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From: Chiara F. <chi...@us...> - 2006-09-13 08:31:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25938/gensrc/metadata Modified Files: enumclasses.xml Log Message: Added new strings in order to receive export form Mgx regarding Eurlibor Swap ISDAFIX indexes Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** enumclasses.xml 13 Sep 2006 08:04:06 -0000 1.19 --- enumclasses.xml 13 Sep 2006 08:31:49 -0000 1.20 *************** *** 839,845 **** <libraryClass>QuantLib::EurliborSwapFixA30Y</libraryClass> </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> - </Enumerations> </root> --- 839,855 ---- <libraryClass>QuantLib::EurliborSwapFixA30Y</libraryClass> </EnumerationDefinition> + <!-- EurliborSwapFixA strings only to receive Murex Input --> + <EnumerationDefinition> + <string>EURLSW1Y ISFX2</string> + <value>EURLIBORSWAPFIXA_1Y</value> + <libraryClass>QuantLib::EurliborSwapFixA1Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLSW10Y ISFX2</string> + <value>EURLIBORSWAPFIXA_10Y</value> + <libraryClass>QuantLib::EurliborSwapFixA10Y</libraryClass> + </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> </Enumerations> </root> |
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From: Chiara F. <chi...@us...> - 2006-09-13 08:04:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13946/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp typefactory.hpp Log Message: Eurlibor Swap ISDAFIX Indexes (10:00 London) esposed to excel (conventional quantlib strings used) Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** enumclassctors.cpp 11 Sep 2006 11:11:33 -0000 1.24 --- enumclassctors.cpp 13 Sep 2006 08:04:07 -0000 1.25 *************** *** 659,662 **** --- 659,738 ---- EuriborHandle::instance().handleYieldTermStructure())); } + /* *** EurliborSwapFixA *** */ + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_1Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA1Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_2Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA2Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_3Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA3Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_4Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA4Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_5Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA5Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_6Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA6Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_7Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA7Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_8Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA8Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_9Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA9Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_10Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA10Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_12Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA12Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_15Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA15Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_20Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA20Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_25Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA25Y( + EuriborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_30Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EurliborSwapFixA30Y( + EuriborHandle::instance().handleYieldTermStructure())); + } } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** enumclassctors.hpp 11 Sep 2006 11:11:33 -0000 1.22 --- enumclassctors.hpp 13 Sep 2006 08:04:07 -0000 1.23 *************** *** 229,233 **** boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_25Y(); boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_30Y(); ! } --- 229,248 ---- boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_25Y(); boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_30Y(); ! /* *** EurliborSwapFixA *** */ ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_1Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_2Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_3Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_4Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_5Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_6Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_7Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_8Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_9Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_10Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_12Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_15Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_20Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_25Y(); ! boost::shared_ptr<QuantLib::Index> EURLIBORSWAPFIXA_30Y(); } Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** typefactory.hpp 8 Sep 2006 10:40:53 -0000 1.37 --- typefactory.hpp 13 Sep 2006 08:04:07 -0000 1.38 *************** *** 28,31 **** --- 28,32 ---- #include <ql/Indexes/euriborswapfixa.hpp> #include <ql/Indexes/eurlibor.hpp> + #include <ql/Indexes/eurliborswapfixa.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <ql/CashFlows/cmscoupon.hpp> |
