quantlibaddin-cvs Mailing List for QuantLibAddin (Page 32)
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From: Ferdinando A. <na...@us...> - 2006-08-30 18:01:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/ValueObjects In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21306/qlo/ValueObjects Added Files: .cvsignore Log Message: moving vo_*.*pp in their own ValueObjects folder --- NEW FILE: .cvsignore --- vo_*.*pp |
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From: Ferdinando A. <na...@us...> - 2006-08-30 18:01:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21306/gensrc/metadata Modified Files: randomsequencegenerator.xml Log Message: moving vo_*.*pp in their own ValueObjects folder Index: randomsequencegenerator.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/randomsequencegenerator.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** randomsequencegenerator.xml 30 Aug 2006 10:12:49 -0000 1.9 --- randomsequencegenerator.xml 30 Aug 2006 18:01:53 -0000 1.10 *************** *** 74,78 **** </Member> ! <Constructor name='qlMersenneTwisterRsg'> <libraryFunction>MersenneTwisterRsg</libraryFunction> <supportedPlatforms> --- 74,78 ---- </Member> ! <Constructor name='qlMersenneTwisterRsg' dependencyTrigger='true'> <libraryFunction>MersenneTwisterRsg</libraryFunction> <supportedPlatforms> *************** *** 96,100 **** </Constructor> ! <Constructor name='qlFaureRsg'> <libraryFunction>FaureRsg</libraryFunction> <supportedPlatforms> --- 96,100 ---- </Constructor> ! <Constructor name='qlFaureRsg' dependencyTrigger='true'> <libraryFunction>FaureRsg</libraryFunction> <supportedPlatforms> *************** *** 113,117 **** </Constructor> ! <Constructor name='qlHaltonRsg'> <libraryFunction>HaltonRsg</libraryFunction> <supportedPlatforms> --- 113,117 ---- </Constructor> ! <Constructor name='qlHaltonRsg' dependencyTrigger='true'> <libraryFunction>HaltonRsg</libraryFunction> <supportedPlatforms> *************** *** 135,139 **** </Constructor> ! <Constructor name='qlSobolRsg'> <libraryFunction>SobolRsg</libraryFunction> <supportedPlatforms> --- 135,139 ---- </Constructor> ! <Constructor name='qlSobolRsg' dependencyTrigger='true'> <libraryFunction>SobolRsg</libraryFunction> <supportedPlatforms> |
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From: Ferdinando A. <na...@us...> - 2006-08-30 17:57:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19515 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** todonando.txt 23 Aug 2006 17:56:31 -0000 1.35 --- todonando.txt 30 Aug 2006 17:57:27 -0000 1.36 *************** *** 86,99 **** QUANTLIBADDIN - default loopingparameter - default Optimization method in interpolation.xml (sabr) - return std::pair (see locate for swaptionvolmatrix) - - export FlatForward - export ImpliedCurve - - export Statistics - export PathGeneration - SWAP GRID - VANILLA SWAP signature - - why qlSwaptionVTSMatrix (not qlSwaptionVTSMatrix2) crash - export discount, loglinear selection - enforce version number check --- 86,98 ---- 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 - SWAP GRID - VANILLA SWAP signature - export discount, loglinear selection - enforce version number check *************** *** 105,109 **** - BOND: add loopParameters - iterator input support - - Statistics - freeze, unfreeze objects --- 104,107 ---- |
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From: Ferdinando A. <na...@us...> - 2006-08-30 17:57:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19515/qlo Modified Files: randomsequencegenerator.cpp Log Message: Index: randomsequencegenerator.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/randomsequencegenerator.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** randomsequencegenerator.cpp 30 Aug 2006 10:12:49 -0000 1.2 --- randomsequencegenerator.cpp 30 Aug 2006 17:57:25 -0000 1.3 *************** *** 29,32 **** --- 29,33 ---- return rng_.next().value; } + void randomize(QuantLib::BigNatural seed) { rng_ = QuantLib::MersenneTwisterUniformRng(seed); |
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From: Ferdinando A. <na...@us...> - 2006-08-30 16:14:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo/ValueObjects In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8065/ValueObjects Log Message: Directory /cvsroot/quantlibaddin/QuantLibAddin/qlo/ValueObjects added to the repository |
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From: Eric E. <eri...@us...> - 2006-08-30 15:32:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22251/qlo Modified Files: conversions.cpp conversions.hpp Log Message: code cleanup Index: conversions.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** conversions.cpp 19 Jul 2006 09:56:10 -0000 1.8 --- conversions.cpp 30 Aug 2006 15:32:03 -0000 1.9 *************** *** 28,31 **** --- 28,35 ---- } + double libraryToScalar(const QuantLib::Rate &r) { + return r; + } + long libraryToScalar(const QuantLib::Date &d) { return d.serialNumber(); *************** *** 62,73 **** } - double libraryToScalar(const double &d) { - return d; - } - - long libraryToScalar(const long &l) { - return l; - } - } --- 66,69 ---- Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** conversions.hpp 30 Jul 2006 07:12:21 -0000 1.15 --- conversions.hpp 30 Aug 2006 15:32:03 -0000 1.16 *************** *** 142,145 **** --- 142,146 ---- */ double libraryToScalar(const QuantLib::InterestRate&); + double libraryToScalar(const QuantLib::Rate&); long libraryToScalar(const QuantLib::Date&); std::string libraryToScalar(const QuantLib::Period&); *************** *** 148,156 **** std::vector<std::string> libraryToVector(const std::vector<QuantLib::Period>&); - // FIXME these functions are a temporary workaround for - // shortcoming in autogenerated source code - double libraryToScalar(const double&); - long libraryToScalar(const long&); - } --- 149,152 ---- |
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From: Eric E. <eri...@us...> - 2006-08-30 15:18:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18466 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** todo.csv 30 Aug 2006 10:06:40 -0000 1.45 --- todo.csv 30 Aug 2006 15:18:21 -0000 1.46 *************** *** 7,10 **** --- 7,11 ---- 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" *************** *** 14,18 **** 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 --- 15,19 ---- 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 *************** *** 30,34 **** 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 --- 31,35 ---- 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 |
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From: Eric E. <eri...@us...> - 2006-08-30 15:16:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17578/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp typefactory.hpp Log Message: fix for EuriborSwapFixA Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** enumclassctors.cpp 29 Aug 2006 08:07:52 -0000 1.18 --- enumclassctors.cpp 30 Aug 2006 15:16:33 -0000 1.19 *************** *** 224,380 **** } - /* *** Euribor *** */ - boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::EuriborSW( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor2W( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor3W( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor1M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor2M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor3M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor4M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor5M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor6M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor7M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor8M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor9M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor10M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor11M( - EuriborHandle::instance().handleYieldTermStructure())); - } - boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y() { - return boost::shared_ptr<QuantLib::Euribor>( - new QuantLib::Euribor1Y( - EuriborHandle::instance().handleYieldTermStructure())); - } - - /* *** EuriborSwapFixA *** */ - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA1Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA2Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA3Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA4Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA5Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA6Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA7Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA8Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA9Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA10Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA12Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA15Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA20Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA25Y()); - //} - - //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y() { - // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( - // new QuantLib::EuriborSwapFixA30Y()); - //} - /* *** YieldTermStructure *** */ //Discount based yield term structures --- 224,227 ---- *************** *** 511,514 **** }; ! } --- 358,514 ---- }; ! /* *** Index *** */ ! /* *** Euribor *** */ ! boost::shared_ptr<QuantLib::Index> EURIBOR_SW() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSW( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_2W() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor2W( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_3W() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor3W( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_1M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor1M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_2M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor2M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_3M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor3M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_4M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor4M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_5M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor5M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_6M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor6M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_7M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor7M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_8M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor8M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_9M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor9M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_10M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor10M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_11M() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor11M( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBOR_1Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::Euribor1Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! /* *** EuriborSwapFixA *** */ ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_1Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA1Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_2Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA2Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_3Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA3Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_4Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA4Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_5Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA5Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_6Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA6Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_7Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA7Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_8Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA8Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_9Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA9Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_10Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA10Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_12Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA12Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_15Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA15Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_20Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA20Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_25Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA25Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } ! boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_30Y() { ! return boost::shared_ptr<QuantLib::Index>( ! new QuantLib::EuriborSwapFixA30Y( ! EuriborHandle::instance().handleYieldTermStructure())); ! } + } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** enumclassctors.hpp 29 Aug 2006 08:07:52 -0000 1.16 --- enumclassctors.hpp 30 Aug 2006 15:16:33 -0000 1.17 *************** *** 106,143 **** const QuantLib::Matrix& zData); - /* *** Euribor *** */ - boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M(); - boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y(); - - /* *** EuriborSwapFixA *** */ - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y(); - boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y(); - /* *** YieldTermStructure *** */ //Discount based yield term structures --- 106,109 ---- *************** *** 198,201 **** --- 164,201 ---- const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ); + /* *** Index *** */ + /* *** Euribor *** */ + boost::shared_ptr<QuantLib::Index> EURIBOR_SW(); + boost::shared_ptr<QuantLib::Index> EURIBOR_2W(); + boost::shared_ptr<QuantLib::Index> EURIBOR_3W(); + boost::shared_ptr<QuantLib::Index> EURIBOR_1M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_2M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_3M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_4M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_5M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_6M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_7M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_8M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_9M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_10M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_11M(); + boost::shared_ptr<QuantLib::Index> EURIBOR_1Y(); + /* *** EuriborSwapFixA *** */ + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_1Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_2Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_3Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_4Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_5Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_6Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_7Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_8Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_9Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_10Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_12Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_15Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_20Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_25Y(); + boost::shared_ptr<QuantLib::Index> EURIBORSWAPFIXA_30Y(); + } Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** typefactory.hpp 28 Aug 2006 15:56:17 -0000 1.31 --- typefactory.hpp 30 Aug 2006 15:16:33 -0000 1.32 *************** *** 186,238 **** }; - ///* *** Euribor *** */ - typedef boost::shared_ptr<QuantLib::Euribor>(*EuriborConstructor)( - const std::string& handleYieldTermStructureID); - - template<> - class Create<boost::shared_ptr<QuantLib::Euribor> > : - private RegistryManager<QuantLib::Euribor, EnumClassRegistry> { - public: - boost::shared_ptr<QuantLib::Euribor> operator() ( - const std::string& euriborID, - const std::string& handleYieldTermStructureID = "") { - EuriborConstructor euriborConstructor = - (EuriborConstructor)(getType(euriborID)); - return euriborConstructor(handleYieldTermStructureID); - } - using RegistryManager<QuantLib::Euribor, EnumClassRegistry>::checkType; - }; - - /* *** EuriborSwapFixA *** */ - //typedef boost::shared_ptr<QuantLib::EuriborSwapFixA>(*EuriborSwapFixAConstructor)(); - - //template<> - //class Create<boost::shared_ptr<QuantLib::EuriborSwapFixA> > : - // private RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry> { - //public: - // boost::shared_ptr<QuantLib::EuriborSwapFixA> operator() ( - // const std::string& euriborSwapFixAID) { - // EuriborSwapFixAConstructor euriborSwapFixAConstructor = - // getType<std::string, EuriborSwapFixAConstructor>(euriborSwapFixAID); - // return euriborSwapFixAConstructor(); - // } - // using RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry>::checkType; - //}; - - // a singleton to store the Handle<YieldTermStructure> - // shared