'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description> face amount of the bond</description> ! </Parameter> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> *************** *** 517,520 **** --- 519,523 ---- <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> *************** *** 573,575 **** </Functions> </Category> - --- 576,577 ---- |
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From: Katiuscia M. <kma...@us...> - 2006-09-28 10:55:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23949/gensrc/metadata Modified Files: enumclasses.xml termstructures.xml Log Message: functionqlZeroRate() has been updated to a loop function Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** enumclasses.xml 20 Sep 2006 16:14:35 -0000 1.26 --- enumclasses.xml 28 Sep 2006 10:55:35 -0000 1.27 *************** *** 984,988 **** <libraryClass>QuantLib::EuriborSwapFixIFR30Y</libraryClass> </EnumerationDefinition> ! <!-- QuantLib::EuriborSwapFixIFR only 2, 5, 10 and 30 years tenors are enumerated because of missing historical data on other tenors string only for Murex export--> <EnumerationDefinition> <string>EURIBOR SW 2Y</string> --- 984,988 ---- <libraryClass>QuantLib::EuriborSwapFixIFR30Y</libraryClass> </EnumerationDefinition> ! <!-- QuantLib::EuriborSwapFixIFR only 2, 5, 10 and 30 years tenors are enumerated because of missing historical data on other tenors string only for Murex export--> <EnumerationDefinition> <string>EURIBOR SW 2Y</string> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** termstructures.xml 27 Sep 2006 08:20:27 -0000 1.36 --- termstructures.xml 28 Sep 2006 10:55:38 -0000 1.37 *************** *** 143,147 **** </Member> ! <Member name='qlZeroRate' libraryClass='YieldTermStructure'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> --- 143,147 ---- </Member> ! <Member name='qlZeroRate' libraryClass='YieldTermStructure' loopParameter='dates'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> *************** *** 153,157 **** <Parameter name='dates' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> <description>date</description> </Parameter> --- 153,157 ---- <Parameter name='dates' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> <description>date</description> </Parameter> *************** *** 180,184 **** <ReturnValue libraryType='QuantLib::InterestRate'> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 180,184 ---- <ReturnValue libraryType='QuantLib::InterestRate'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
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From: Ferdinando A. <na...@us...> - 2006-09-28 08:05:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19045/qlo Modified Files: vanillaoption.cpp Log Message: avoiding useless inclusions to speed up compilation time Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** vanillaoption.cpp 28 Sep 2006 07:48:03 -0000 1.8 --- vanillaoption.cpp 28 Sep 2006 08:05:19 -0000 1.9 *************** *** 24,30 **** #include <qlo/vo_exercise.hpp> // TEST CODE DELETE ME - #include <ql/Volatilities/blackconstantvol.hpp> - #include <ql/TermStructures/flatforward.hpp> - namespace QuantLibAddin { --- 24,27 ---- |
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From: Ferdinando A. <na...@us...> - 2006-09-28 07:48:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11601/qlo Modified Files: europeanoption.cpp quantoforwardvanillaoption.cpp quantovanillaoption.cpp randomsequencegenerator.hpp vanillaoption.cpp Log Message: avoiding useless inclusions to speed up compilation time Index: randomsequencegenerator.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/randomsequencegenerator.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** randomsequencegenerator.hpp 30 Aug 2006 10:12:49 -0000 1.3 --- randomsequencegenerator.hpp 28 Sep 2006 07:48:03 -0000 1.4 *************** *** 21,25 **** #include <oh/objhandler.hpp> ! #include <ql/RandomNumbers/all.hpp> #include <vector> --- 21,29 ---- #include <oh/objhandler.hpp> ! #include <ql/RandomNumbers/core.hpp> ! #include <ql/RandomNumbers/faurersg.hpp> ! #include <ql/RandomNumbers/mt19937uniformrng.hpp> ! #include <ql/RandomNumbers/sobolrsg.hpp> ! #include <ql/RandomNumbers/haltonrsg.hpp> #include <vector> Index: quantovanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** quantovanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.6 --- quantovanillaoption.cpp 28 Sep 2006 07:48:03 -0000 1.7 *************** *** 25,33 **** #include <qlo/volatilities.hpp> - #include <ql/DayCounters/all.hpp> - #include <ql/Volatilities/blackconstantvol.hpp> - #include <ql/TermStructures/flatforward.hpp> - #include <ql/PricingEngines/all.hpp> - namespace QuantLibAddin { --- 25,28 ---- Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** vanillaoption.cpp 16 Jul 2006 17:11:30 -0000 1.7 --- vanillaoption.cpp 28 Sep 2006 07:48:03 -0000 1.8 *************** *** 24,31 **** #include <qlo/vo_exercise.hpp> // TEST CODE DELETE ME - #include <ql/DayCounters/all.hpp> #include <ql/Volatilities/blackconstantvol.hpp> #include <ql/TermStructures/flatforward.hpp> - #include <ql/PricingEngines/all.hpp> namespace QuantLibAddin { --- 24,29 ---- Index: europeanoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/europeanoption.