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From: Chiara F. <chi...@us...> - 2006-09-13 08:04:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13946/gensrc/metadata Modified Files: enumclasses.xml Log Message: Eurlibor Swap ISDAFIX Indexes (10:00 London) esposed to excel (conventional quantlib strings used) Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** enumclasses.xml 11 Sep 2006 18:15:12 -0000 1.18 --- enumclasses.xml 13 Sep 2006 08:04:06 -0000 1.19 *************** *** 763,766 **** --- 763,842 ---- <libraryClass>QuantLib::EuriborSwapFixA30Y</libraryClass> </EnumerationDefinition> + <!-- QuantLib::EurliborSwapFixA --> + <EnumerationDefinition> + <string>EurliborSwapFixA1Y</string> + <value>EURLIBORSWAPFIXA_1Y</value> + <libraryClass>QuantLib::EurliborSwapFixA1Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA2Y</string> + <value>EURLIBORSWAPFIXA_2Y</value> + <libraryClass>QuantLib::EurliborSwapFixA2Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA3Y</string> + <value>EURLIBORSWAPFIXA_3Y</value> + <libraryClass>QuantLib::EurliborSwapFixA3Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA4Y</string> + <value>EURLIBORSWAPFIXA_4Y</value> + <libraryClass>QuantLib::EurliborSwapFixA4Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA5Y</string> + <value>EURLIBORSWAPFIXA_5Y</value> + <libraryClass>QuantLib::EurliborSwapFixA5Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA6Y</string> + <value>EURLIBORSWAPFIXA_6Y</value> + <libraryClass>QuantLib::EurliborSwapFixA6Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA7Y</string> + <value>EURLIBORSWAPFIXA_7Y</value> + <libraryClass>QuantLib::EurliborSwapFixA7Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA8Y</string> + <value>EURLIBORSWAPFIXA_8Y</value> + <libraryClass>QuantLib::EurliborSwapFixA8Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA9Y</string> + <value>EURLIBORSWAPFIXA_9Y</value> + <libraryClass>QuantLib::EurliborSwapFixA9Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA10Y</string> + <value>EURLIBORSWAPFIXA_10Y</value> + <libraryClass>QuantLib::EurliborSwapFixA10Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA12Y</string> + <value>EURLIBORSWAPFIXA_12Y</value> + <libraryClass>QuantLib::EurliborSwapFixA12Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA15Y</string> + <value>EURLIBORSWAPFIXA_15Y</value> + <libraryClass>QuantLib::EurliborSwapFixA15Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA20Y</string> + <value>EURLIBORSWAPFIXA_20Y</value> + <libraryClass>QuantLib::EurliborSwapFixA20Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA25Y</string> + <value>EURLIBORSWAPFIXA_25Y</value> + <libraryClass>QuantLib::EurliborSwapFixA25Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EurliborSwapFixA30Y</string> + <value>EURLIBORSWAPFIXA_30Y</value> + <libraryClass>QuantLib::EurliborSwapFixA30Y</libraryClass> + </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> |
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From: Ferdinando A. <na...@us...> - 2006-09-12 17:52:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17911/qlo Modified Files: .cvsignore Log Message: removing autogenerated files which must never be under CVS Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** .cvsignore 28 Aug 2006 16:37:14 -0000 1.18 --- .cvsignore 12 Sep 2006 17:52:55 -0000 1.19 *************** *** 15,18 **** --- 15,19 ---- vo_capletvolstructure.*pp vo_capfloor.*pp + vo_cmsmarket.*pp vo_couponvectors.*pp vo_exercise.*pp |
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From: Ferdinando A. <na...@us...> - 2006-09-12 17:51:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17071/qlo Removed Files: vo_cmsmarket.cpp vo_cmsmarket.hpp Log Message: removing autogenerated files which must never be under CVS --- vo_cmsmarket.hpp DELETED --- --- vo_cmsmarket.cpp DELETED --- |
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From: Katiuscia M. <kma...@us...> - 2006-09-12 17:49:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16562/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: 1. changed volSpreads parameter from Matrix to std::vector<std::vector<Handle<Quote> > >& Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** swaptionvolstructure.cpp 12 Sep 2006 08:01:33 -0000 1.28 --- swaptionvolstructure.cpp 12 Sep 2006 17:49:21 -0000 1.29 *************** *** 103,107 **** const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const QuantLib::Matrix& volSpreads, const QuantLib::Calendar& calendar, long swapSettlementDays, --- 103,107 ---- const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, const QuantLib::Calendar& calendar, long swapSettlementDays, Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** swaptionvolstructure.hpp 12 Sep 2006 07:31:17 -0000 1.24 --- swaptionvolstructure.hpp 12 Sep 2006 17:49:21 -0000 1.25 *************** *** 72,76 **** const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const QuantLib::Matrix& volSpreads, const QuantLib::Calendar& calendar, long swapSettlementDays, --- 72,76 ---- const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, ! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, const QuantLib::Calendar& calendar, long swapSettlementDays, |
