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From: Mario P. <mar...@us...> - 2006-09-06 14:27:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8561/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: name change Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** swaptionvolstructure.xml 6 Sep 2006 13:48:50 -0000 1.47 --- swaptionvolstructure.xml 6 Sep 2006 14:27:44 -0000 1.48 *************** *** 410,417 **** </Member> ! <!-- SwaptionVolatilityCube constructors --> ! <Constructor name='qlSwaptionVolatilityCube'> ! <libraryFunction>SwaptionVolatilityCube</libraryFunction> <functionCategory>QuantLib</functionCategory> <supportedPlatforms> --- 410,417 ---- </Member> ! <!-- SwaptionVolatilityCubeByLinear constructors --> ! <Constructor name='qlSwaptionVolatilityCubeByLinear'> ! <libraryFunction>SwaptionVolatilityCubeByLinear</libraryFunction> <functionCategory>QuantLib</functionCategory> <supportedPlatforms> *************** *** 578,584 **** </Constructor> ! <!-- SwaptionVolatilityCube interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> --- 578,584 ---- </Constructor> ! <!-- SwaptionVolatilityCubeByLinear interface --> ! <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCubeByLinear'> <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> <libraryFunction>atmStrike</libraryFunction> |
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From: Mario P. <mar...@us...> - 2006-09-06 13:49:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24335/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: eliminated useless paramater maxTolerance Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.46 retrieving revision 1.47 diff -C2 -d -r1.46 -r1.47 *** swaptionvolstructure.xml 6 Sep 2006 10:14:21 -0000 1.46 --- swaptionvolstructure.xml 6 Sep 2006 13:48:50 -0000 1.47 *************** *** 574,582 **** <description>if TRUE parameter guess is not calibrated.</description> </Parameter> - <Parameter name='maxTol'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>maximum tolerance allowed for calibration</description> - </Parameter> </Parameters> </ParameterList> --- 574,577 ---- |
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From: Cristina D. <cdu...@us...> - 2006-09-06 12:42:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28366/qlo Modified Files: couponvectors.cpp Log Message: now the flowAnalysis return the vector of cap/floor rates if the cashflow is a CMSCoupon Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** couponvectors.cpp 6 Sep 2006 09:14:37 -0000 1.30 --- couponvectors.cpp 6 Sep 2006 12:42:02 -0000 1.31 *************** *** 101,121 **** boost::dynamic_pointer_cast<QuantLib::CMSCoupon>( cashflows[i]); ! if (floatingCoupon!=0) { ! cf[ 9]=floatingCoupon->fixingDays(); ! cf[10]=floatingCoupon->fixingDate().serialNumber(); ! cf[11]=floatingCoupon->index()->name(); ! cf[12]=std::string("N/A"); ! cf[13]=floatingCoupon->gearing(); ! try { ! cf[14]=floatingCoupon->indexFixing(); ! } catch(...) { ! } ! try { ! cf[15]=floatingCoupon->convexityAdjustment(); ! } catch(...) { ! } ! cf[16]=floatingCoupon->spread(); ! cf[17]=std::string("N/A"); ! } else if (cmsCoupon!=0) { cf[ 9]=cmsCoupon->fixingDays(); cf[10]=cmsCoupon->fixingDate().serialNumber(); --- 101,105 ---- boost::dynamic_pointer_cast<QuantLib::CMSCoupon>( cashflows[i]); ! if (cmsCoupon!=0) { cf[ 9]=cmsCoupon->fixingDays(); cf[10]=cmsCoupon->fixingDate().serialNumber(); *************** *** 134,137 **** --- 118,137 ---- cf[16]=cmsCoupon->spread(); cf[17]=cmsCoupon->cap(); + } else if (floatingCoupon!=0) { + cf[ 9]=floatingCoupon->fixingDays(); + cf[10]=floatingCoupon->fixingDate().serialNumber(); + cf[11]=floatingCoupon->index()->name(); + cf[12]=std::string("N/A"); + cf[13]=floatingCoupon->gearing(); + try { + cf[14]=floatingCoupon->indexFixing(); + } catch(...) { + } + try { + cf[15]=floatingCoupon->convexityAdjustment(); + } catch(...) { + } + cf[16]=floatingCoupon->spread(); + cf[17]=std::string("N/A"); } flowAnalysis_.push_back(cf); |
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From: Mario P. <mar...@us...> - 2006-09-06 12:01:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11628/qlo Modified Files: swaptionvolstructure.cpp Log Message: English typo Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** swaptionvolstructure.cpp 6 Sep 2006 10:14:21 -0000 1.22 --- swaptionvolstructure.cpp 6 Sep 2006 12:01:11 -0000 1.23 *************** *** 179,183 **** std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Swap Lenght"); headings[1]=std::string("Expiriy"); --- 179,183 ---- std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Swap Length"); headings[1]=std::string("Expiriy"); *************** *** 211,215 **** std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Swap Lenght"); headings[1]=std::string("Expiriy"); --- 211,215 ---- std::vector<boost::any> headings(numberOfColumn); ! headings[0]=std::string("Swap Length"); headings[1]=std::string("Expiriy"); |