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** europeanoption.cpp 29 Jun 2006 16:52:12 -0000 1.5 --- europeanoption.cpp 28 Sep 2006 07:48:03 -0000 1.6 *************** *** 23,38 **** #include <qlo/exercise.hpp> - #include <ql/DayCounters/all.hpp> - #include <ql/Volatilities/blackconstantvol.hpp> - #include <ql/TermStructures/flatforward.hpp> - #include <ql/PricingEngines/all.hpp> - namespace QuantLibAddin { EuropeanOption::EuropeanOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, ! const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::EuropeanOption( --- 23,33 ---- #include <qlo/exercise.hpp> namespace QuantLibAddin { EuropeanOption::EuropeanOption( ! const boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>& blackScholesProcess, ! const boost::shared_ptr<QuantLib::StrikedTypePayoff>& payoff, ! const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const boost::shared_ptr<QuantLib::PricingEngine>& pricingEngine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::EuropeanOption( Index: quantoforwardvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantoforwardvanillaoption.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** quantoforwardvanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.6 --- quantoforwardvanillaoption.cpp 28 Sep 2006 07:48:03 -0000 1.7 *************** *** 24,32 **** #include <qlo/volatilities.hpp> - #include <ql/DayCounters/all.hpp> - #include <ql/Volatilities/blackconstantvol.hpp> - #include <ql/TermStructures/flatforward.hpp> - #include <ql/PricingEngines/all.hpp> - namespace QuantLibAddin { --- 24,27 ---- |
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From: Ferdinando A. <na...@us...> - 2006-09-28 07:48:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11601/gensrc/metadata Modified Files: marketmodels.xml Log Message: avoiding useless inclusions to speed up compilation time Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** marketmodels.xml 27 Sep 2006 15:30:02 -0000 1.41 --- marketmodels.xml 28 Sep 2006 07:48:03 -0000 1.42 *************** *** 905,909 **** </ReturnValue> </Member> ! <Member name='qlAbcdB' libraryClass='Abcd'> <description>Returns the a coefficient in the abcd vol parametrization</description> --- 905,909 ---- </ReturnValue> </Member> ! <Member name='qlAbcdB' libraryClass='Abcd'> <description>Returns the a coefficient in the abcd vol parametrization</description> *************** *** 920,924 **** </ReturnValue> </Member> ! <Member name='qlAbcdC' libraryClass='Abcd'> <description>Returns the a coefficient in the abcd vol parametrization</description> --- 920,924 ---- </ReturnValue> </Member> ! <Member name='qlAbcdC' libraryClass='Abcd'> <description>Returns the a coefficient in the abcd vol parametrization</description> *************** *** 935,939 **** </ReturnValue> </Member> ! <Member name='qlAbcdD' libraryClass='Abcd'> <description>Returns the a coefficient in the abcd vol parametrization</description> --- 935,939 ---- </ReturnValue> </Member> ! <Member name='qlAbcdD' libraryClass='Abcd'> <description>Returns the a coefficient in the abcd vol parametrization</description> *************** *** 950,954 **** </ReturnValue> </Member> ! <Member name='qlAbcdK' libraryClass='Abcd'> <description>Returns the 'k' adjustment factors needed to match Black vols</description> --- 950,954 ---- </ReturnValue> </Member> ! <Member name='qlAbcdK' libraryClass='Abcd'> <description>Returns the 'k' adjustment factors needed to match Black vols</description> *************** *** 1164,1172 **** <ParameterList> <Parameters> ! <Parameter name='curveState' underlyingClass='CurveState'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of CurveState object</description> ! </Parameter> </Parameters> </ParameterList> --- 1164,1172 ---- <ParameterList> <Parameters> ! <Parameter name='curveState' underlyingClass='CurveState'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>ID of CurveState object</description> ! </Parameter> </Parameters> </ParameterList> *************** *** 1177,1181 **** </Procedure> - <Member name='qlCurveStateRateTimes' libraryClass='CurveState'> <description>return the rate times of the CurveState object</description> --- 1177,1180 ---- *************** *** 1447,1451 **** </ReturnValue> </Member> ! <Constructor name='qlDriftCalculator'> <libraryFunction>DriftCalculator</libraryFunction> --- 1446,1450 ---- </ReturnValue> </Member> ! <Constructor name='qlDriftCalculator'> <libraryFunction>DriftCalculator</libraryFunction> *************** *** 1648,1650 **** </Functions> </Category> - --- 1647,1648 ---- |
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From: Ferdinando A. <na...@us...> - 2006-09-27 12:09:34