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From: Katiuscia M. <kma...@us...> - 2006-09-12 17:35:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10542/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: 1. changed volSpreads parameter from Matrix to std::vector<std::vector<Handle<Quote> > >&; 2. commented out old code for qlSwaptionVTSMatrix1 and qlSwaptionVTSMatrix2. This will be removed at a later stage. Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.50 retrieving revision 1.51 diff -C2 -d -r1.50 -r1.51 *** swaptionvolstructure.xml 12 Sep 2006 08:15:43 -0000 1.50 --- swaptionvolstructure.xml 12 Sep 2006 17:35:38 -0000 1.51 *************** *** 224,228 **** </Constructor> ! <Constructor name='qlSwaptionVTSMatrix'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> <supportedPlatforms> --- 224,228 ---- </Constructor> ! <!--<Constructor name='qlSwaptionVTSMatrix'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> <supportedPlatforms> *************** *** 296,300 **** </Parameters> </ParameterList> ! </Constructor> <Constructor name='qlSwaptionVTSMatrix3'> --- 296,300 ---- </Parameters> </ParameterList> ! </Constructor>--> <Constructor name='qlSwaptionVTSMatrix3'> *************** *** 440,444 **** <description>smile cube's strike spreads over the ATM strike rate.</description> </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Matrix'> <type>double</type> <tensorRank>matrix</tensorRank> --- 440,444 ---- <description>smile cube's strike spreads over the ATM strike rate.</description> </Parameter> ! <Parameter name='volatilities' libToHandle='QuantLib::Quote'> <type>double</type> <tensorRank>matrix</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-09-12 17:31:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8788 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.51 retrieving revision 1.52 diff -C2 -d -r1.51 -r1.52 *** todo.csv 12 Sep 2006 09:49:05 -0000 1.51 --- todo.csv 12 Sep 2006 17:31:32 -0000 1.52 *************** *** 46,47 **** --- 46,48 ---- QLA,,allow for default optimization Method (see as example qlAbcdCapletCalibration in marrketmodels.xml),,1,, ,,return std::pair (see locate in swaptionvolmatrix),,3,, + ,,"automatic conversion of QuantLib::Rate, Volatility, Discount, Spread, Time, etc",,5,, |
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From: Giorgio F. <gi...@us...> - 2006-09-12 16:14:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8406/qlo Modified Files: cmsmarket.cpp cmsmarket.hpp vo_cmsmarket.cpp vo_cmsmarket.hpp Log Message: Index: cmsmarket.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** cmsmarket.hpp 12 Sep 2006 15:08:11 -0000 1.2 --- cmsmarket.hpp 12 Sep 2006 16:14:29 -0000 1.3 *************** *** 50,54 **** protected: QuantLib::Matrix cmsMarket_; ! }; } --- 50,63 ---- protected: QuantLib::Matrix cmsMarket_; ! }; ! ! class SmileAndCmsCalibrationBySabr: public ObjHandler::LibraryObject<QuantLib::SmileAndCmsCalibrationBySabr>{ ! public: ! SmileAndCmsCalibrationBySabr::SmileAndCmsCalibrationBySabr( ! QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, ! boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, ! const QuantLib::Matrix& weights); ! ! }; } Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** cmsmarket.cpp 12 Sep 2006 15:08:11 -0000 1.2 --- cmsmarket.cpp 12 Sep 2006 16:14:29 -0000 1.3 *************** *** 79,81 **** --- 79,94 ---- return result; } + + + SmileAndCmsCalibrationBySabr::SmileAndCmsCalibrationBySabr( + QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube, + boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket, + const QuantLib::Matrix& weights){ + + libraryObject_ = boost::shared_ptr<QuantLib::SmileAndCmsCalibrationBySabr>( + new QuantLib::SmileAndCmsCalibrationBySabr( + volCube, + cmsMarket, + weights)); + } } Index: vo_cmsmarket.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vo_cmsmarket.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vo_cmsmarket.hpp 12 Sep 2006 09:38:25 -0000 1.1 --- vo_cmsmarket.hpp 12 Sep 2006 16:14:29 -0000 1.2 *************** *** 59,62 **** --- 59,82 ---- }; + class qlSmileAndCmsCalibrationBySabr : public ObjHandler::ValueObject { + public: + qlSmileAndCmsCalibrationBySabr( + const std::string& objectID, + const std::string& volCube, + const std::string& cmsMarketID, + const std::vector<std::vector <double> >& weights); + + std::vector<std::string> getPropertyNames() const; + + boost::any getProperty(const std::string& name) const; + + protected: + static const char* mPropertyNames[]; + std::string objectID_; + std::string volCube_; + std::string cmsMarketID_; + std::vector<std::vector <double> > weights_; + }; + } } Index: vo_cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vo_cmsmarket.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vo_cmsmarket.cpp 12 Sep 2006 09:38:25 -0000 1.1 --- vo_cmsmarket.cpp 12 Sep 2006 16:14:29 -0000 1.2 *************** *** 79,82 **** --- 79,114 ---- modelOfYieldCurve_(modelOfYieldCurve) {} + const char* qlSmileAndCmsCalibrationBySabr::mPropertyNames[] = { + "objectID", + "volCube", + "cmsMarketID", + "weights"}; + + std::vector<std::string> qlSmileAndCmsCalibrationBySabr::getPropertyNames() const { + return std::vector<std::string>( + mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*)); + } + + boost::any qlSmileAndCmsCalibrationBySabr::getProperty(const std::string& name) const { + if(name == "objectID") return objectID_; + else if(name == "volCube") return volCube_; + else if(name == "cmsMarketID") return cmsMarketID_; + else if(name == "weights") return weights_; + else + throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'"); + + return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */ + } + + qlSmileAndCmsCalibrationBySabr::qlSmileAndCmsCalibrationBySabr( + const std::string& objectID, + const std::string& volCube, + const std::string& cmsMarketID, + const std::vector<std::vector <double> >& weights) : + objectID_(objectID), + volCube_(volCube), + cmsMarketID_(cmsMarketID), + weights_(weights) {} + } } |