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From: Giorgio F. <gi...@us...> - 2006-09-06 10:14:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31787/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: work in progress ... Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** swaptionvolstructure.cpp 6 Sep 2006 08:14:21 -0000 1.21 --- swaptionvolstructure.cpp 6 Sep 2006 10:14:21 -0000 1.22 *************** *** 142,153 **** QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! const std::vector<double>& guess, ! bool isBetaFixed, double maxTolerance) { - - const double alpha = guess[0]; - const double beta = guess[1]; - const double nu = guess[2]; - const double rho = guess[3]; libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( --- 142,148 ---- QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! const QuantLib::Matrix& parametersGuess, ! std::vector<bool> isParameterFixed, double maxTolerance) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( *************** *** 166,174 **** shortTenor, iborIndexShortTenor, ! alpha, ! beta, ! nu, ! rho, ! isBetaFixed, maxTolerance)); const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> --- 161,166 ---- shortTenor, iborIndexShortTenor, ! parametersGuess, ! isParameterFixed, maxTolerance)); const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** swaptionvolstructure.hpp 5 Sep 2006 15:27:28 -0000 1.18 --- swaptionvolstructure.hpp 6 Sep 2006 10:14:21 -0000 1.19 *************** *** 98,103 **** QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! const std::vector<double>& guess, ! bool isBetaFixed = true, double maxTolerance = 1E-4); --- 98,103 ---- QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! const QuantLib::Matrix& parametersGuess, ! std::vector<bool> isParameterFixed, double maxTolerance = 1E-4); |
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From: Giorgio F. <gi...@us...> - 2006-09-06 10:14:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31787/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 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** swaptionvolstructure.xml 5 Sep 2006 15:27:28 -0000 1.45 --- swaptionvolstructure.xml 6 Sep 2006 10:14:21 -0000 1.46 *************** *** 564,576 **** <description>floating leg short tenor Index</description> </Parameter> ! <Parameter name='guess'> <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>initial guess for alpha, beta, nu, rho</description> </Parameter> ! <Parameter name='isBetaFixed'> <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>if TRUE beta guess is not calibrated</description> </Parameter> <Parameter name='maxTol'> --- 564,576 ---- <description>floating leg short tenor Index</description> </Parameter> ! <Parameter name='parametersGuess' libraryType='QuantLib::Matrix'> <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>matrix of parameters guess.</description> </Parameter> ! <Parameter name='isParamFixed'> <type>bool</type> ! <tensorRank>vector</tensorRank> ! <description>if TRUE parameter guess is not calibrated.</description> </Parameter> <Parameter name='maxTol'> |
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From: Chiara F. <chi...@us...> - 2006-09-06 10:01:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25981/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp typefactory.hpp Log Message: Esposed EurLibor index to excel Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** enumclassctors.cpp 30 Aug 2006 15:16:33 -0000 1.19 --- enumclassctors.cpp 6 Sep 2006 10:01:00 -0000 1.20 *************** *** 435,438 **** --- 435,514 ---- EuriborHandle::instance().handleYieldTermStructure())); } + /* *** EURLibor *** */ + boost::shared_ptr<QuantLib::Index> EURLIBOR_SW() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLiborSW( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_2W() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor2W( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_3W() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor3W( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_1M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor1M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_2M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor2M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_3M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor3M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_4M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor4M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_5M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor5M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_6M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor6M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_7M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor7M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_8M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor8M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_9M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor9M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_10M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor10M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_11M() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor11M( + EURLiborHandle::instance().handleYieldTermStructure())); + } + boost::shared_ptr<QuantLib::Index> EURLIBOR_1Y() { + return boost::shared_ptr<QuantLib::Index>( + new QuantLib::EURLibor1Y( + EURLiborHandle::instance().handleYieldTermStructure())); + } /* *** EuriborSwapFixA *** */ boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_1Y() { Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** enumclassctors.hpp 30 Aug 2006 15:16:33 -0000 1.17 --- enumclassctors.hpp 6 Sep 2006 10:01:00 -0000 1.18 *************** *** 181,184 **** --- 181,200 ---- boost::shared_ptr<QuantLib::Index> EURIBOR_11M(); boost::shared_ptr<QuantLib::Index> EURIBOR_1Y(); + /* *** EURLibor *** */ + boost::shared_ptr<QuantLib::Index> EURLIBOR_SW(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_2W(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_3W(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_1M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_2M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_3M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_4M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_5M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_6M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_7M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_8M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_9M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_10M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_11M(); + boost::shared_ptr<QuantLib::Index> EURLIBOR_1Y(); /* *** EuriborSwapFixA *** */ boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_1Y(); Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** typefactory.hpp 30 Aug 2006 15:16:33 -0000 1.32 --- typefactory.hpp 6 Sep 2006 10:01:00 -0000 1.33 *************** *** 27,30 **** --- 27,31 ---- #include <ql/Indexes/euribor.hpp> #include <ql/Indexes/euriborswapfixa.hpp> + #include <ql/Indexes/eurlibor.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <ql/CashFlows/cmscoupon.hpp> *************** *** 243,246 **** --- 244,262 ---- }; + // a singleton to store the Handle<YieldTermStructure> + // shared by all enumerated EURLibor classes + class EURLiborHandle : public QuantLib::Singleton<EURLiborHandle> { + friend class QuantLib::Singleton<EURLiborHandle>; + public: + const QuantLib::Handle<QuantLib::YieldTermStructure> &handleYieldTermStructure() const { + return handleYieldTermStructure_; + } + void linkEURLiborHandle(boost::shared_ptr<QuantLib::YieldTermStructure> yieldTermStructure) { + handleYieldTermStructure_.linkTo(yieldTermStructure); + } + private: + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure_; + }; + ///* *** Index *** */ typedef boost::shared_ptr<QuantLib::Index>(*IndexConstructor)(); |
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From: Chiara F. <chi...@us...> - 2006-09-06 10:01:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25981/gensrc/metadata Modified Files: enumclasses.xml Log Message: Esposed EurLibor index to excel Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** enumclasses.xml 4 Sep 2006 19:21:04 -0000 1.11 --- enumclasses.xml 6 Sep 2006 10:01:00 -0000 1.12 *************** *** 1,8 **** <root> <enumClassCopyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano </enumClassCopyright> <Enumerations> --- 1,9 ---- <root> <enumClassCopyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Chiara Fornarola </enumClassCopyright> <Enumerations> *************** *** 312,315 **** --- 313,392 ---- <libraryClass>QuantLib::Euribor1Y</libraryClass> </EnumerationDefinition> + <!-- QuantLib::EurLibor --> + <EnumerationDefinition> + <string>EURLiborSW</string> + <value>EURLIBOR_SW</value> + <libraryClass>QuantLib::EURLiborSW</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor2W</string> + <value>EURLIBOR_2W</value> + <libraryClass>QuantLib::EURLibor2W</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor3W</string> + <value>EURLIBOR_3W</value> + <libraryClass>QuantLib::EURLibor3W</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor1M</string> + <value>EURLIBOR_1M</value> + <libraryClass>QuantLib::EURLibor1M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor2M</string> + <value>EURLIBOR_2M</value> + <libraryClass>QuantLib::EURLibor2M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor3M</string> + <value>EURLIBOR_3M</value> + <libraryClass>QuantLib::EURLibor3M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor4M</string> + <value>EURLIBOR_4M</value> + <libraryClass>QuantLib::EURLibor4M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor5M</string> + <value>EURLIBOR_5M</value> + <libraryClass>QuantLib::EURLibor5M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor6M</string> + <value>EURLIBOR_6M</value> + <libraryClass>QuantLib::EURLibor6M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor7M</string> + <value>EURLIBOR_7M</value> + <libraryClass>QuantLib::EURLibor7M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor8M</string> + <value>EURLIBOR_8M</value> + <libraryClass>QuantLib::EURLibor8M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor9M</string> + <value>EURLIBOR_9M</value> + <libraryClass>QuantLib::EURLibor9M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor10M</string> + <value>EURLIBOR_10M</value> + <libraryClass>QuantLib::EURLibor10M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor11M</string> + <value>EURLIBOR_11M</value> + <libraryClass>QuantLib::EURLibor11M</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EURLibor1Y</string> + <value>EURLIBOR_1Y</value> + <libraryClass>QuantLib::EURLibor1Y</libraryClass> + </EnumerationDefinition> <!-- QuantLib::EuriborSwapFixA --> <EnumerationDefinition> |