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9265/gensrc/metadata Modified Files: assetswap.xml Log Message: adopting QuantLib::Spread Index: assetswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/assetswap.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** assetswap.xml 23 Sep 2006 11:00:44 -0000 1.9 --- assetswap.xml 27 Sep 2006 12:09:29 -0000 1.10 *************** *** 10,14 **** </includes> <copyright> ! Copyright (C) 2006 Chiara Fornarola </copyright> <Functions> --- 10,14 ---- </includes> <copyright> ! Copyright (C) 2006 Chiara Fornarola </copyright> <Functions> *************** *** 46,49 **** --- 46,50 ---- <description>floating leg Index</description> </Parameter> + <!--Parameter name='floatingLegSpread' libraryType='QuantLib::Spread'--> <Parameter name='floatingLegSpread'> <type>double</type> *************** *** 64,68 **** </ParameterList> </Constructor> ! <Member name='qlAssetSwapFairSpread' libraryClass='AssetSwap'> <description>the fair rate of the asset swap, i.e. the asset swap spread</description> --- 65,69 ---- </ParameterList> </Constructor> ! <Member name='qlAssetSwapFairSpread' libraryClass='AssetSwap'> <description>the fair rate of the asset swap, i.e. the asset swap spread</description> *************** *** 72,78 **** </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 73,79 ---- </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Spread'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 103,107 **** </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 104,108 ---- </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 118,122 **** </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 119,123 ---- </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 126,130 **** </Member> ! <Member name='qlAssetSwapFairPrice' libraryClass='AssetSwap'> <description>the fair price of the bond</description> <libraryFunction>fairPrice</libraryFunction> --- 127,131 ---- </Member> ! <Member name='qlAssetSwapFairPrice' libraryClass='AssetSwap'> <description>the fair price of the bond</description> <libraryFunction>fairPrice</libraryFunction> *************** *** 133,137 **** </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 134,138 ---- </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 142,144 **** </Functions> </Category> - --- 143,144 ---- |
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From: Eric E. <eri...@us...> - 2006-09-27 10:24:11
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31469 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.58 retrieving revision 1.59 diff -C2 -d -r1.58 -r1.59 *** todo.csv 27 Sep 2006 10:07:37 -0000 1.58 --- todo.csv 27 Sep 2006 10:24:06 -0000 1.59 *************** *** 1,54 **** ! project,subproject,task,status,priority,comp date,comment ! QLA,Enumerations,EuriborSwapFixA / Eur Libor - fix design problems,,0,, ! all,General Support,NSIS installers - uninstall old app before installing new,,1,, ! OH,Design,ohLastErrorMessage() - analyze a better approach for error handling and diagnostics,done,1,,is it OK now? ! QLA,?,allow for default optimization Method (see as example qlAbcdCapletCalibration in marrketmodels.xml),,1,, ! QLA,VBA framework,network launcher/updater for VBA framework - to point to different environments / configuration files,,1,, ! gensrc,Design,remove platform-specific configuration/code from core gensrc app,,2,, ! gensrc,Design,subdivide file qlxl\qladdin.cpp (1MB!) by category,,2,, ! QLA,Design,Joint Calendar as other Calendar (with special string),,2,, ! QLA,Design,right-click enumerations: implement proper design using hidden sheet,,2,, ! QLA,Design,enumeration aliases - map multiple strings to single enum value,,2,, ! QLA,Design,#include fewer headers to speed compilation,,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" ! QLA,Design,export and use Quote (or Handle<Quote>) instead of double to solve the problem of reconstructing objects with default value,done,0,,unable to recreate problem (reuters required?) ! QLA,General Support,performance profile of workbook YieldCurveMonitor.xls,,2,, ! ?,?,return std::pair (see locate in swaptionvolmatrix),,3,, ! all,General Support,migrate gensrc/OH/QLA/QLXL SourceForge projects back into QL,,3,,need to resolve name conflict for QLXL module ! OH,Design,update design doc,,3,, ! QLA,gensrc,Provide schema for XML,,3,, ! OH,Design,"ohDemoObject(parameter1, parameter2) to create an empty object for demo purposes",,4,, ! OH,Design,Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.,,4,, ! QLA,Design,"add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,4,, ! QLA,Design,use Excel SmartTags to allow interrogation of objects,,4,, ! QLA,Docs,"include more info in autogenerated docs: enumeration, default value, platform, loop",,4,, ! QLA,Documentation,segregate documentation for QLA / QLXL / OH,,4,, ! QLA,Enumerations,wizard: when enums are inputs add optional description suffixed with generic description taken from enum metadata,,4,, ! QLA,Enumerations,"wizard: suffix description with loop, default parameter, optional parameter, etc information",,4,, ! QLA,Functions,port old QLXL functionality into new QLXL,cancelled,4,, ! QLA,General Support,"C++ examples - add VOs, NPV calculations",,4,, ! QLA,gensrc,replace Serializer class with Reader class since we will never DeSerialize anything,,4,, ! QLA,VBA framework,interrogate object repository (GUI browser),,4,,Plamen? ! ?,?,"automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc",done,5,, ! OH,Design,"""reflection"" - support member functions dynamically",,5,, ! OH,Design,allow objects to be grouped,,5,, ! OH,Design,refactor OH / OHXL