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From: Giorgio F. <gi...@us...> - 2006-09-12 16:14:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8406/gensrc/metadata Modified Files: cmsmarket.xml Log Message: Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** cmsmarket.xml 12 Sep 2006 15:08:10 -0000 1.2 --- cmsmarket.xml 12 Sep 2006 16:14:29 -0000 1.3 *************** *** 82,87 **** </ReturnValue> </Member> - </Functions> </Category> --- 82,131 ---- </ReturnValue> </Member> + <!-- SmileAndCmsCalibrationBySabr constructors --> + + <Constructor name='qlSmileAndCmsCalibrationBySabr'> + <libraryFunction>SmileAndCmsCalibrationBySabr</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='volCube' libToHandle='SwaptionVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Volatility Cube by Sabr</description> + </Parameter> + <Parameter name='cmsMarketID' libraryClass='CmsMarket'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>ID of the CmsMarket object</description> + </Parameter> + <Parameter name='weights' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>weights for cms market calibration.</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Member name='qlSimultaneousCalibration' libraryClass='SmileAndCmsCalibrationBySabr'> + <description>Return the best beta</description> + <libraryFunction>calibration</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + </Functions> </Category> |
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From: Chiara F. <chi...@us...> - 2006-09-12 16:04:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4174/gensrc/metadata Modified Files: enumtypes.xml Log Message: added string "Indifferent" equal to "Unadjusted" BDC should be used only for receiving Murex export Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** enumtypes.xml 11 Sep 2006 17:27:51 -0000 1.19 --- enumtypes.xml 12 Sep 2006 16:04:15 -0000 1.20 *************** *** 5,8 **** --- 5,9 ---- Copyright (C) 2006 Katiuscia Manzoni Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2006 Chiara Fornarola </enumTypeCopyright> *************** *** 166,169 **** --- 167,175 ---- <string>Unadjusted</string> <value>QuantLib::Unadjusted</value> + </EnumerationDefinition> + <!-- For Mgx export only --> + <EnumerationDefinition> + <string>Indifferent</string> + <value>QuantLib::Unadjusted</value> </EnumerationDefinition> </EnumerationDefinitions> |
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From: Giorgio F. <gi...@us...> - 2006-09-12 15:08:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13459/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 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** cmsmarket.hpp 12 Sep 2006 09:38:25 -0000 1.1 --- cmsmarket.hpp 12 Sep 2006 15:08:11 -0000 1.2 *************** *** 29,32 **** --- 29,34 ---- namespace QuantLibAddin { + std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket); + class CmsMarket: public ObjHandler::LibraryObject<QuantLib::CmsMarket>{ public: *************** *** 40,43 **** --- 42,53 ---- const std::string & typeOfVanillaCMSCouponPricer, const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); + + const std::vector<std::vector<boost::any> > getCmsMarket() + { + return browseCmsMarket(cmsMarket_); + } + + protected: + QuantLib::Matrix cmsMarket_; }; } Index: cmsmarket.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** cmsmarket.cpp 12 Sep 2006 09:38:25 -0000 1.1 --- cmsmarket.cpp 12 Sep 2006 15:08:11 -0000 1.2 *************** *** 49,52 **** --- 49,81 ---- yieldTermStructure, volStructure)); + cmsMarket_ = libraryObject_->browse(); + } + + std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket){ + std::vector<std::vector<boost::any> > result; + QuantLib::Size numberOfColumn = 7; + + std::vector<boost::any> headings(numberOfColumn); + headings[0]=std::string("Swap Length"); + headings[1]=std::string("Expiriy"); + + headings[2]=std::string("Bid (bps)"); + headings[3]=std::string("Ask (bps)"); + headings[4]=std::string("Mid (bps)"); + headings[5]=std::string("Implied (bps)"); + headings[6]=std::string("Error (bps)"); + + result.push_back(headings); + + for(QuantLib::Size i=0; i<cmsMarket.rows(); i++) + { + std::vector<boost::any> row(numberOfColumn, std::string("N/A")); + for(QuantLib::Size j=0; j<cmsMarket.columns(); j++) + { + row[j] = cmsMarket[i][j]; + } + result.push_back(row); + } + return result; } } |
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From: Giorgio F. <gi...@us...> - 2006-09-12 15:08:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13459/gensrc/metadata Modified Files: cmsmarket.xml Log Message: work in progress ... Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** cmsmarket.xml 12 Sep 2006 09:38:25 -0000 1.1 --- cmsmarket.xml 12 Sep 2006 15:08:10 -0000 1.2 *************** *** 68,71 **** --- 68,85 ---- </Constructor> + <Member name='qlBrowseCmsMarket' objectClass='CmsMarket'> + <description>return the market and implied spreads matrix</description> + <libraryFunction>getCmsMarket</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> |
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From: Mario P. <mar...@us...> - 2006-09-12 12:18:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7418/gensrc Modified Files: gensrc_vc8.vcproj Log Message: added file Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** gensrc_vc8.vcproj 28 Aug 2006 16:37:14 -0000 1.24 --- gensrc_vc8.vcproj 12 Sep 2006 12:18:26 -0000 1.25 *************** *** 76,79 **** --- 76,83 ---- </File> <File + RelativePath=".\metadata\cmsmarket.xml" + > + </File> + <File RelativePath="metadata\couponvectors.xml" > |