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From: Ferdinando A. <na...@us...> - 2006-09-06 09:49:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21258/gensrc/metadata Modified Files: index.xml Log Message: removing Xibor::frequency() (which will be deprecated soon) Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** index.xml 4 Sep 2006 19:21:04 -0000 1.34 --- index.xml 6 Sep 2006 09:49:49 -0000 1.35 *************** *** 197,261 **** </ReturnValue> </Member> - - <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> - <description>retrieve the value date for Index object</description> - <libraryFunction>valueDate</libraryFunction> - <supportedPlatforms> - <supportedPlatform>excel</supportedPlatform> - </supportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='fixingDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>fixing date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - - - <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> - <description>retrieve the maturity date for Index object</description> - <libraryFunction>maturityDate</libraryFunction> - <supportedPlatforms> - <supportedPlatform>excel</supportedPlatform> - </supportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='valueDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>value date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> ! <!-- Xibor interface --> ! <Member name='qlXiborIndexFrequency' libraryClass='Xibor'> ! <description>retrieve the frequency for the given Index (e.g. annual)</description> ! <libraryFunction>frequency</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Frequency'> ! <type>string</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlXiborIndexIsAdjusted' libraryClass='Xibor'> <description>returns TRUE if business day convention is of type adjusted and FALSE otherwise.</description> --- 197,245 ---- </ReturnValue> </Member> ! <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> ! <description>retrieve the value date for Index object</description> ! <libraryFunction>valueDate</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> ! <description>retrieve the maturity date for Index object</description> ! <libraryFunction>maturityDate</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name='valueDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>value date</description> ! </Parameter> ! </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> + <!-- Xibor interface --> + <Member name='qlXiborIndexIsAdjusted' libraryClass='Xibor'> <description>returns TRUE if business day convention is of type adjusted and FALSE otherwise.</description> |
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From: Cristina D. <cdu...@us...> - 2006-09-06 09:14:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6250/qlo Modified Files: couponvectors.cpp Log Message: removed useless code Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** couponvectors.cpp 6 Sep 2006 08:44:31 -0000 1.29 --- couponvectors.cpp 6 Sep 2006 09:14:37 -0000 1.30 *************** *** 73,77 **** cf[1]=cashflows[i]->amount(); } catch(...) { - cf[1]=std::string("N/A"); } boost::shared_ptr<QuantLib::SimpleCashFlow> simpleCashFlow = --- 73,76 ---- *************** *** 95,99 **** cf[8]=c->rate(); } catch(...) { - cf[8]=std::string("N/A"); } boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = --- 94,97 ---- *************** *** 112,121 **** cf[14]=floatingCoupon->indexFixing(); } catch(...) { - cf[14]=std::string("N/A"); } try { cf[15]=floatingCoupon->convexityAdjustment(); } catch(...) { - cf[15]=std::string("N/A"); } cf[16]=floatingCoupon->spread(); --- 110,117 ---- *************** *** 130,134 **** cf[14]=cmsCoupon->indexFixing(); } catch(...) { - cf[14]=std::string("N/A"); } try { --- 126,129 ---- *************** *** 136,140 **** } catch(...) { - cf[15]=std::string("N/A"); } cf[16]=cmsCoupon->spread(); --- 131,134 ---- |
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From: Cristina D. <cdu...@us...> - 2006-09-06 08:44:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25901/qlo Modified Files: couponvectors.cpp Log Message: Management of returned errors in coupon inspectors methods, using try-cach blocks. Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** couponvectors.cpp 5 Sep 2006 07:49:04 -0000 1.28 --- couponvectors.cpp 6 Sep 2006 08:44:31 -0000 1.29 *************** *** 70,75 **** std::vector<boost::any> cf(numberOfColumn, std::string("N/A")); cf[0]=cashflows[i]->date().serialNumber(); ! cf[1]=cashflows[i]->amount(); ! boost::shared_ptr<QuantLib::SimpleCashFlow> simpleCashFlow = boost::dynamic_pointer_cast<QuantLib::SimpleCashFlow>(cashflows[i]); --- 70,78 ---- std::vector<boost::any> cf(numberOfColumn, std::string("N/A")); cf[0]=cashflows[i]->date().serialNumber(); ! try { ! cf[1]=cashflows[i]->amount(); ! } catch(...) { ! cf[1]=std::string("N/A"); ! } boost::shared_ptr<QuantLib::SimpleCashFlow> simpleCashFlow = boost::dynamic_pointer_cast<QuantLib::SimpleCashFlow>(cashflows[i]); *************** *** 89,94 **** cf[6]=c->dayCounter().name(); cf[7]=c->accrualPeriod(); ! cf[8]=c->rate(); ! boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>( --- 92,100 ---- cf[6]=c->dayCounter().name(); cf[7]=c->accrualPeriod(); ! try { ! cf[8]=c->rate(); ! } catch(...) { ! cf[8]=std::string("N/A"); ! } boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>( *************** *** 103,108 **** cf[12]=std::string("N/A"); cf[13]=floatingCoupon->gearing(); ! cf[14]=floatingCoupon->indexFixing(); ! cf[15]=floatingCoupon->convexityAdjustment(); cf[16]=floatingCoupon->spread(); cf[17]=std::string("N/A"); --- 109,122 ---- cf[12]=std::string("N/A"); cf[13]=floatingCoupon->gearing(); ! try { ! cf[14]=floatingCoupon->indexFixing(); ! } catch(...) { ! cf[14]=std::string("N/A"); ! } ! try { ! cf[15]=floatingCoupon->convexityAdjustment(); ! } catch(...) { ! cf[15]=std::string("N/A"); ! } cf[16]=floatingCoupon->spread(); cf[17]=std::string("N/A"); *************** *** 113,118 **** cf[12]=cmsCoupon->floor(); cf[13]=cmsCoupon->gearing(); ! cf[14]=cmsCoupon->indexFixing(); ! cf[15]=cmsCoupon->convexityAdjustment(); cf[16]=cmsCoupon->spread(); cf[17]=cmsCoupon->cap(); --- 127,141 ---- cf[12]=cmsCoupon->floor(); cf[13]=cmsCoupon->gearing(); ! try { ! cf[14]=cmsCoupon->indexFixing(); ! } catch(...) { ! cf[14]=std::string("N/A"); ! } ! try { ! cf[15]=cmsCoupon->convexityAdjustment(); ! } ! catch(...) { ! cf[15]=std::string("N/A"); ! } cf[16]=cmsCoupon->spread(); cf[17]=cmsCoupon->cap(); |
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From: Mario P. <mar...@us...> - 2006-09-06 08:14:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13487/qlo Modified Files: swaptionvolstructure.cpp Log Message: non fixed beta calibration activated Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** swaptionvolstructure.cpp 5 Sep 2006 15:27:28 -0000 1.20 --- swaptionvolstructure.cpp 6 Sep 2006 08:14:21 -0000 1.21 *************** *** 170,174 **** nu, rho, ! true, maxTolerance)); const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> --- 170,174 ---- nu, rho, ! isBetaFixed, maxTolerance)); const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> |
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From: Ferdinando A. <na...@us...> - 2006-09-05 17:50:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14530/gensrc/metadata Modified Files: marketmodels.xml Log Message: caplet calibration Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** marketmodels.xml 4 Sep 2006 19:21:04 -0000 1.31 --- marketmodels.xml 5 Sep 2006 17:50:19 -0000 1.32 *************** *** 957,963 **** </Member> ! <Member name='qlAbcdCalibrate' libraryClass='Abcd'> <description>Calibrates the a, b, c, d parameters of the vol parametrization</description> ! <libraryFunction>calibrate</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 957,963 ---- </Member> ! <Member name='qlAbcdCapletCalibration' libraryClass='Abcd'> <description>Calibrates the a, b, c, d parameters of the vol parametrization</description> ! <libraryFunction>capletCalibration</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> |
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From: Ferdinando A. <na...@us...> - 2006-09-05 17:35:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8370/gensrc/metadata Modified Files: enumtypes.xml Log Message: accounting for DayCounter::name() string as valid input string Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** enumtypes.xml 4 Sep 2006 19:21:04 -0000 1.16 --- enumtypes.xml 5 Sep 2006 17:35:43 -0000 1.17 *************** *** 758,761 **** --- 758,765 ---- <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> + <EnumerationDefinition> + <string>30E/360 (Eurobond Basis)</string> + <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> + </EnumerationDefinition> <!-- NON-ISDA --> |
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From: Eric E. <eri...@us...> - 2006-09-05 17:35:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8307 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** todo.csv 5 Sep 2006 09:59:41 -0000 1.47 --- todo.csv 5 Sep 2006 17:35:09 -0000 1.48 *************** *** 1,38 **** ! "project","subproject","task","status","priority","comp date","comment" ! ,,,,,, ! "gensrc","Design","Increase max # params for Excel functions",,,, ! "gensrc","Design","Extend loop functionality to Procedure class",,,, ! "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) ï¾ should be same as the input value ï¾ 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",,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 ï¾ 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 ï¾ 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?)" --- 1,38 ---- ! project,subproject,task,status,priority,comp date,comment ! ! gensrc,Design,Extend loop functionality to Procedure class,,,, ! 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) ï¾ should be same as the input value ï¾ 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",,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 ï¾ 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 ï¾ 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,,, |