implementation,,5,, ! QLA,Design,"Sessions: instead of using workbook as session, allow user to specify session number",,5,, ! QLA,Enumerations,"add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",?,5,, ! QLA,General Support,bring the C Addin and QuantLibXLDynamic up to date,,5,, ! QLA,General Support,calculate memory usage of repository,,5,, ! QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,, ! QLA,VBA framework,access logfile (GUI browser),,5,, ! ! ! QLA,Enumerations,port ET/EC registry from QuantLibXL to ObjectHandler,on hold,5,,requires redesign to allow multiple XLLs to share global Registry ! QLA,VBA framework,design for real-time live feed,on hold,3,, ! QLA,Enumerations,"enumeration as return value (string) should be same as the input value Period, DayCounter",on hold,3,,already done by Ferdinando? ! ?,?,move stub.enum.types out of GenSrc into QLA,,4,,this is part of larger task 'remove QL code from core gensrc app' ! QLA,VBA framework,menu options to load/unload XLL/XLA implement as toggle,cancelled,4,, ! QLA,Design,loop functions: 1) template 2) Procedures 3) error per iteration,done,2,, ! gensrc,Design,Increase max # params for Excel functions,done,5 ! QLA,Design,right-click error messages - allow user to click anywhere in the range,done,2 ! QLA,gensrc,extend rule.py to support conversion of Guile datatypes,done,5 ! gensrc,Design,consolidate Rule/RuleGroup classes,done,2 ! gensrc,Design,consolidate functions serializeObjectDict/serializeObjectDict2,done,2 ! QLA,General Support,count the number of functions available in the addin,done,5 --- 1,54 ---- ! "project","subproject","task","status","priority","days","comp date","comment" ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files","in progress",1,3,, ! "all","General Support","NSIS installers - uninstall old app before installing new",,1,"- -",,"not required after network launcher?" ! "QLA","?","allow for default optimization Method (see as example qlAbcdCapletCalibration in marketmodels.xml)",,1,1,, ! "gensrc","Design","remove platform-specific configuration/code from core gensrc app",,2,2,, ! "gensrc","Design","subdivide file qlxl\qladdin.cpp (1MB!) by category",,2,1,, ! "QLA","Design","Joint Calendar as other Calendar (with special string)",,2,"0,5",, ! "QLA","Design","right-click enumerations: implement proper design using hidden sheet",,2,1,, ! "QLA","Design","enumeration aliases - map multiple strings to single enum value",,2,1,, ! "QLA","Design","#include fewer headers to speed compilation",,2,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,2,2,, ! "gensrc","Design","return std::pair (see locate in swaptionvolmatrix)",,3,1,, ! "all","General Support","migrate QLA/QLXL SourceForge projects back into QL",,3,"- -",,"request deletion of old QLA/QLXL repositories" ! "OH","Design","update design doc",,3,2,, ! "QLA","gensrc","Provide schema for XML",,3,2,, ! "OH","Design","ohDemoObject(parameter1, parameter2) to create an empty object for demo purposes",,4,,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,4,,, ! "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,4,,, ! "QLA","Design","use Excel SmartTags to allow interrogation of objects",,4,,, ! "QLA","Docs","include more info in autogenerated docs: enumeration, default value, platform, loop",,4,,, ! "QLA","Documentation","segregate documentation for QLA / QLXL / OH",,4,,, ! "QLA","Enumerations","wizard: when enums are inputs add optional description suffixed with generic description taken from enum metadata",,4,,, ! "QLA","Enumerations","wizard: suffix description with loop, default parameter, optional parameter, etc information",,4,,, ! "QLA","General Support","C++ examples - add VOs, NPV calculations",,4,,, ! "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,4,,, ! "QLA","VBA framework","interrogate object repository (GUI browser)",,4,,,"Plamen?" ! "OH","Design","""reflection"" - support member functions dynamically",,5,,, ! "OH","Design","allow objects to be grouped",,5,,, ! "OH","Design","refactor OH / OHXL implementation",,5,,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,5,,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple","?",5,,, ! "QLA","General Support","bring the C Addin and QuantLibXLDynamic up to date",,5,,, ! "QLA","General Support","calculate memory usage of repository",,5,,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,,, ! "QLA","VBA framework","access logfile (GUI browser)",,5,,, ! ,,,,,,, ! ,,,,,,, ! "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold",5,,,"requires redesign to allow multiple XLLs to share global Registry" ! "QLA","VBA framework","design for real-time live feed","on hold",3,,, ! "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter","on hold",3,,,"already done by Ferdinando?" ! "?","?","move stub.enum.types out of GenSrc into QLA",,4,,,"this is part of larger task 'remove QL code from core gensrc app'" ! "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","cancelled",4,,, ! "QLA","Functions","port old QLXL functionality into new QLXL","cancelled",4,,, ! "QLA","Design","loop functions: 1) template 2) Procedures 3) error per iteration","done",2,,, ! "gensrc","Design","Increase