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From: Mario P. <mar...@us...> - 2006-09-12 12:18:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7000 Modified Files: QuantLibObjects_vc8.vcproj Log Message: added files Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.41 retrieving revision 1.42 diff -C2 -d -r1.41 -r1.42 *** QuantLibObjects_vc8.vcproj 7 Sep 2006 21:27:37 -0000 1.41 --- QuantLibObjects_vc8.vcproj 12 Sep 2006 12:17:55 -0000 1.42 *************** *** 330,333 **** --- 330,337 ---- > <File + RelativePath="qlo\calendarfactory.cpp" + > + </File> + <File RelativePath="qlo\enumclassctors.cpp" > *************** *** 346,353 **** </File> <File - RelativePath="qlo\calendarfactory.cpp" - > - </File> - <File RelativePath="qlo\typefactory.hpp" > --- 350,353 ---- *************** *** 394,397 **** --- 394,405 ---- </File> <File + RelativePath=".\qlo\vo_cmsmarket.cpp" + > + </File> + <File + RelativePath=".\qlo\vo_cmsmarket.hpp" + > + </File> + <File RelativePath=".\qlo\vo_couponvectors.cpp" > *************** *** 878,881 **** --- 886,897 ---- </File> <File + RelativePath=".\qlo\cmsmarket.cpp" + > + </File> + <File + RelativePath=".\qlo\cmsmarket.hpp" + > + </File> + <File RelativePath="qlo\swaptionvolstructure.cpp" > |
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From: Ferdinando A. <na...@us...> - 2006-09-12 09:49:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10131 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.50 retrieving revision 1.51 diff -C2 -d -r1.50 -r1.51 *** todo.csv 12 Sep 2006 09:16:29 -0000 1.50 --- todo.csv 12 Sep 2006 09:49:05 -0000 1.51 *************** *** 11,15 **** 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,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,on hold,2,, all,General Support,migrate gensrc/OH/QLA/QLXL sourceforge projects back into QL,,3,,need to resolve name conflict for QLXL module --- 11,15 ---- 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,on hold,2,, all,General Support,migrate gensrc/OH/QLA/QLXL sourceforge projects back into QL,,3,,need to resolve name conflict for QLXL module *************** *** 42,44 **** QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,, QLA,VBA framework,access logfile (GUI browser),,5,, ! ,,move stub.enum.types out of GenSrc into QLA,,,, --- 42,47 ---- QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,, QLA,VBA framework,access logfile (GUI browser),,5,, ! ,,move stub.enum.types out of GenSrc into QLA,,4,, ! OH,Design,refactor OH / OHXL implementation,,5,, ! QLA,,allow for default optimization Method (see as example qlAbcdCapletCalibration in marrketmodels.xml),,1,, ! ,,return std::pair (see locate in swaptionvolmatrix),,3,, |
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From: Ferdinando A. <na...@us...> - 2006-09-12 09:48:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9820 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** todonando.txt 30 Aug 2006 17:57:27 -0000 1.36 --- todonando.txt 12 Sep 2006 09:48:47 -0000 1.37 *************** *** 1,5 **** --- 1,9 ---- QuantLib + - fix convertible faceamount bug + - deprecate swaptionvol time interface + - deprecate MonthEndReference - vola model, corr model + - corregere OneAssetOption impliedVol - cap ATM strike *************** *** 42,47 **** - separate drift test - - separete abcd test (match terminal variance) - - abcd calibration - displacement calibration --- 46,49 ---- *************** *** 75,94 **** - create QuantLib-other CVS mailing list - GENSRC - - return enumerations - - add optional LongDescription - - move stub.qla.* in QuantLibObject - - OH - - enforce version number check - - refactor ObjectHandler /OHXL - - permanent object as discussed QUANTLIBADDIN - RSG factory - - default loopingparameter - - default depencyTrigger - - default Optimization method in interpolation.xml (sabr) - - return std::pair (see locate for swaptionvolmatrix) - export ImpliedCurve - export PathGeneration --- 77,83 ---- *************** *** 96,107 **** - VANILLA SWAP signature - export discount, loglinear selection - - enforce version number check - - export Quote (see RateHelpers) - use QL folder structure - creare SWAP indexes enumeration - type coercion - - implicit convertion of QuantLib::Rate input parameter is failing - - BOND: add loopParameters - - iterator input support - freeze, unfreeze objects --- 85,91 ---- *************** *** 113,118 **** - why RateHelpersReutersFeed keeps changing? - merge old QuantLibXL functions - - enforce version number check - - why YCbootstrapping fails if RateHelpers.xls is open? - more calendar drop down cell menu - CALENDAR: default parameter (Following doesn't work) --- 97,100 ---- *************** *** 126,129 **** - INTERPOLATION: spostare vecchi spreadsheets - signed spreadsheet and macro - - normsdist bug - --- 108,109 ---- |