by all enumerated Euribor classes - class EuriborHandle : public QuantLib::Singleton<EuriborHandle> { - friend class QuantLib::Singleton<EuriborHandle>; - public: - const QuantLib::Handle<QuantLib::YieldTermStructure> &handleYieldTermStructure() const { - return handleYieldTermStructure_; - } - void linkEuriborHandle(boost::shared_ptr<QuantLib::YieldTermStructure> yieldTermStructure) { - handleYieldTermStructure_.linkTo(yieldTermStructure); - } - private: - QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure_; - }; - /* *** YieldTermStructure *** */ typedef boost::shared_ptr<QuantLib::YieldTermStructure>(*YieldTermStructureConstructor)( --- 186,189 ---- *************** *** 276,297 **** } }; - - ///* *** InterestRateIndex *** */ - //typedef boost::shared_ptr<QuantLib::InterestRateIndex>(*InterestRateIndexConstructor)( - // const std::string& handleYieldTermStructureID); ! //template<> ! // class Create<boost::shared_ptr<QuantLib::InterestRateIndex> > : ! // private RegistryManager<QuantLib::InterestRateIndex, EnumClassRegistry> { ! //public: ! // boost::shared_ptr<QuantLib::InterestRateIndex> operator() ( ! // const std::string& InterestRateIndexID, ! // const std::string& handleYieldTermStructureID = "") { ! // InterestRateIndexConstructor interestRateIndexConstructor = ! // getType<std::string, InterestRateIndexConstructor>(InterestRateIndexID); ! // return interestRateIndexConstructor(handleYieldTermStructureID); ! // } ! // using RegistryManager<QuantLib::InterestRateIndex, EnumClassRegistry>::checkType; ! //}; } --- 227,262 ---- } }; ! // a singleton to store the Handle<YieldTermStructure> ! // shared by all enumerated Euribor classes ! class EuriborHandle : public QuantLib::Singleton<EuriborHandle> { ! friend class QuantLib::Singleton<EuriborHandle>; ! public: ! const QuantLib::Handle<QuantLib::YieldTermStructure> &handleYieldTermStructure() const { ! return handleYieldTermStructure_; ! } ! void linkEuriborHandle(boost::shared_ptr<QuantLib::YieldTermStructure> yieldTermStructure) { ! handleYieldTermStructure_.linkTo(yieldTermStructure); ! } ! private: ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure_; ! }; ! ! ///* *** Index *** */ ! typedef boost::shared_ptr<QuantLib::Index>(*IndexConstructor)(); ! ! template<> ! class Create<boost::shared_ptr<QuantLib::Index> > : ! private RegistryManager<QuantLib::Index, EnumClassRegistry> { ! public: ! boost::shared_ptr<QuantLib::Index> operator() ( ! const std::string& euriborID) { ! IndexConstructor euriborConstructor = ! (IndexConstructor)(getType(euriborID)); ! return euriborConstructor(); ! } ! using RegistryManager<QuantLib::Index, EnumClassRegistry>::checkType; ! }; ! } |
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From: Eric E. <eri...@us...> - 2006-08-30 15:16:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17578/gensrc/metadata Modified Files: enumclasses.xml Log Message: fix for EuriborSwapFixA Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** enumclasses.xml 29 Aug 2006 08:07:52 -0000 1.9 --- enumclasses.xml 30 Aug 2006 15:16:30 -0000 1.10 *************** *** 234,239 **** <Enumeration> ! <type>QuantLib::Euribor</type> <EnumerationDefinitions> <EnumerationDefinition> <string>EuriborSW</string> --- 234,240 ---- <Enumeration> ! <type>QuantLib::Index</type> <EnumerationDefinitions> + <!-- QuantLib::Euribor --> <EnumerationDefinition> <string>EuriborSW</string> *************** *** 311,320 **** <libraryClass>QuantLib::Euribor1Y</libraryClass> </EnumerationDefinition> ! </EnumerationDefinitions> ! </Enumeration> ! ! <!--Enumeration> ! <type>QuantLib::EuriborSwapFixA</type> ! <EnumerationDefinitions> <EnumerationDefinition> <string>EuriborSwapFixA1Y</string> --- 312,316 ---- <libraryClass>QuantLib::Euribor1Y</libraryClass> </EnumerationDefinition> ! <!-- QuantLib::EuriborSwapFixA --> <EnumerationDefinition> <string>EuriborSwapFixA1Y</string> *************** *** 393,397 **** </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration--> </Enumerations> --- 389,393 ---- </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration> </Enumerations> |
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From: Ferdinando A. <na...@us...> - 2006-08-30 10:12:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11035/qlo Modified Files: randomsequencegenerator.cpp randomsequencegenerator.hpp utilities.cpp Log Message: QuantLibAddin doesn'r rely on QuantLibFunctions anymore Index: utilities.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/utilities.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** utilities.cpp 12 Jul 2006 16:55:46 -0000 1.3 --- utilities.cpp 30 Aug 2006 10:12:49 -0000 1.4 *************** *** 25,29 **** #if defined BOOST_MSVC // Microsoft Visual C++ # define BOOST_LIB_DIAGNOSTIC - # include <ql/Functions/auto_link.hpp> # include <ql/auto_link.hpp> # undef BOOST_LIB_DIAGNOSTIC --- 25,28 ---- Index: randomsequencegenerator.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/randomsequencegenerator.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** randomsequencegenerator.hpp 9 Jun 2006 18:58:47 -0000 1.2 --- randomsequencegenerator.hpp 30 Aug 2006 10:12:49 -0000 1.3 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Aurelien Chanudet *************** *** 21,30 **** #include <oh/objhandler.hpp> #include <ql/RandomNumbers/all.hpp> - #include <ql/Functions/mathf.hpp> #include <vector> namespace QuantLibAddin { ! // Common Denominator class RandomSequenceGenerator : public ObjHandler::Object { --- 22,32 ---- #include <oh/objhandler.hpp> #include <ql/RandomNumbers/all.hpp> #include <vector> namespace QuantLibAddin { ! ! QuantLib::Real rand(); ! void randomize(QuantLib::BigNatural seed); class RandomSequenceGenerator : public ObjHandler::Object { *************** *** 108,110 **** #endif - --- 110,111 ---- Index: randomsequencegenerator.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/randomsequencegenerator.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** randomsequencegenerator.cpp 19 May 2006 16:56:16 -0000 1.1 --- randomsequencegenerator.cpp 30 Aug 2006 10:12:49 -0000 1.2 *************** *** 23,50 **** namespace QuantLibAddin { - std::vector<std::vector<double> > RandomSequenceGenerator::variates(long samples) { - std::vector<std::vector<double> > rtn; ! for (long i=0 ; i < samples ; i++) { ! rtn.push_back(nextSequence()); ! } ! return rtn; } MersenneTwisterRsg::MersenneTwisterRsg(long dimension, long seed) ! : PseudoRandomSequenceGenerator<urng_type>(dimension, urng_type(seed)) { } // QuantLib::FaureRsg does not work for dimension = 0 FaureRsg::FaureRsg(long dimension) ! : LowDiscrepancySequenceGenerator<rsg_type>(rsg_type(dimension)) { } HaltonRsg::HaltonRsg(long dimension, long seed) ! : LowDiscrepancySequenceGenerator<rsg_type>(rsg_type(dimension, seed)) { } SobolRsg::SobolRsg(long dimension, long seed) ! : LowDiscrepancySequenceGenerator<rsg_type>(rsg_type(dimension, seed)) { } } - --- 23,57 ---- namespace QuantLibAddin { ! static QuantLib::MersenneTwisterUniformRng rng_; ! QuantLib::Real rand() { ! return rng_.next().value; ! } ! void randomize(QuantLib::BigNatural seed) { ! rng_ = QuantLib::MersenneTwisterUniformRng(seed); } + std::vector<std::vector<double> > + RandomSequenceGenerator::variates(long samples) + { + std::vector<std::vector<double> > rtn; + for (long i=0 ; i < samples ; i++) + rtn.push_back(nextSequence()); + return rtn; + } MersenneTwisterRsg::MersenneTwisterRsg(long dimension, long seed) ! : PseudoRandomSequenceGenerator<urng_type>(dimension, urng_type(seed)) {} // QuantLib::FaureRsg does not work for dimension = 0 FaureRsg::FaureRsg(long dimension) ! : LowDiscrepancySequenceGenerator<rsg_type>(rsg_type(dimension)) {} HaltonRsg::HaltonRsg(long dimension, long seed) ! : LowDiscrepancySequenceGenerator<rsg_type>(rsg_type(dimension, seed)) {} SobolRsg::SobolRsg(long dimension, long seed) ! : LowDiscrepancySequenceGenerator<rsg_type>(rsg_type(dimension, seed)) {} } |