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From: Mario P. <mar...@us...> - 2006-09-05 15:27:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19331/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 1.44 retrieving revision 1.45 diff -C2 -d -r1.44 -r1.45 *** swaptionvolstructure.xml 5 Sep 2006 08:28:33 -0000 1.44 --- swaptionvolstructure.xml 5 Sep 2006 15:27:28 -0000 1.45 *************** *** 529,548 **** <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='swapSettlementDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>underlying swap settlement days (e.g. 2)</description> </Parameter> ! <Parameter name='fixedLegFreq' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>swap's fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> ! <Parameter name='fixedLegBDC' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>swap's fixed leg business day convention</description> </Parameter> ! <Parameter name='fixedLegDC' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> --- 529,548 ---- <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='swapSettlDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>underlying swap settlement days (e.g. 2)</description> </Parameter> ! <Parameter name='fxdLegFreq' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>swap's fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> ! <Parameter name='fxdLegBDC' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>swap's fixed leg business day convention</description> </Parameter> ! <Parameter name='fxdLegDC' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 564,573 **** <description>floating leg short tenor Index</description> </Parameter> ! <Parameter name='beta'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>beta parameter for all expiries and tenors</description> </Parameter> ! <Parameter name='maxTolerance'> <type>double</type> <tensorRank>scalar</tensorRank> --- 564,578 ---- <description>floating leg short tenor Index</description> </Parameter> ! <Parameter name='guess'> <type>double</type> + <tensorRank>vector</tensorRank> + <description>initial guess for alpha, beta, nu, rho</description> + </Parameter> + <Parameter name='isBetaFixed'> + <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>if TRUE beta guess is not calibrated</description> </Parameter> ! <Parameter name='maxTol'> <type>double</type> <tensorRank>scalar</tensorRank> |
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From: Mario P. <mar...@us...> - 2006-09-05 15:27:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19331/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: work in progress... Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** swaptionvolstructure.cpp 5 Sep 2006 08:28:33 -0000 1.19 --- swaptionvolstructure.cpp 5 Sep 2006 15:27:28 -0000 1.20 *************** *** 142,152 **** QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! double beta, ! double maxTolerance) ! { ! //beta = QuantLib::Null<double>(); ! //maxError = 1E-4; libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, expiries, lengths, --- 142,157 ---- QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! const std::vector<double>& guess, ! bool isBetaFixed, ! double maxTolerance) { ! ! const double alpha = guess[0]; ! const double beta = guess[1]; ! const double nu = guess[2]; ! const double rho = guess[3]; ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! ! new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, expiries, lengths, *************** *** 161,168 **** shortTenor, iborIndexShortTenor, ! QuantLib::Null<double>(), beta, ! QuantLib::Null<double>(), ! QuantLib::Null<double>(), true, maxTolerance)); --- 166,173 ---- shortTenor, iborIndexShortTenor, ! alpha, beta, ! nu, ! rho, true, maxTolerance)); Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** swaptionvolstructure.hpp 5 Sep 2006 08:28:33 -0000 1.17 --- swaptionvolstructure.hpp 5 Sep 2006 15:27:28 -0000 1.18 *************** *** 98,102 **** QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! double beta = QuantLib::Null<double>(), double maxTolerance = 1E-4); --- 98,103 ---- QuantLib::Time shortTenor, const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor, ! const std::vector<double>& guess, ! bool isBetaFixed = true, double maxTolerance = 1E-4); |
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From: Mario P. <mar...@us...> - 2006-09-05 14:50:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3961/qlo Modified Files: interpolation.cpp Log Message: work in progress... Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** interpolation.cpp 19 Jul 2006 13:17:52 -0000 1.15 --- interpolation.cpp 5 Sep 2006 14:50:51 -0000 1.16 *************** *** 76,80 **** new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), ! t, forward, alpha, beta, nu, rho, om )); } --- 76,80 ---- new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), ! t, forward, alpha, beta, nu, rho, false, false, false, false, om )); } |