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From: Giorgio F. <gi...@us...> - 2006-09-12 09:38:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5556/qlo Added Files: cmsmarket.cpp cmsmarket.hpp vo_cmsmarket.cpp vo_cmsmarket.hpp Log Message: Added files --- NEW FILE: cmsmarket.hpp --- /* Copyright (C) 2006 Giorgio Facchinetti This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_cmsmarket_hpp #define qla_cmsmarket_hpp #include <oh/objhandler.hpp> #include <ql/swaptionvolstructure.hpp> //#include <ql/Volatilities/swaptionvolcubebysabr.hpp> #include <ql/Volatilities/cmsmarket.hpp> #include <ql/termstructure.hpp> #include <ql/CashFlows/conundrumpricer.hpp> namespace QuantLibAddin { class CmsMarket: public ObjHandler::LibraryObject<QuantLib::CmsMarket>{ public: CmsMarket( const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, const QuantLib::Matrix& bidsAsks, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volStructure, const std::string & typeOfVanillaCMSCouponPricer, const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); }; } #endif --- NEW FILE: cmsmarket.cpp --- /* Copyright (C) 2006 Giorgio Facchinetti This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <qlo/cmsmarket.hpp> #include <qlo/couponvectors.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> namespace QuantLibAddin { CmsMarket::CmsMarket( const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& lengths, const QuantLib::Matrix& bidsAsks, const QuantLib::Matrix& meanReversions, const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure, const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volStructure, const std::string & typeOfVanillaCMSCouponPricer, const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve); boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject(); libraryObject_ = boost::shared_ptr<QuantLib::CmsMarket>( new QuantLib::CmsMarket( expiries, lengths, bidsAsks, meanReversions, pricer, yieldTermStructure, volStructure)); } } --- NEW FILE: vo_cmsmarket.hpp --- /* Copyright (C) 2005, 2006 Plamen Neykov This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #ifndef qla_vo_cmsmarket_hpp #define qla_vo_cmsmarket_hpp #include <oh/valueobject.hpp> #include <string> #include <vector> #include <boost/any.hpp> namespace QuantLibAddin { namespace ValueObjects { class qlCmsMarket : public ObjHandler::ValueObject { public: qlCmsMarket( const std::string& objectID, const std::vector<std::string>& expiries, const std::vector<std::string>& swapLengths, const std::vector<std::vector <double> >& bidsAsks, const std::vector<std::vector <double> >& meanReversions, const std::string& YTStructure, const std::string& volStructure, const std::string& VanillaCMSCouponPricerType, const std::string& modelOfYieldCurve); std::vector<std::string> getPropertyNames() const; boost::any getProperty(const std::string& name) const; protected: static const char* mPropertyNames[]; std::string objectID_; std::vector<std::string> expiries_; std::vector<std::string> swapLengths_; std::vector<std::vector <double> > bidsAsks_; std::vector<std::vector <double> > meanReversions_; std::string YTStructure_; std::string volStructure_; std::string VanillaCMSCouponPricerType_; std::string modelOfYieldCurve_; }; } } #endif --- NEW FILE: vo_cmsmarket.cpp --- /* Copyright (C) 2005, 2006 Plamen Neykov This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> #include <qlo/conversions.hpp> #include <qlo/cmsmarket.hpp> #include <qlo/vo_cmsmarket.hpp> namespace QuantLibAddin { namespace ValueObjects { const char* qlCmsMarket::mPropertyNames[] = { "objectID", "expiries", "swapLengths", "bidsAsks", "meanReversions", "YTStructure", "volStructure", "VanillaCMSCouponPricerType", "modelOfYieldCurve"}; std::vector<std::string> qlCmsMarket::getPropertyNames() const { return std::vector<std::string>( mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*)); } boost::any qlCmsMarket::getProperty(const std::string& name) const { if(name == "objectID") return objectID_; else if(name == "expiries") return expiries_; else if(name == "swapLengths") return swapLengths_; else if(name == "bidsAsks") return bidsAsks_; else if(name == "meanReversions") return meanReversions_; else if(name == "YTStructure") return YTStructure_; else if(name == "volStructure") return volStructure_; else if(name == "VanillaCMSCouponPricerType") return VanillaCMSCouponPricerType_; else if(name == "modelOfYieldCurve") return modelOfYieldCurve_; else throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'"); return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */ } qlCmsMarket::qlCmsMarket( const std::string& objectID, const std::vector<std::string>& expiries, const std::vector<std::string>& swapLengths, const std::vector<std::vector <double> >& bidsAsks, const std::vector<std::vector <double> >& meanReversions, const std::string& YTStructure, const std::string& volStructure, const std::string& VanillaCMSCouponPricerType, const std::string& modelOfYieldCurve) : objectID_(objectID), expiries_(expiries), swapLengths_(swapLengths), bidsAsks_(bidsAsks), meanReversions_(meanReversions), YTStructure_(YTStructure), volStructure_(volStructure), VanillaCMSCouponPricerType_(VanillaCMSCouponPricerType), modelOfYieldCurve_(modelOfYieldCurve) {} } } |
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From: Giorgio F. <gi...@us...> - 2006-09-12 09:38:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5556/gensrc Modified Files: Makefile.vc gensrc.vcproj Log Message: Added files Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** Makefile.vc 30 Aug 2006 09:18:01 -0000 1.26 --- Makefile.vc 12 Sep 2006 09:38:25 -0000 1.27 *************** *** 14,17 **** --- 14,18 ---- metadata\capletvolstructure.xml \ metadata\capfloor.xml \ + metadata\cmsmarket.xml \ metadata\couponvectors.xml \ metadata\date.xml \ Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** gensrc.vcproj 28 Aug 2006 16:00:05 -0000 1.19 --- gensrc.vcproj 12 Sep 2006 09:38:25 -0000 1.20 *************** *** 52,55 **** --- 52,58 ---- </File> <File + RelativePath=".\metadata\cmsmarket.xml"> + </File> + <File RelativePath="metadata\couponvectors.xml"> </File> |