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From: Ferdinando A. <na...@us...> - 2006-08-30 10:12:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11035/gensrc/metadata Modified Files: mathf.xml prices.xml randomsequencegenerator.xml Log Message: QuantLibAddin doesn'r rely on QuantLibFunctions anymore Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** mathf.xml 21 Aug 2006 07:34:29 -0000 1.17 --- mathf.xml 30 Aug 2006 10:12:49 -0000 1.18 *************** *** 4,8 **** <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <includes> - <include>ql/Functions/mathf.hpp</include> <include>ql/Math/primenumbers.hpp</include> <include>ql/Math/pseudosqrt.hpp</include> --- 4,7 ---- Index: prices.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/prices.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** prices.xml 28 Aug 2006 10:05:24 -0000 1.8 --- prices.xml 30 Aug 2006 10:12:49 -0000 1.9 *************** *** 4,8 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> ! <include>ql/Functions/prices.hpp</include> </includes> <copyright> --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> ! <include>ql/prices.hpp</include> </includes> <copyright> Index: randomsequencegenerator.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/randomsequencegenerator.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** randomsequencegenerator.xml 28 Aug 2006 10:05:24 -0000 1.8 --- randomsequencegenerator.xml 30 Aug 2006 10:12:49 -0000 1.9 *************** *** 3,7 **** --- 3,12 ---- <displayName>Random Sequence Generator</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> + <includes> + <include>qlo/randomsequencegenerator.hpp</include> + <include>qlo/vo_randomsequencegenerator.hpp</include> + </includes> <copyright> + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Aurelien Chanudet </copyright> *************** *** 11,15 **** <Procedure name='qlRand'> <description>returns a random number between 0 and 1.</description> ! <alias>QuantLib::rand</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 16,20 ---- <Procedure name='qlRand'> <description>returns a random number between 0 and 1.</description> ! <alias>QuantLibAddin::rand</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 25,31 **** </Procedure> ! <!--Procedure name='qlRandomize'> ! <description>returns a random number between 0 and 1.</description> ! <alias>QuantLib::randomize</alias> <ParameterList> <Parameters> --- 30,40 ---- </Procedure> ! <Procedure name='qlRandomize'> ! <description>initialize with the given seed the random number generator used by qlRand().</description> ! <alias>QuantLibAddin::randomize</alias> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! <supportedPlatform>calc</supportedPlatform> ! </supportedPlatforms> <ParameterList> <Parameters> *************** *** 41,45 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure--> <Member name='qlVariates' objectClass='RandomSequenceGenerator' dependencyTrigger='true'> --- 50,54 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> <Member name='qlVariates' objectClass='RandomSequenceGenerator' dependencyTrigger='true'> |
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From: Eric E. <eri...@us...> - 2006-08-30 10:06:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8354 Modified Files: todo.csv Log Message: remove platform-specific code/configuration from core gensrc app Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.44 retrieving revision 1.45 diff -C2 -d -r1.44 -r1.45 *** todo.csv 30 Aug 2006 08:14:15 -0000 1.44 --- todo.csv 30 Aug 2006 10:06:40 -0000 1.45 *************** *** 6,9 **** --- 6,10 ---- 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,, OH,Design,update design doc,,2,, QLA,Design,#include fewer headers to speed compilation,,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" *************** *** 14,33 **** 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 --- 15,34 ---- 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 |
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From: Ferdinando A. <na...@us...> - 2006-08-30 09:18:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20002/gensrc Modified Files: Makefile.vc Log Message: 1) restoring functionalities Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** Makefile.vc 28 Aug 2006 16:00:04 -0000 1.25 --- Makefile.vc 30 Aug 2006 09:18:01 -0000 1.26 *************** *** 26,30 **** metadata\interpolation.xml \ metadata\mathf.xml \ ! # metadata\marketmodels.xml \ metadata\ohfunctions.xml \ metadata\optimization.xml \ --- 26,30 ---- metadata\interpolation.xml \ metadata\mathf.xml \ ! metadata\marketmodels.xml \ metadata\ohfunctions.xml \ metadata\optimization.xml \ |
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From: Ferdinando A. <na...@us...> - 2006-08-30 09:18:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20002/gensrc/metadata Modified Files: marketmodels.xml Log Message: 1) restoring functionalities Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** marketmodels.xml 28 Aug 2006 10:05:24 -0000 1.21 --- marketmodels.xml 30 Aug 2006 09:18:02 -0000 1.22 *************** *** 708,712 **** <!-- CurveState class interface and costructor --> ! <Member name='qlCurveStateRateTimes' libraryClass='CurveState'> <description>return the rate times of the CurveState object</description> <libraryFunction>rateTimes</libraryFunction> --- 708,712 ---- <!-- CurveState class interface and costructor --> ! <Member name='qlCurveStateRateTimes' libraryClass='CurveState' dependencyTrigger='true'> <description>return the rate times of the CurveState object</description> <libraryFunction>rateTimes</libraryFunction> *************** *** 791,795 **** </Member> ! <Member name='qlCurveStateForwardRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>forwardRates</libraryFunction> --- 791,795 ---- </Member> ! <Member name='qlCurveStateForwardRates' libraryClass='CurveState' dependencyTrigger='true'> <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>forwardRates</libraryFunction> *************** *** 807,811 **** </Member> ! <Member name='qlCurveStateDiscountRatios' libraryClass='CurveState'> <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>discountRatios</libraryFunction> --- 807,811 ---- </Member> ! <Member name='qlCurveStateDiscountRatios' libraryClass='CurveState' dependencyTrigger='true'> <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>discountRatios</libraryFunction> *************** *** 823,827 **** </Member> ! <Member name='qlCurveStateCoterminalSwapRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>coterminalSwapRates</libraryFunction> --- 823,827 ---- </Member> ! <Member name='qlCurveStateCoterminalSwapRates' libraryClass='CurveState' dependencyTrigger='true'> <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>coterminalSwapRates</libraryFunction> *************** *** 861,865 **** </Member> ! <Member name='qlCurveStateDiscountRatio' libraryClass='CurveState'> <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>discountRatio</libraryFunction> --- 861,865 ---- </Member> ! <Member name='qlCurveStateDiscountRatio' libraryClass='CurveState' dependencyTrigger='true'> <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>discountRatio</libraryFunction> *************** *** 888,892 **** </Member> ! <Member name='qlCurveStateCoterminalSwapRate' libraryClass='CurveState'> <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>coterminalSwapRate</libraryFunction> --- 888,892 ---- </Member> ! <Member name='qlCurveStateCoterminalSwapRate' libraryClass='CurveState' dependencyTrigger='true'> <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>coterminalSwapRate</libraryFunction> |
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From: Eric E. <eri...@us...> - 2006-08-30 08:14:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25795 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** todo.csv 30 Aug 2006 08:01:55 -0000 1.43 --- todo.csv 30 Aug 2006 08:14:15 -0000 1.44 *************** *** 5,8 **** --- 5,9 ---- 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,, OH,Design,update design doc,,2,, QLA,Design,#include fewer headers to speed compilation,,2,,"re-enable optimization, investigate precompiled headers, /Zm flag" *************** *** 32,150 **** 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?) - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - ,,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - ,,,,, - - ,,,,, - ,,,,, - ,,,,, - ,,,,, --- 33,34 ---- |
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From: Eric E. <eri...@us...> - 2006-08-30 08:02:00