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From: Cristina D. <cdu...@us...> - 2006-09-05 11:44:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22056/gensrc/metadata Modified Files: schedule.xml Log Message: added business day convention for Termination Date in qlSchedule2 and corresponding C++ constructor Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** schedule.xml 5 Sep 2006 08:50:47 -0000 1.11 --- schedule.xml 5 Sep 2006 11:44:53 -0000 1.12 *************** *** 91,95 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>business day convention</description> </Parameter> <Parameter name='backward' default='1'> --- 91,100 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>accrual dates business day convention</description> ! </Parameter> ! <Parameter name='terminationDateConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>termination date business day convention</description> </Parameter> <Parameter name='backward' default='1'> |
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From: Cristina D. <cdu...@us...> - 2006-09-05 11:44:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22056/qlo Modified Files: schedule.cpp schedule.hpp Log Message: added business day convention for Termination Date in qlSchedule2 and corresponding C++ constructor Index: schedule.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** schedule.hpp 5 Sep 2006 08:50:48 -0000 1.4 --- schedule.hpp 5 Sep 2006 11:44:54 -0000 1.5 *************** *** 39,42 **** --- 39,43 ---- const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention convention, + QuantLib::BusinessDayConvention terminationDateConvention, bool backward, bool endOfMonth, Index: schedule.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** schedule.cpp 5 Sep 2006 08:50:48 -0000 1.4 --- schedule.cpp 5 Sep 2006 11:44:54 -0000 1.5 *************** *** 52,55 **** --- 52,56 ---- const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention convention, + QuantLib::BusinessDayConvention terminationDateConvention, bool backward, bool endOfMonth, *************** *** 63,66 **** --- 64,68 ---- calendar, convention, + terminationDateConvention, backward, endOfMonth, |
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From: Eric E. <eri...@us...> - 2006-09-05 09:59:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10995 Modified Files: todo.csv Log Message: document requests from nando/mario Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.46 retrieving revision 1.47 diff -C2 -d -r1.46 -r1.47 *** todo.csv 30 Aug 2006 15:18:21 -0000 1.46 --- todo.csv 5 Sep 2006 09:59:41 -0000 1.47 *************** *** 1,36 **** ! project,subproject,task,status,priority,comp date,comment ! ! 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",,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?) --- 1,38 ---- ! "project","subproject","task","status","priority","comp date","comment" ! ,,,,,, ! "gensrc","Design","Increase max # params for Excel functions",,,, ! "gensrc","Design","Extend loop functionality to Procedure class",,,, ! "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) ï¾ should be same as the input value ï¾ 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",,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 ï¾ 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 ï¾ 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?)" |
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From: Cristina D. <cdu...@us...> - 2006-09-05 08:50:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14527/gensrc/metadata Modified Files: schedule.xml Log Message: added qlSchedule2 and corresponding new Schedule constructor Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** schedule.xml 4 Sep 2006 19:21:04 -0000 1.10 --- schedule.xml 5 Sep 2006 08:50:47 -0000 1.11 *************** *** 60,63 **** --- 60,120 ---- </Constructor> + <Constructor name='qlSchedule2'> + <libraryFunction>Schedule</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='effectiveDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>effective date</description> + </Parameter> + <Parameter name='terminationDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>termination date</description> + </Parameter> + <Parameter name='tenor' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> + </Parameter> + <Parameter name='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>business day convention</description> + </Parameter> + <Parameter name='backward' default='1'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>backward generation of the schedule. By default, TRUE.</description> + </Parameter> + <Parameter name='endOfMonth' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>end of month convention. By default, FALSE.</description> + </Parameter> + <Parameter name='firstDate' libraryType='QuantLib::Date' default='0'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>stub date, if there is an up front stub period</description> + </Parameter> + <Parameter name='nextToLastDate' libraryType='QuantLib::Date' default='0'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>stub date, if there is an in-arrears stub period</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Member name='qlScheduleDates' libraryClass='Schedule'> <description>return schedule dates</description> |