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From: Giorgio F. <gi...@us...> - 2006-09-12 09:38:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5556/gensrc/metadata Added Files: cmsmarket.xml Log Message: Added files --- NEW FILE: cmsmarket.xml --- <Category name='cmsmarket'> <description>functions to construct and use CmsMarket objects</description> <displayName>Cms Market</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>ql/Volatilities/cmsmarket.hpp</include> <include>qlo/cmsmarket.hpp</include> <include>qlo/vo_cmsmarket.hpp</include> <include>qlo/swaptionvolstructure.hpp</include> </includes> <copyright> Copyright (C) 2006 Giorgio Facchinetti </copyright> <Functions> <!-- CmsMarket constructors --> <Constructor name='qlCmsMarket'> <libraryFunction>CmsMarket</libraryFunction> <functionCategory>QuantLib</functionCategory> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='expiries' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>cms matrix's expiries as periods</description> </Parameter> <Parameter name='swapLengths' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>vector</tensorRank> <description>cms matrix's underlying swap lengths</description> </Parameter> <Parameter name='bidsAsks' libraryType='QuantLib::Matrix'> <type>double</type> <tensorRank>matrix</tensorRank> <description>matrix of bid and ask cms spreads.</description> </Parameter> <Parameter name='meanReversions' libraryType='QuantLib::Matrix'> <type>double</type> <tensorRank>matrix</tensorRank> <description>mean reversions.</description> </Parameter> <Parameter name='YTStructure' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Yield term structure</description> </Parameter> <Parameter name='volStructure' libToHandle='SwaptionVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>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> </Functions> </Category> |
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From: Giorgio F. <gi...@us...> - 2006-09-12 09:38:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5556/gensrc/config Modified Files: config.xml Log Message: Added files Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** config.xml 1 Sep 2006 10:45:48 -0000 1.27 --- config.xml 12 Sep 2006 09:38:25 -0000 1.28 *************** *** 15,18 **** --- 15,19 ---- <categoryName>capfloor</categoryName> <categoryName>capletvolstructure</categoryName> + <categoryName>cmsmarket</categoryName> <categoryName>couponvectors</categoryName> <categoryName>date</categoryName> |
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From: Giorgio F. <gi...@us...> - 2006-09-12 09:38:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5556 Modified Files: QuantLibObjects.vcproj Log Message: Added files Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** QuantLibObjects.vcproj 7 Sep 2006 21:27:37 -0000 1.33 --- QuantLibObjects.vcproj 12 Sep 2006 09:38:25 -0000 1.34 *************** *** 335,338 **** --- 335,341 ---- Filter=""> <File + RelativePath="qlo\calendarfactory.cpp"> + </File> + <File RelativePath="qlo\enumclassctors.cpp"> </File> *************** *** 347,353 **** </File> <File - RelativePath="qlo\calendarfactory.cpp"> - </File> - <File RelativePath="qlo\typefactory.hpp"> </File> --- 350,353 ---- *************** *** 384,387 **** --- 384,393 ---- </File> <File + RelativePath=".\qlo\vo_cmsmarket.cpp"> + </File> + <File + RelativePath=".\qlo\vo_cmsmarket.hpp"> + </File> + <File RelativePath=".\qlo\vo_couponvectors.cpp"> </File> *************** *** 733,736 **** --- 739,748 ---- </File> <File + RelativePath=".\qlo\cmsmarket.cpp"> + </File> + <File + RelativePath=".\qlo\cmsmarket.hpp"> + </File> + <File RelativePath="qlo\swaptionvolstructure.cpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-09-12 09:20:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30560 Removed Files: todo.txt Log Message: --- todo.txt DELETED --- |
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From: Ferdinando A. <na...@us...> - 2006-09-12 09:16:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28833 Modified Files: todo.csv Log Message: updated Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** todo.csv 8 Sep 2006 08:23:11 -0000 1.49 --- todo.csv 12 Sep 2006 09:16:29 -0000 1.50 *************** *** 1,44 **** project,subproject,task,status,priority,comp date,comment ! ! QLA,General Support,bring the C Addin and QuantLibXLDynamic up to date,,,, ! QLA,Design,right-click error messages - allow user to click anywhere in the range,,,, ! QLA,Design,loop functions: 1) template 2) Procedures 3) error per iteration,,,, ! QLA,Documentation,segregate documentation for QLA / QLXL / OH,,,, ! QLA,Design,right-click enumerations: implement proper design using hidden sheet,,,, ! QLA,Design,enumeration aliases - map multiple strings to single enum value,,,, ! ! QLA,Enumerations,EuriborSwapFixA - fix design problems,,1,, ! OH,Design,ohLastErrorMessage() - analyze a better approach for error handling and diagnostics,,1,, ! OH,Design,ohDummyObject() to create an empty object for demo purposes,,1,, ! QLA,Enumerations,"enumeration as return value (string) should be same as the input value Period, DayCounter",,1,, ! all,General Support,NSIS installers - uninstall old app before installing new,,2,, gensrc,Design,remove platform-specific configuration/code from core gensrc app,,2,, ! all,General Support,migrate gensrc/OH/QLA/QLXL sourceforge projects back into QL,,2,,need to resolve name conflict for QLXL module ! OH,Design,update design doc,,2,, QLA,Design,#include fewer headers to speed compilation,,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" ! QLA,General