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20234 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.42 retrieving revision 1.43 diff -C2 -d -r1.42 -r1.43 *** todo.csv 30 Jul 2006 09:15:54 -0000 1.42 --- todo.csv 30 Aug 2006 08:01:55 -0000 1.43 *************** *** 1,173 **** ! "project","subproject","task","status","priority","comp date","comment" ,,,,,, - "all","release","prepare NIS installers","in progress",1,, - "all","release","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects","in progress",1,, - "all","release","revise and clarify the website documentation","in progress",1,, - "all","release","un-hack discrepancies between trunk and branch e.g. EuriborSwapFixA","in progress",1,, - "all","release","re-enable Addins for Calc/Guile/C ?","in progress",1,, - "all","release","make corrections for Linux","in progress",1,, - "all","release","test builds/installation/compilers etc.","in progress",1,, - "all","release","package and announce releases","in progress",1,, ,,,,,, - "gensrc","refactor","coercion implicit conversion between required datatypes for function input/output parameters","on hold",1,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." - "gensrc","refactor","clean up handleToLib / libToHandle","on hold",1,, - "gensrc","refactor","complete the separation of core gensrc functionality from platform- and library-specific functionality","on hold",1,, - "gensrc","refactor","Handle - automate conversions so it's not necessary for developer to implement linkTo for every class","on hold",1,, - "gensrc","refactor","remove large code snippets from addinexcel.xml","done",1,21/07/06, - "gensrc","refactor","consolidate XML tags libraryType/objectClass/libraryClass/getUnderlying","done",1,20/07/06,"replace with referenceType='xxx'" - "gensrc","refactor","consolidate all conversion code / remove conversion code from parameterlist.py","done",1,20/07/06, - "gensrc","refactor","cater for special cases like QL::Array/QL::Matrix (scalar variable storing array/matrix value)","done",1,20/07/06, - "gensrc","refactor","rule.py avoid hard-coding separate logic for each rule","done",1,19/07/06, ,,,,,, - "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open","on hold",0,,"unable to recreate problem (reuters required?)" - "QLA","Design","support vector iterators as parameters to QL functions","done",0,21/07/06, ,,,,,, - "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,, - "OH","Design","update design doc",,2,, - "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics",,2,, - "QLA","Design","#include fewer headers to speed compilation",,2,, - "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 and default value",,3,, - "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","Excel binding","categorize function names in Excel Function Wizard: Math/Date/Finance/ObjectHandler","done",1,11/07/06, - "OH","Functions","ohPack() broken not removing empty cells from end of range e.g. for timeseries","done",1,11/07/06,"indicate empty cell with NA() rather than " - "QLA","Docs","include #/functions in summary page of autogenerated documentation","done",1,12/07/06, - "QLA","Docs","autogenerated documentation of ETs/ECs: separate descriptions of types & classes","done",1,12/07/06, - "gensrc","Design","add optional long description to function metadata","done",1,12/07/06, - "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA","done",1,12/07/06, - "QLA","Design","raise exception if trigger parameter has value of #ERR!/#NULL!","done",1,13/07/06, - "QLA","Enumerations","enum as return value always use stream operator << to convert to string","done",0,13/07/06, - "gensrc","Design","enhance gensrc to support references to library objects e.g. QuantLib::Evolution.","done",0,14/07/06,"new XML tag libraryReference='xxx'" - "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector","cancelled",1,16/07/06,"excel always repeats scalar values stored in array formulas e.g: {=1}" - "QLA","Design","discontinue support for VC6","done",1,16/07/06, - "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","done",1,16/07/06, - "QLA","Design","add support for QLA methods which construct other QLA objects","done",1,16/07/06, - "QLA","Docs","port workstation document into QLA documentation","done",1,24/07/06, - "QLA","Enumerations","autogenerate Enumerated Classes for curves (std::pair<std::string, std::string>","done",1,24/07/06, ,,,,,, - "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",,07/04/06, - "QLA","Enumerations","ET ctors use explicit ctors instead of default i.e. use ""HongKong::HKEx"" not ""HongKong""","done",,07/04/06, - "QLA","Enumerations","port gensrc EnumerationMember functionality from ETs -> ECs","done",,07/04/06, - "QLA","Enumerations","extend support for mixing ECs/Objects e.g. Calendar/JointCalendar, Index/EuriborXX","done",,07/04/06, - "QLA","Enumerations","implement EuriborXX as EC","done",,07/04/06, - "QLA","Enumerations","implement autogeneration of source code for ECs","done",,07/02/06, - "QLA","Enumerations","remove PricingEngine, StrikedTypePayoff from EC and implement as normal objects","done",,30/06/06, - "QLA","Enumerations","rename Enumerations->Enumerated Types (ETs), Complex Types->Enumerated Classes (ECs)","done",,30/06/06, - "QLA","Enumerations","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class","done",,07/04/06, - "QLA","Enumerations","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate template","done",,07/04/06, - "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold",,,"requires redesign to allow multiple XLLs to share global Registry" - "QLA","Enumerations","remove Create<> code from QLO ctors Create<> code to appear only in autogenerated Addin code","cancelled",,,"this is required when QLO classes wrap ECs" - "QLA","Enumerations","transfer Calendar, DayCounter, Currency from ET -> EC","cancelled",,,"these belong as Enumerated Types" ,,,,,, - "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",1,18/06/06,"also revise GC/deletion for permanent/nonpermanent objects" - "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",0,15/06/06,"need to add support for creation of empty QuantLib::Handle" - "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",1,31/05/06, - "OH","Functions","ohPack() - resolve flags and values","done",1,14/06/06, ,,,,,, - "gensrc","Design","add support for QuantLib::Array as output","done",1,07/04/06,"e.g. qlEigenValues()" - "gensrc","Design","Function Wizard disabled by default","done",1,07/04/06, - "gensrc","Design","fix problem with implicit conversion for return values of type Rate/Spread/DiscountFactor/Time (double typedefs)","done",1,07/04/06, - "gensrc","Design","remove description of return value from function metadata","done",,07/04/06, ,,,,,, - "QLA","Functions","delete VanillaOption->setEngine()","done",,07/10/06, - "QLA","Design","when input vector passed to loop function convert inputs on each loop iteration and catch exceptions one-by-one","done",,31/05/06, - "QLA","Functions","add support for Matrix as input / output","done",,, - "QLA","Documentation","add VC8 makefile to generate .chm documentation from metadata","done",,16/06/06, - "QLA","Design","in autogenerated code - suppress call to objectPointer->setPermanent() if input parameter permanent is FALSE","done",,15/06/06, - "QLA","Design","don't rely on try/catch to control processing flow for deriving Enumerations (in templates in qla/conversions.hpp)","done",,16/06/06, - "QLA","Design","add facility to query the most recent error message","done",,16/06/06, ,,,,,, ! "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly","done",1,, ! "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,05/01/06, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",3,26/04/06, ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",3,27/04/06, ! "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,05/07/06, ! "OH","Design","support for retrieval of undecorated handles","done",1,30/04/06,"fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",3,26/04/06, ! "OH","Design","class FunctionCall to encapsulate function state","done",2,26/04/06, ! "OH","Design","include cell address in error message?","done",3,05/01/06, ! "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",2,26/04/06,"renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",1,18/05/06, ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,18/05/06, ! "OH","Functions","remove EO macro / function","done",3,21/04/06, ! "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",1,,"looks OK now?" ! "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,"it works OK" ! "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,05/01/06,"it doesn't" ! "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",3,05/08/06, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",1,28/04/06,"always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,23/05/06, ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",1,30/04/06,"this change will probably be reversed" ! "QLA","Design","export IMM dates e.g. H7 -> date","done",,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,28/04/06, ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",2,28/04/06,"also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,27/04/06, ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,21/04/06, ! "QLA","Docs","installation - refer to Release build not Debug","done",3,21/04/06, ! "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",2,21/04/06,"not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,18/05/06,"retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,20/04/06,"not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,20/04/06,"not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",2,26/04/06, ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",1,27/04/06, ! "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,, ! "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,05/08/06, ! "QLA","Functions","qlGetDf() to return vector","done",2,21/04/06,"renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",1,26/04/06, ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",1,18/05/06, ! "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",2,05/08/06, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",3,28/04/06,"thanks to Joe Byers" ! "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,05/03/06, ! "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,19/04/06, ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,19/04/06, ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",3,19/05/06, ! "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,26/04/06,"the tag is in use" ! "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,05/06/06, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,26/04/06, ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",3,30/04/06, ! "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,05/06/06, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,26/04/06, ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,28/04/06, ! "QLA","gensrc","add support for complete conversion of datatype of function return value","done",,23/05/06, ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",3,23/05/06, ! "QLA","VBA framework","load XLLs","done",1,05/05/06, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,18/04/06, ! "QLA","VBA framework","skeleton structure","done",,18/04/06, ! "QLA","VBA framework","create trade/market workbooks from templates","done",1,05/05/06, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,18/04/06, ! "QLA","Workstation Document","explanation of runtime libraries","done",2,21/04/06, ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",2,21/04/06, ! "QLA","Workstation Document","document use of Addin Manager","done",2,28/04/06, ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,28/04/06, ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,28/04/06, ! "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","cancelled",2,,"lazy instantiation?" ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","done",2,14/06/06, ! "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",3,06/09/06,"consolidate code for returning object references" ! "QLA","Enumerations","add support for accessing member function of Enumeration","done",1,06/12/06,"represent stateful objects as singletons rather than Enumerations?" ! "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",1,14/06/06,"also required for ctors otherwise GC breaks" ! "QLA","INDEX","get/set fixing for given date","done",2,,"?" ! "QLA","Design","improve formatting of log messages","done",,, --- 1,150 ---- ! 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,, ! 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?) ,,,,,, ,,,,,, ,,,,,, ,,,,,, ,,,,,, ,,,,,, ,,,,,, ,,,,,, ,,,,,, ! ,,,,,, ! ,,,,,, ! ,,,,,, ! ,,,,,, ! ,,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, ! ! ,,,,, ! ,,,,, ! ,,,,, ! ,,,,, |
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From: Eric E. <eri...@us...> - 2006-08-29 13:50:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17127/Docs/pages Modified Files: faq.docs Log Message: update VBA code Index: faq.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/faq.docs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** faq.docs 28 Aug 2006 10:05:24 -0000 1.3 --- faq.docs 29 Aug 2006 13:50:14 -0000 1.4 *************** *** 181,197 **** \verbatim Sub priceEuropeanOption() Dim blackVolHandle As String Dim blackScholesHandle As String Dim optionHandle As String Dim npv As Double blackVolHandle = Application.Run("qlBlackConstantVol", ! "blackconstantvol", 40250, 0.2, "Actual360") ! blackScholesHandle = Application.Run("qlBlackScholesProcess", ! "stoch1", blackVolHandle, 36, "Actual360", 40250, 0.06, 0) ! optionHandle = Application.Run("qlVanillaOption", "eur1", ! blackScholesHandle, "Put", "Vanilla", 35, "European", ! 43903, 0, "JR", 801) npv = Application.Run("qlNPV", optionHandle) Debug.Print npv End Sub \endverbatim --- 181,219 ---- \verbatim Sub priceEuropeanOption() + + On Error GoTo Catch + Dim blackVolHandle As String Dim blackScholesHandle As String + Dim exerciseHandle As String + Dim payoffHandle As String + Dim engineHandle As String Dim optionHandle As String Dim npv As Double + Call Application.Run("qlSetEvaluationDate", 35930) blackVolHandle = Application.Run("qlBlackConstantVol", ! "volatility", 35932, 0.2, "Actual/365 (Fixed)") ! blackScholesHandle = Application.Run( ! "qlGeneralizedBlackScholesProcess", "process", ! blackVolHandle, 36, "Actual/365 (Fixed)", 35932, 0.06, 0) ! exerciseHandle = Application.Run("qlEuropeanExercise", ! "exercise", 36297) ! payoffHandle = Application.Run("qlStrikedTypePayoff", ! "payoff", "Vanilla", "Put", 40) ! engineHandle = Application.Run("qlPricingEngine", "engine", ! "AE") ! optionHandle = Application.Run("qlVanillaOption", "option", ! blackScholesHandle, payoffHandle, exerciseHandle, ! engineHandle) npv = Application.Run("qlNPV", optionHandle) Debug.Print npv + + Exit Sub + + Catch: + + Debug.Print "QuantLibXL Error: " + Err.Description + MsgBox Err.Description, vbCritical, "QuantLibXL Error" + End Sub \endverbatim |
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From: Eric E. <eri...@us...> - 2006-08-29 13:45:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15055/Docs/pages Modified Files: Tag: R000313f0-branch faq.docs Log Message: document fix for excel crash Index: faq.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/faq.docs,v retrieving revision 1.2.2.2 retrieving revision 1.2.2.3 diff -C2 -d -r1.2.2.2 -r1.2.2.3 *** faq.docs 29 Aug 2006 08:29:42 -0000 1.2.2.2 --- faq.docs 29 Aug 2006 13:45:22 -0000 1.2.2.3 *************** *** 31,34 **** --- 31,35 ---- \ref faq_issues\n + - \ref faq_vba_crash\n - \ref faq_buildtime\n *************** *** 51,54 **** --- 52,91 ---- \section faq_issues Issues With QuantLibAddin 0.3.13 Release + \section faq_vba_crash Calling QuantLibAddin from VBA Crashes Excel + + This is caused by a bug in ObjectHandler. You need to patch + ObjectHandler and rebuild QuantLibXL from source. The patch for + ObjectHandler is to edit file <tt>ohxl/objecthandlerxl.cpp</tt> + and replace the code for funtion <tt>ObjectHandlerXL::storeObject</tt> + as follows: + + \verbatim + std::string ObjectHandlerXL::storeObject( + std::string objectID, + const boost::shared_ptr<Object> &object) { + + if (objectID.empty()) { + objectID = generateObjectID(); + object->setAnonymous(); + } + + if (FunctionCall::instance().getCallerType() == Cell) { + boost::shared_ptr<CallingRange> callingRange = + getCallingRange(); + callingRange->deleteObject(objectID, object); + checkName(objectID); + callingRange->registerObject(objectID, object); + + std::string objectIDCounter = + ObjectHandler::storeObject(objectID, object); + return objectIDCounter + "#" + + callingRange->updateCount(); + } else { + ObjectHandler::storeObject(objectID, object); + return objectID; + } + } + \endverbatim + \section faq_buildtime QuantLibXL Build is Very Slow *************** *** 201,217 **** \verbatim Sub priceEuropeanOption() Dim blackVolHandle As String Dim blackScholesHandle As String Dim optionHandle As String Dim npv As Double blackVolHandle = Application.Run("qlBlackConstantVol", ! "blackconstantvol", 40250, 0.2, "Actual360") ! blackScholesHandle = Application.Run("qlBlackScholesProcess", ! "stoch1", blackVolHandle, 36, "Actual360", 40250, 0.06, 0) ! optionHandle = Application.Run("qlVanillaOption", "eur1", ! blackScholesHandle, "Put", "Vanilla", 35, "European", ! 