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From: Cristina D. <cdu...@us...> - 2006-09-05 08:50:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14527/qlo Modified Files: schedule.cpp schedule.hpp Log Message: added qlSchedule2 and corresponding new Schedule constructor Index: schedule.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** schedule.hpp 9 Jun 2006 18:58:47 -0000 1.3 --- schedule.hpp 5 Sep 2006 08:50:48 -0000 1.4 *************** *** 34,37 **** --- 34,46 ---- bool startFromEnd, bool longFinal); + Schedule(const QuantLib::Date& effectiveDate, + const QuantLib::Date& terminationDate, + const QuantLib::Period& tenor, + const QuantLib::Calendar& calendar, + QuantLib::BusinessDayConvention convention, + bool backward, + bool endOfMonth, + const QuantLib::Date& firstDate, + const QuantLib::Date& nextToLastDate); }; Index: schedule.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** schedule.cpp 9 Jun 2006 18:58:47 -0000 1.3 --- schedule.cpp 5 Sep 2006 08:50:48 -0000 1.4 *************** *** 45,48 **** --- 45,73 ---- longFinal)); } + + Schedule::Schedule( + const QuantLib::Date& effectiveDate, + const QuantLib::Date& terminationDate, + const QuantLib::Period& tenor, + const QuantLib::Calendar& calendar, + QuantLib::BusinessDayConvention convention, + bool backward, + bool endOfMonth, + const QuantLib::Date& firstDate, + const QuantLib::Date& nextToLastDate) { + + libraryObject_ = boost::shared_ptr<QuantLib::Schedule>( + new QuantLib::Schedule(effectiveDate, + terminationDate, + tenor, + calendar, + convention, + backward, + endOfMonth, + firstDate, + nextToLastDate)); + + } + } |
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From: Giorgio F. <gi...@us...> - 2006-09-05 08:28:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5265/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 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** swaptionvolstructure.xml 5 Sep 2006 07:49:04 -0000 1.43 --- swaptionvolstructure.xml 5 Sep 2006 08:28:33 -0000 1.44 *************** *** 635,638 **** --- 635,668 ---- </ReturnValue> </Member> + + <Member name='qlMarketVolCube' objectClass='SwaptionVolatilityCubeBySabr'> + <description>return the market volatility cube</description> + <libraryFunction>getMarketVolCube</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlVolCubeAtmCalibrated' objectClass='SwaptionVolatilityCubeBySabr'> + <description>return the volatility cube calibrated to ATM matrix</description> + <libraryFunction>getVolCubeAtmCalibrated</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> </Functions> |
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From: Giorgio F. <gi...@us...> - 2006-09-05 08:28:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5265/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: work in progress ... Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** swaptionvolstructure.cpp 5 Sep 2006 07:49:04 -0000 1.18 --- swaptionvolstructure.cpp 5 Sep 2006 08:28:33 -0000 1.19 *************** *** 169,174 **** const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! sparseSabrParameters_=volCube->sparseSabrParameters(); ! denseSabrParameters_=volCube->denseSabrParameters(); } --- 169,176 ---- const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); ! sparseSabrParameters_ = volCube->sparseSabrParameters(); ! denseSabrParameters_ = volCube->denseSabrParameters(); ! marketVolCube_ = volCube->marketVolCube(); ! volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated(); } *************** *** 206,208 **** --- 208,243 ---- } + std::vector<std::vector<boost::any> > getVolCube(QuantLib::Matrix & volCube) + { + std::vector<std::vector<boost::any> > volatilityCube; + QuantLib::Size numberOfColumn = 11; + + std::vector<boost::any> headings(numberOfColumn); + headings[0]=std::string("Swap Lenght"); + headings[1]=std::string("Expiriy"); + + headings[2]=std::string("-200 bps"); + headings[3]=std::string("-100 bps"); + headings[4]=std::string("-50 bps"); + headings[5]=std::string("-25 bps"); + headings[6]=std::string("0 bps"); + headings[7]=std::string("25 bps"); + headings[8]=std::string("50 bps"); + headings[9]=std::string("100 bps"); + headings[10]=std::string("200 bps"); + + volatilityCube.push_back(headings); + + for(QuantLib::Size i=0; i<volCube.rows(); i++) + { + std::vector<boost::any> vol(numberOfColumn, std::string("N/A")); + for(QuantLib::Size j=0; j<volCube.columns(); j++) + { + vol[j] = volCube[i][j]; + } + volatilityCube.push_back(vol); + } + return volatilityCube; + } + } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** swaptionvolstructure.hpp 5 Sep 2006 07:49:04 -0000 1.16 --- swaptionvolstructure.hpp 5 Sep 2006 08:28:33 -0000 1.17 *************** *** 80,83 **** --- 80,84 ---- std::vector<std::vector<boost::any> > getSabrParameters(QuantLib::Matrix & sabrParameters); + std::vector<std::vector<boost::any> > getVolCube(QuantLib::Matrix & volCube); class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityStructure { *************** *** 108,114 **** --- 109,125 ---- return getSabrParameters(denseSabrParameters_); } + const std::vector<std::vector<boost::any> > getMarketVolCube() + { + return getVolCube(marketVolCube_); + } + const std::vector<std::vector<boost::any> > getVolCubeAtmCalibrated() + { + return getVolCube(volCubeAtmCalibrated_); + } protected: QuantLib::Matrix sparseSabrParameters_; QuantLib::Matrix denseSabrParameters_; + QuantLib::Matrix marketVolCube_; + QuantLib::Matrix volCubeAtmCalibrated_; }; |