max # params for Excel functions","done",5,,, ! "QLA","Design","right-click error messages - allow user to click anywhere in the range","done",2,,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes","done",5,,, ! "gensrc","Design","consolidate Rule/RuleGroup classes","done",2,,, ! "gensrc","Design","consolidate functions serializeObjectDict/serializeObjectDict2","done",2,,, ! "QLA","General Support","count the number of functions available in the addin","done",5,,, ! "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics","done",1,,, ! "QLA","Design","export and use Quote (or Handle<Quote>) instead of double to solve the problem of reconstructing objects with default value","done",0,,, ! "QLA","Enumerations","EuriborSwapFixA / Eur Libor - fix design problems","done",0,,, ! "gensrc","Design","automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc","done",5,,, |
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From: Ferdinando A. <na...@us...> - 2006-09-27 10:07:40
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24658 Modified Files: todo.csv todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** todonando.txt 12 Sep 2006 09:48:47 -0000 1.37 --- todonando.txt 27 Sep 2006 10:07:37 -0000 1.38 *************** *** 79,82 **** --- 79,83 ---- QUANTLIBADDIN + - break Eric's data conversion (Rate, Vol, etc) - RSG factory - export ImpliedCurve *************** *** 91,94 **** --- 92,96 ---- QUANTLIBXL + - port old functionalities - Property example? - SWAPTION spreadsheet with multiple prices Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.57 retrieving revision 1.58 diff -C2 -d -r1.57 -r1.58 *** todo.csv 26 Sep 2006 19:05:13 -0000 1.57 --- todo.csv 27 Sep 2006 10:07:37 -0000 1.58 *************** *** 1,53 **** ! "project","subproject","task","status","priority","comp date","comment" ! "QLA","Enumerations","EuriborSwapFixA / Eur Libor - fix design problems",,0,, ! "all","General Support","NSIS installers - uninstall old app before installing new",,1,, ! "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics","?",1,,"is it OK now?" ! "QLA","?","allow for default optimization Method (see as example qlAbcdCapletCalibration in marrketmodels.xml)",,1,, ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files",,1,, ! "gensrc","Design","remove platform-specific configuration/code from core gensrc app",,2,, ! "gensrc","Design","subdivide file qlxl\qladdin.cpp (1MB!) by category",,2,, ! "QLA","Design","Joint Calendar as other Calendar (with special string)",,2,, ! "QLA","Design","right-click enumerations: implement proper design using hidden sheet",,2,, ! "QLA","Design","enumeration aliases - map multiple strings to single enum value",,2,, ! "QLA","Design","#include fewer headers to speed compilation",,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" ! "QLA","Design","export and use Quote (or Handle<Quote>) instead of double to solve the problem of reconstructing objects with default value",,2,,"unable to recreate problem (reuters required?)" ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,2,, ! "?","?","return std::pair (see locate in swaptionvolmatrix)",,3,, ! "all","General Support","migrate gensrc/OH/QLA/QLXL SourceForge projects back into QL",,3,,"need to resolve name conflict for QLXL module" ! "OH","Design","update design doc",,3,, ! "QLA","gensrc","Provide schema for XML",,3,, ! "OH","Design","ohDummyObject(parameter1, parameter2) to create an empty object for demo purposes",,4,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,4,, ! "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,4,, ! "QLA","Design","use Excel SmartTags to allow interrogation of objects",,4,, ! "QLA","Docs","include more info in autogenerated docs: default value, platform, loop",,4,, ! "QLA","Documentation","segregate documentation for QLA / QLXL / OH",,4,, ! "QLA","Enumerations","enums as function inputs: optional description suffixed with generic description taken from enum metadata",,4,, ! "QLA","Functions","port old QLXL functionality into new QLXL",,4,, ! "QLA","General Support","C++ examples - add VOs, NPV calculations",,4,, ! "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,4,, ! "QLA","VBA framework","interrogate object repository (GUI browser)",,4,,"Plamen?" ! "?","?","automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc",,5,, ! "OH","Design","""reflection"" - support member functions dynamically",,5,, ! "OH","Design","allow objects to be grouped",,5,, ! "OH","Design","refactor OH / OHXL implementation",,5,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,5,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple","?",5,, ! "QLA","General Support","bring the C Addin and QuantLibXLDynamic up to date",,5,, ! "QLA","General Support","calculate memory usage of repository",,5,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,, ! "QLA","VBA framework","access logfile (GUI browser)",,5,, ! ,,,,,, ! ,,,,,, ! "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold",5,,"requires redesign to allow multiple XLLs to share global Registry" ! "QLA","VBA framework","design for real-time live feed","on hold",3,, ! "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter","on