43903, 0, "JR", 801) npv = Application.Run("qlNPV", optionHandle) Debug.Print npv End Sub \endverbatim --- 238,276 ---- \verbatim Sub priceEuropeanOption() + + On Error GoTo Catch + Dim blackVolHandle As String Dim blackScholesHandle As String + Dim exerciseHandle As String + Dim payoffHandle As String + Dim engineHandle As String Dim optionHandle As String Dim npv As Double + Call Application.Run("qlSetEvaluationDate", 35930) blackVolHandle = Application.Run("qlBlackConstantVol", ! "volatility", 35932, 0.2, "Actual/365 (Fixed)") ! blackScholesHandle = Application.Run( ! "qlGeneralizedBlackScholesProcess", "process", ! blackVolHandle, 36, "Actual/365 (Fixed)", 35932, 0.06, 0) ! exerciseHandle = Application.Run("qlEuropeanExercise", ! "exercise", 36297) ! payoffHandle = Application.Run("qlStrikedTypePayoff", ! "payoff", "Vanilla", "Put", 40) ! engineHandle = Application.Run("qlPricingEngine", "engine", ! "AE") ! optionHandle = Application.Run("qlVanillaOption", "option", ! blackScholesHandle, payoffHandle, exerciseHandle, ! engineHandle) npv = Application.Run("qlNPV", optionHandle) Debug.Print npv + + Exit Sub + + Catch: + + Debug.Print "QuantLibXL Error: " + Err.Description + MsgBox Err.Description, vbCritical, "QuantLibXL Error" + End Sub \endverbatim |
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From: Katiuscia M. <kma...@us...> - 2006-08-29 12:07:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5612/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: added new parameter (SwapSettlementDays) in the SwaptionVolatilityCube constructor Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** swaptionvolstructure.xml 28 Aug 2006 10:05:24 -0000 1.32 --- swaptionvolstructure.xml 29 Aug 2006 12:07:18 -0000 1.33 *************** *** 410,413 **** --- 410,418 ---- <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='fixedLegFrequency' enumeration='QuantLib::Frequency'> <type>string</type> |
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From: Katiuscia M. <kma...@us...> - 2006-08-29 12:07:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5612/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: added new parameter (SwapSettlementDays) in the SwaptionVolatilityCube constructor Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** swaptionvolstructure.cpp 21 Aug 2006 09:44:53 -0000 1.8 --- swaptionvolstructure.cpp 29 Aug 2006 12:07:21 -0000 1.9 *************** *** 90,93 **** --- 90,94 ---- const QuantLib::Matrix& volSpreads, const QuantLib::Calendar& calendar, + const long swapSettlementDays, const QuantLib::Frequency& fixedLegFrequency, const QuantLib::BusinessDayConvention& fixedLegConvention, *************** *** 104,107 **** --- 105,109 ---- volSpreads, calendar, + swapSettlementDays, fixedLegFrequency, fixedLegConvention, Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** swaptionvolstructure.hpp 21 Aug 2006 09:44:53 -0000 1.8 --- swaptionvolstructure.hpp 29 Aug 2006 12:07:21 -0000 1.9 *************** *** 62,65 **** --- 62,66 ---- const QuantLib::Matrix& volSpreads, const QuantLib::Calendar& calendar, + const long swapSettlementDays, const QuantLib::Frequency& fixedLegFrequency, const QuantLib::BusinessDayConvention& fixedLegConvention, |
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From: Eric E. <eri...@us...> - 2006-08-29 08:42:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/images In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7649/images Modified Files: VC8_custom.jpg boost_include_path.jpg boost_lib_path.jpg ql_build.jpg Log Message: update build tutorial Index: boost_lib_path.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/boost_lib_path.jpg,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 Binary files /tmp/cvsP2MFbk and /tmp/cvsFU0ZQL differ Index: ql_build.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/ql_build.jpg,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 Binary files /tmp/cvsoLYF9n and /tmp/cvsCn1sWP differ Index: boost_include_path.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/boost_include_path.jpg,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 Binary files /tmp/cvsZ7SUjq and /tmp/cvstethhS differ Index: VC8_custom.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/VC8_custom.jpg,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 Binary files /tmp/cvsIP33cT and /tmp/cvsSG937l differ |
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From: Eric E. <eri...@us...> - 2006-08-29 08:42:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7649/pages Modified Files: build.tutorial.docs Log Message: update build tutorial Index: build.tutorial.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/build.tutorial.docs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** build.tutorial.docs 28 Aug 2006 10:05:24 -0000 1.2 --- build.tutorial.docs 29 Aug 2006 08:42:41 -0000 1.3 *************** *** 24,29 **** /*! \page build_tutorial Build Tutorial This document explains how to build QuantLibXL and its prerequisites from ! source code. Each step is documented in detail: \ref sec_build_vc8 \n --- 24,38 ---- /*! \page build_tutorial Build Tutorial + <center><small>last updated 29 August 2006</small></center> + This document explains how to build QuantLibXL and its prerequisites from ! source code. ! ! If you want a binary installation of the precompiled addin, please go instead ! to the <a href="http://www.quantlibxl.org">QuantLibXL</a> web site. ! ! Piter Dias has written a ! <a href="http://sourceforge.net/mailarchive/forum.php?thread_id=30355157&forum_id=4299">DOS batch file</a> ! which automates all of the steps described in this document. \ref sec_build_vc8 \n *************** *** 76,80 **** \li run the command: \verbatim ! C:\Projects\boost_1_33_1>bjam "-sTOOLS=vc-8_0" install \endverbatim This command will create the Boost include directory <tt>C:\\Boost\\include\\boost-1_33_1</tt> and the Boost library directory <tt>C:\\Boost\\lib</tt>. Relax: it takes a long while. --- 85,90 ---- \li run the command: \verbatim ! C:\Projects\boost_1_33_1>bjam "-sTOOLS=vc-8_0" ! "--with-regex" install \endverbatim This command will create the Boost include directory <tt>C:\\Boost\\include\\boost-1_33_1</tt> and the Boost library directory <tt>C:\\Boost\\lib</tt>. Relax: it takes a long while. *************** *** 90,98 **** You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib</a> - the core C++ analytics library ! - log4cxx - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries --- 100,108 ---- You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib 0.3.13</a> - the core C++ analytics library ! - <b>log4cxx 0.9.7a</b> - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler 0.1.4</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin 0.3.13</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL 0.3.13</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries *************** *** 193,197 **** 1>STL : Dinkumware standard library version 405 1>Boost : 1.33.1 ! 1>Testing Barone-Adesi and Whaley approximation for American options... [...] 1>Testing old-style Monte Carlo multi-factor pricers... --- 203,208 ---- 1>STL : Dinkumware standard library version 405 1>Boost : 1.33.1 ! 1>Testing Barone-Adesi and Whaley approximation for American ! options... [...] 1>Testing old-style Monte Carlo multi-factor pricers... *************** *** 202,206 **** 1> moreThan200 test cases out of moreThan200 passed 1>Build log was saved at ! 1>"file://c:\Projects\QuantLib\test-suite\build\vc80\Release\BuildLog.htm" 1>testsuite - 0 error(s), 0 warning(s) \endverbatim --- 213,218 ---- 1> moreThan200 test cases out of moreThan200 passed 1>Build log was saved at ! 1>"file://c:\Projects\QuantLib\test-suite\build\vc80\Release\ ! BuildLog.htm" 1>testsuite - 0 error(s), 0 warning(s) \endverbatim *************** *** 252,256 **** \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.3.13.exe</tt> and <tt>QuantLibXL-0.3.13.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, --- 264,268 ---- \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.3.13.exe</tt> and <tt>QuantLibXL-src-0.3.13.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, |