Support,performance profile of workbook YieldCurveMonitor.xls,,2,, ! QLA,VBA framework,network launcher/updater for VBA framework - to point to different environments / configuration files,,2,, ! QLA,Design,"add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,3,, ! QLA,Design,use Excel SmartTags to allow interrogation of objects,,3,, ! QLA,Docs,"autogenerate documentation for datatype, default value, platform, loop",,3,,organize docs appropriately for OH/QLA/QLXL ! QLA,Enumerations,enums as function inputs: optional description suffixed with generic description taken from enum metadata,,3,, ! QLA,Functions,port old QLXL functionality into new QLXL,,3,, ! QLA,General Support,"C++ examples - add VOs, NPV calculations",,3,, ! QLA,gensrc,replace Serializer class with Reader class since we will never DeSerialize anything,,3,, ! QLA,VBA framework,design for real-time live feed,,3,, ! QLA,VBA framework,menu options to load/unload XLL/XLA implement as toggle,in progress,3,, ! OH,Design,"""reflection"" - support member functions dynamically",,4,, OH,Design,Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.,,4,, ! OH,Design,allow objects to be grouped,,4,, ! QLA,Design,"Sessions: instead of using workbook as session, allow user to specify session number",,4,, ! QLA,Enumerations,"add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,4,, ! QLA,General Support,count the number of functions available in the addin,,4,, ! QLA,General Support,calculate memory usage of repository,,4,, ! QLA,gensrc,Provide schema for XML,,4,, ! QLA,gensrc,extend rule.py to support conversion of Guile datatypes,,4,, ! QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,4,, ! QLA,VBA framework,access logfile (GUI browser),,4,, QLA,VBA framework,interrogate object repository (GUI browser),,4,,Plamen? ! QLA,Enumerations,port ET/EC registry from QuantLibXL to ObjectHandler,on hold,,,requires redesign to allow multiple XLLs to share global Registry ! QLA,General Support,YC bootstrap fails if workbook RateHelpers.xls is open,on hold,0,,unable to recreate problem (reuters required?) ! gensrc,Design,Increase max # params for Excel functions,done,,, --- 1,44 ---- 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,, ! QLA,Design,Joint Calendar as other Calendar (with special string),,2,, ! 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,, ! QLA,Design,right-click error messages - allow user to click anywhere in the range,,2,, ! QLA,Design,loop functions: 1) template 2) Procedures 3) error per iteration,,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,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,on hold,2,, ! 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,Enumerations,"enumeration as return value (string) should be same as the input value Period, DayCounter",on hold,3,, ! QLA,gensrc,Provide schema for XML,,3,, ! QLA,VBA framework,design for real-time live feed,on hold,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,"autogenerate documentation for datatype, default value, platform, loop",,4,,organize docs appropriately for OH/QLA/QLXL ! 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,menu options to load/unload XLL/XLA implement as toggle,cancelled,4,, QLA,VBA framework,interrogate object repository (GUI browser),,4,,Plamen? ! gensrc,Design,Increase max # params for Excel functions,done,5,, ! OH,Design,"""reflection"" - support member functions dynamically",,5,, ! OH,Design,allow objects to be grouped,,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,Enumerations,port ET/EC registry from QuantLibXL to ObjectHandler,on hold,5,,requires redesign to allow multiple XLLs to share global Registry ! QLA,General Support,bring the C Addin and QuantLibXLDynamic up to date,,5,, ! QLA,General Support,count the number of functions available in the addin,,5,, ! QLA,General Support,calculate memory usage of repository,,5,, ! QLA,gensrc,extend rule.py to support conversion of Guile datatypes,,5,, ! QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,5,, ! QLA,VBA framework,access logfile (GUI browser),,5,, ! ,,move stub.enum.types out of GenSrc into QLA,,,, |
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From: Giorgio F. <gi...@us...> - 2006-09-12 08:15:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3479/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: work in progress ... Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.49 retrieving revision 1.50 diff -C2 -d -r1.49 -r1.50 *** swaptionvolstructure.xml 8 Sep 2006 10:05:06 -0000 1.49 --- swaptionvolstructure.xml 12 Sep 2006 08:15:43 -0000 1.50 *************** *** 672,679 **** ! <!-- VarianceSmileSection constructors --> ! <Constructor name='qlVarianceSmileSection'> ! <libraryFunction>VarianceSmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <supportedPlatforms> --- 672,679 ---- ! <!-- SmileSection constructors --> ! <Constructor name='qlSmileSection'> ! <libraryFunction>SmileSection</libraryFunction> <functionCategory>QuantLib</functionCategory> <supportedPlatforms> *************** *** 701,706 **** </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='VarianceSmileSection'> ! <description>Return the volatility from VarianceSmileSection</description> <libraryFunction>volatility</libraryFunction> <supportedPlatforms> --- 701,706 ---- </Constructor> ! <Member name='qlVolatilityFromSmile' libraryClass='SmileSection'> ! <description>Return the volatility from SmileSection</description> <libraryFunction>volatility</libraryFunction> <supportedPlatforms> |