hold",3,,"already done by Ferdinando?" ! "?","?","move stub.enum.types out of GenSrc into QLA",,4,,"this is part of larger task 'remove QL code from core gensrc app'" ! "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","cancelled",4,, ! "QLA","Design","loop functions: 1) template 2) Procedures 3) error per iteration","done",2,, ! "gensrc","Design","Increase max # params for Excel functions","done",5,, ! "QLA","Design","right-click error messages - allow user to click anywhere in the range","done",2,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes","done",5,, ! "gensrc","Design","consolidate Rule/RuleGroup classes","done",2,, ! "gensrc","Design","consolidate functions serializeObjectDict/serializeObjectDict2","done",2,, ! "QLA","General Support","count the number of functions available in the addin","done",5,, --- 1,54 ---- ! project,subproject,task,status,priority,comp date,comment ! QLA,Enumerations,EuriborSwapFixA / Eur Libor - fix design problems,,0,, ! all,General Support,NSIS installers - uninstall old app before installing new,,1,, ! OH,Design,ohLastErrorMessage() - analyze a better approach for error handling and diagnostics,done,1,,is it OK now? ! QLA,?,allow for default optimization Method (see as example qlAbcdCapletCalibration in marrketmodels.xml),,1,, ! QLA,VBA framework,network launcher/updater for VBA framework - to point to different environments / configuration files,,1,, ! gensrc,Design,remove platform-specific configuration/code from core gensrc app,,2,, ! gensrc,Design,subdivide file qlxl\qladdin.cpp (1MB!) by category,,2,, ! QLA,Design,Joint Calendar as other Calendar (with special string),,2,, ! QLA,Design,right-click enumerations: implement proper design using hidden sheet,,2,, ! QLA,Design,enumeration aliases - map multiple strings to single enum value,,2,, ! QLA,Design,#include fewer headers to speed compilation,,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" ! QLA,Design,export and use Quote (or Handle<Quote>) instead of double to solve the problem of reconstructing objects with default value,done,0,,unable to recreate problem (reuters required?) ! QLA,General Support,performance profile of workbook YieldCurveMonitor.xls,,2,, ! ?,?,return std::pair (see locate in swaptionvolmatrix),,3,, ! all,General Support,migrate gensrc/OH/QLA/QLXL SourceForge projects back into QL,,3,,need to resolve name conflict for QLXL module ! OH,Design,update design doc,,3,, ! QLA,gensrc,Provide schema for XML,,3,, ! OH,Design,"ohDemoObject(parameter1, parameter2) to create an empty object for demo purposes",,4,, ! OH,Design,Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.,,4,, ! QLA,Design,"add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,4,, ! QLA,Design,use Excel SmartTags to allow interrogation of objects,,4,, ! QLA,Docs,"include more info in autogenerated docs: enumeration, default value, platform, loop",,4,, ! QLA,Documentation,segregate documentation for QLA / QLXL / OH,,4,, ! QLA,Enumerations,wizard: when enums are inputs add optional description suffixed with generic description taken from enum metadata,,4,, ! QLA,Enumerations,"wizard: suffix description with loop, default parameter, optional parameter, etc information",,4,, ! QLA,Functions,port old QLXL functionality into new QLXL,cancelled,4,, ! QLA,General Support,"C++ examples - add VOs, NPV calculations",,4,, ! QLA,gensrc,replace Serializer class with Reader class since we will never DeSerialize anything,,4,, ! QLA,VBA framework,interrogate object repository (GUI browser),,4,,Plamen? ! ?,?,"automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc",done,5,, ! OH,Design,"""reflection"" - support member functions dynamically",,5,, ! OH,Design,allow objects to be grouped,,5,, ! OH,Design,refactor OH / OHXL implementation,,5,, ! QLA,Design,"Sessions: instead of using workbook as session, allow user to specify session number",,5,, ! QLA,Enumerations,"add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",?,5,, ! QLA,General Support,bring the C Addin and QuantLibXLDynamic up to date,,5,, ! QLA,General Support,calculate memory usage of repository,,5,, ! QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,, ! QLA,VBA framework,access logfile (GUI browser),,5,, ! ! ! QLA,Enumerations,port ET/EC registry from QuantLibXL to ObjectHandler,on hold,5,,requires redesign to allow multiple XLLs to share global Registry ! QLA,VBA framework,design for real-time live feed,on hold,3,, ! QLA,Enumerations,"enumeration as return value (string) should be same as the input value Period, DayCounter",on hold,3,,already done by Ferdinando? ! ?,?,move stub.enum.types out of GenSrc into QLA,,4,,this is part of larger task 'remove QL code from core gensrc app' ! QLA,VBA framework,menu options to load/unload XLL/XLA implement as toggle,cancelled,4,, ! QLA,Design,loop functions: 1) template 2) Procedures 3) error per iteration,done,2,, ! gensrc,Design,Increase max # params for Excel functions,done,5 ! QLA,Design,right-click error messages - allow user to click anywhere in the range,done,2 ! QLA,gensrc,extend rule.py to support conversion of Guile datatypes,done,5 ! gensrc,Design,consolidate Rule/RuleGroup classes,done,2 ! gensrc,Design,consolidate functions serializeObjectDict/serializeObjectDict2,done,2 ! QLA,General Support,count the number of functions available in the addin,done,5 |