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From: Eric E. <eri...@us...> - 2006-08-29 08:29:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2010/pages Modified Files: Tag: R000313f0-branch build.tutorial.docs faq.docs Log Message: update docs for post-release issues Index: build.tutorial.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/build.tutorial.docs,v retrieving revision 1.1.2.3 retrieving revision 1.1.2.4 diff -C2 -d -r1.1.2.3 -r1.1.2.4 *** build.tutorial.docs 11 Aug 2006 00:12:51 -0000 1.1.2.3 --- build.tutorial.docs 29 Aug 2006 08:29:42 -0000 1.1.2.4 *************** *** 24,29 **** /*! \page build_tutorial Build Tutorial This document explains how to build QuantLibXL and its prerequisites from ! source code. Each step is documented in detail: \ref sec_build_vc8 \n --- 24,41 ---- /*! \page build_tutorial Build Tutorial + <center><small>last updated 29 August 2006</small></center> + This document explains how to build QuantLibXL and its prerequisites from ! source code. ! ! If you want a binary installation of the precompiled addin, please go instead ! to the <a href="http://www.quantlibxl.org">QuantLibXL</a> web site. ! ! Before proceeding with the build please consult section \ref faq_issues of ! document \ref faq. ! ! Piter Dias has written a ! <a href="http://sourceforge.net/mailarchive/forum.php?thread_id=30355157&forum_id=4299">DOS batch file</a> ! which automates all of the steps described in this document. \ref sec_build_vc8 \n *************** *** 76,80 **** \li run the command: \verbatim ! C:\Projects\boost_1_33_1>bjam "-sTOOLS=vc-8_0" install \endverbatim This command will create the Boost include directory <tt>C:\\Boost\\include\\boost-1_33_1</tt> and the Boost library directory <tt>C:\\Boost\\lib</tt>. Relax: it takes a long while. --- 88,93 ---- \li run the command: \verbatim ! C:\Projects\boost_1_33_1>bjam "-sTOOLS=vc-8_0" ! "--with-regex" install \endverbatim This command will create the Boost include directory <tt>C:\\Boost\\include\\boost-1_33_1</tt> and the Boost library directory <tt>C:\\Boost\\lib</tt>. Relax: it takes a long while. *************** *** 90,98 **** You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib</a> - the core C++ analytics library ! - log4cxx - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries --- 103,111 ---- You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib 0.3.13</a> - the core C++ analytics library ! - <b>log4cxx 0.9.7a</b> - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler 0.1.4</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin 0.3.13</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL 0.3.13</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries *************** *** 193,197 **** 1>STL : Dinkumware standard library version 405 1>Boost : 1.33.1 ! 1>Testing Barone-Adesi and Whaley approximation for American options... [...] 1>Testing old-style Monte Carlo multi-factor pricers... --- 206,211 ---- 1>STL : Dinkumware standard library version 405 1>Boost : 1.33.1 ! 1>Testing Barone-Adesi and Whaley approximation for American ! options... [...] 1>Testing old-style Monte Carlo multi-factor pricers... *************** *** 202,206 **** 1> moreThan200 test cases out of moreThan200 passed 1>Build log was saved at ! 1>"file://c:\Projects\QuantLib\test-suite\build\vc80\Release\BuildLog.htm" 1>testsuite - 0 error(s), 0 warning(s) \endverbatim --- 216,221 ---- 1> moreThan200 test cases out of moreThan200 passed 1>Build log was saved at ! 1>"file://c:\Projects\QuantLib\test-suite\build\vc80\Release\ ! BuildLog.htm" 1>testsuite - 0 error(s), 0 warning(s) \endverbatim *************** *** 252,256 **** \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.3.13.exe</tt> and <tt>QuantLibXL-0.3.13.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, --- 267,271 ---- \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.3.13.exe</tt> and <tt>QuantLibXL-src-0.3.13.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, Index: faq.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/faq.docs,v retrieving revision 1.2.2.1 retrieving revision 1.2.2.2 diff -C2 -d -r1.2.2.1 -r1.2.2.2 *** faq.docs 7 Aug 2006 11:00:36 -0000 1.2.2.1 --- faq.docs 29 Aug 2006 08:29:42 -0000 1.2.2.2 *************** *** 30,33 **** --- 30,36 ---- <a href="http://quantlib.org/developerFAQ.shtml">QuantLib developer FAQ</a>. + \ref faq_issues\n + - \ref faq_buildtime\n + \ref faq_usage\n - \ref faq_loaded\n *************** *** 46,49 **** --- 49,69 ---- - \ref faq_excel + \section faq_issues Issues With QuantLibAddin 0.3.13 Release + + \section faq_buildtime QuantLibXL Build is Very Slow + + There are some issues with the configuration of QuantLibXL - e.g. inclusion of + unnecessary header files - which cause the build to run very slowly. Depending on + available CPU and memory the build may take several hours to complete, or may hang + altogether. This will be fixed under 0.3.14, for 0.3.13 all of the following + workarounds have been found to be effective: + + \li use faster hardware + \li use VC7 instead of VC8 + \li compile for Debug instead of Release + \li if compiling the Release configuration, disable optimization - in the QuantLibXL + project, under "Properties / Configuration Properties / C/C++ / Optimization" set + Optimization to Disabled. + \section faq_usage Usage |
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From: Eric E. <eri...@us...> - 2006-08-29 08:29:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/images In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2010/images Modified Files: Tag: R000313f0-branch VC8_custom.jpg boost_include_path.jpg boost_lib_path.jpg ql_build.jpg Log Message: update docs for post-release issues Index: boost_lib_path.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/boost_lib_path.jpg,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 Binary files /tmp/cvszsAAhY and /tmp/cvsbMGtLE differ Index: ql_build.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/ql_build.jpg,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 Binary files /tmp/cvsKJx603 and /tmp/cvswxfnBK differ Index: boost_include_path.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/boost_include_path.jpg,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 Binary files /tmp/cvsSR5ex6 and /tmp/cvsYL7PaN differ Index: VC8_custom.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/VC8_custom.jpg,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 Binary files /tmp/cvsXgicm7 and /tmp/cvsnrMU4N differ |
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From: Giorgio F. <gi...@us...> - 2006-08-29 08:07:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25193/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp Log Message: Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** enumclassctors.cpp 28 Aug 2006 12:04:52 -0000 1.17 --- enumclassctors.cpp 29 Aug 2006 08:07:52 -0000 1.18 *************** *** 500,513 **** //VanillaCMSCouponPricer ! //boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve){ ! // return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( ! // new QuantLib::ConundrumPricerByBlack(modelOfYieldCurve)); ! //}; ! //boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ){ ! // return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( ! // new QuantLib::ConundrumPricerByNumericalIntegration(modelOfYieldCurve)); ! //}; } --- 500,513 ---- //VanillaCMSCouponPricer ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve){ ! return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( ! new QuantLib::ConundrumPricerByBlack(modelOfYieldCurve)); ! }; ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ){ ! return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>( ! new QuantLib::ConundrumPricerByNumericalIntegration(modelOfYieldCurve)); ! }; } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** enumclassctors.hpp 28 Aug 2006 15:20:44 -0000 1.15 --- enumclassctors.hpp 29 Aug 2006 08:07:52 -0000 1.16 *************** *** 190,200 **** const QuantLib::DayCounter &dayCounter); ! ////VanillaCMSCouponPricer ! //boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> ! // CONUNDRUM_BY_BLACK_Pricer( ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ); ! //boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> ! // CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ); } --- 190,200 ---- const QuantLib::DayCounter &dayCounter); ! //VanillaCMSCouponPricer ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> ! CONUNDRUM_BY_BLACK_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ); ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> ! CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ); } |