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From: Eric E. <eri...@us...> - 2006-09-27 08:20:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6793/qlo Modified Files: termstructures.cpp termstructures.hpp Log Message: export QuantLib::SimpleQuote and QuantLib::Handle<QuantLib::SimpleQuote> to QuantLibXL Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** termstructures.hpp 2 Aug 2006 19:16:13 -0000 1.10 --- termstructures.hpp 27 Sep 2006 08:20:27 -0000 1.11 *************** *** 95,98 **** --- 95,104 ---- }; + class SimpleQuote : public ObjHandler::LibraryObject<QuantLib::SimpleQuote> { + public: + SimpleQuote( + const QuantLib::Real &value); + }; + } Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** termstructures.cpp 2 Aug 2006 19:16:13 -0000 1.16 --- termstructures.cpp 27 Sep 2006 08:20:27 -0000 1.17 *************** *** 151,153 **** --- 151,160 ---- } + SimpleQuote::SimpleQuote( + const QuantLib::Real &value) + { + libraryObject_ = boost::shared_ptr<QuantLib::SimpleQuote>( + new QuantLib::SimpleQuote(value)); + } + } |
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From: Eric E. <eri...@us...> - 2006-09-27 08:20:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6793/gensrc/metadata Modified Files: ratehelpers.xml termstructures.xml Log Message: export QuantLib::SimpleQuote and QuantLib::Handle<QuantLib::SimpleQuote> to QuantLibXL Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** ratehelpers.xml 23 Sep 2006 11:00:44 -0000 1.24 --- ratehelpers.xml 27 Sep 2006 08:20:27 -0000 1.25 *************** *** 63,67 **** </Member> - <!--Member name='qlSetQuote' objectClass='RateHelper'--> <Member name='qlSetQuote' objectClass='RateHelper'> <description>update quote of existing Rate Helper object</description> --- 63,66 ---- *************** *** 76,80 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the new qoute</description> </Parameter> </Parameters> --- 75,79 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the new quote</description> </Parameter> </Parameters> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** termstructures.xml 22 Sep 2006 15:21:16 -0000 1.35 --- termstructures.xml 27 Sep 2006 08:20:27 -0000 1.36 *************** *** 497,500 **** --- 497,589 ---- </Constructor> + <Constructor name='qlSimpleQuote'> + <libraryFunction>SimpleQuote</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='value'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>quote</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Member name='qlValue' handleToLib='SimpleQuote'> + <description>retrieve value of SimpleQuote object</description> + <libraryFunction>value</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSetValue' handleToLib='SimpleQuote'> + <description>set value of SimpleQuote object</description> + <libraryFunction>setValue</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='value'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the new value</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Constructor name='qlHandleSimpleQuote'> + <libraryFunction>Handle<QuantLib::SimpleQuote></libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='simpleQuoteID' libraryClass='SimpleQuote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>ID of a SimpleQuote object</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Member name='qlHandleSimpleQuoteLinkTo' objectClass='Handle<QuantLib::SimpleQuote>'> + <libraryFunction>linkTo</libraryFunction> + <description>relink handle</description> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='simpleQuoteID' libraryClass='SimpleQuote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>ID of a SimpleQuote object</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + </Functions> </Category> |
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From: Eric E. <eri...@us...> - 2006-09-26 19:28:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3956/gensrc/metadata Modified Files: marketmodels.xml Log Message: fix XML syntax Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** marketmodels.xml 25 Sep 2006 17:16:40 -0000 1.39 --- marketmodels.xml 26 Sep 2006 19:28:21 -0000 1.40 *************** *** 251,255 **** </Member> ! <!--<Procedure name='qlTerminalMeasure'> <description>Returns the terminal measure for the given EvolutionDescription object</description> <alias>QuantLib::terminalMeasure</alias> --- 251,255 ---- </Member> ! <Procedure name='qlTerminalMeasure'> <description>Returns the terminal measure for the given EvolutionDescription object</description> <alias>QuantLib::terminalMeasure</alias> *************** *** 267,271 **** </Parameters> </ParameterList> ! <ReturnValue> <type>long</type> <tensorRank>vector</tensorRank> --- 267,271 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 289,293 **** </Parameters> </ParameterList> ! <ReturnValue> <type>long</type> <tensorRank>vector</tensorRank> --- 289,293 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 316,320 **** </Parameters> </ParameterList> ! <ReturnValue> <type>long</type> <tensorRank>vector</tensorRank> --- 316,320 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 336,340 **** <description>ID of EvolutionDescription object</description> </Parameter> ! <Parameter name='numeraires'> <type>long</type> <tensorRank>vector</tensorRank> --- 336,340 ---- <description>ID of EvolutionDescription object</description> </Parameter> ! <Parameter name='numeraires' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 344,349 **** </ParameterList> <ReturnValue> ! <type>long</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Procedure> --- 344,349 ---- </ParameterList> <ReturnValue> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> *************** *** 363,367 **** <description>ID of EvolutionDescription object</description> </Parameter> ! <Parameter name='numeraires'> <type>long</type> <tensorRank>vector</tensorRank> --- 363,367 ---- <description>ID of EvolutionDescription object</description> </Parameter> ! <Parameter name='numeraires' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 371,376 **** </ParameterList> <ReturnValue> ! <type>long</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Procedure> --- 371,376 ---- </ParameterList> <ReturnValue> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> *************** *** 390,394 **** <description>ID of EvolutionDescription object</description> </Parameter> ! <Parameter name='numeraires'> <type>long</type> <tensorRank>vector</tensorRank> --- 390,394 ---- <description>ID of EvolutionDescription object</description> </Parameter> ! <Parameter name='numeraires' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 403,410 **** </ParameterList> <ReturnValue> ! <type>long</type> ! <tensorRank>vector</tensorRank> </ReturnValue> ! </Procedure>--> <Constructor name='qlEvolutionDescription'> --- 403,410 ---- </ParameterList> <ReturnValue> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> <Constructor name='qlEvolutionDescription'> *************** *** 1154,1158 **** <!-- CurveState class interface and costructor --> ! <!--Procedure name='qlSwapForwardJacobian'> <description>return the Jacobian between swap and forward rates</description> <alias>swapForwardJacobian</alias> --- 1154,1158 ---- <!-- CurveState class interface and costructor --> ! <Procedure name='qlSwapForwardJacobian'> <description>return the Jacobian between swap and forward rates</description> <alias>swapForwardJacobian</alias> *************** *** 1164,1168 **** <ParameterList> <Parameters> ! <Parameter name='curveState' libraryClass='CurveState'> <type>string</type> <tensorRank>scalar</tensorRank> --- 1164,1168 ---- <ParameterList> <Parameters> ! <Parameter name='curveState' underlyingClass='CurveState'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 1175,1179 **** <tensorRank>matrix</tensorRank> </ReturnValue> ! </Procedure--> --- 1175,1179 ---- <tensorRank>matrix</tensorRank> </ReturnValue> ! </Procedure> *************** *** 1560,1564 **** <!-- MarketModelEvolver derived classes' constructors --> ! <!--<Constructor name='qlForwardRatePcEvolver'> <libraryFunction>ForwardRatePcEvolver</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 1560,1564 ---- <!-- MarketModelEvolver derived classes' constructors --> ! <Constructor name='qlForwardRatePcEvolver'> <libraryFunction>ForwardRatePcEvolver</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 1579,1583 **** <description>Brownian generator factory</description> </Parameter> ! <Parameter name='numeraires'> <type>long</type> <tensorRank>vector</tensorRank> --- 1579,1583 ---- <description>Brownian generator factory</description> </Parameter> ! <Parameter name='numeraires' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 1607,1611 **** <description>Brownian generator factory</description> </Parameter> ! <Parameter name='numeraires'> <type>long</type> <tensorRank>vector</tensorRank> --- 1607,1611 ---- <description>Brownian generator factory</description> </Parameter> ! <Parameter name='numeraires' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 1614,1618 **** </Parameters> </ParameterList> ! </Constructor>--> <!-- AccountingEngine class interface and constructor --> --- 1614,1618 ---- </Parameters> </ParameterList> ! </Constructor> <!-- AccountingEngine class interface and constructor --> |
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From: Eric E. <eri...@us...> - 2006-09-26 19:05:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26816/gensrc/metadata Modified Files: utilities.xml Log Message: new function qlFunctionCount() to return the number of functions in the Addin Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** utilities.xml 4 Sep 2006 19:21:04 -0000 1.9 --- utilities.xml 26 Sep 2006 19:05:13 -0000 1.10 *************** *** 3,6 **** --- 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 *************** *** 99,103 **** </ReturnValue> </Procedure> ! </Functions> </Category> --- 103,122 ---- </ReturnValue> </Procedure> ! ! <Procedure name='qlFunctionCount'> ! <description>return the number of functions in this Addin</description> ! <code>FUNCTION_COUNT</code> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! </Functions> </Category> |
