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From: Giorgio F. <gi...@us...> - 2006-08-29 08:07:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25193/gensrc/metadata Modified Files: enumclasses.xml index.xml Log Message: Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** index.xml 28 Aug 2006 15:20:44 -0000 1.28 --- index.xml 29 Aug 2006 08:07:52 -0000 1.29 *************** *** 430,434 **** <!-- SwapIndex constructor --> ! <!--Constructor name='qlSwapIndex'> <libraryFunction>SwapIndex</libraryFunction> <supportedPlatforms> --- 430,434 ---- <!-- SwapIndex constructor --> ! <Constructor name='qlSwapIndex'> <libraryFunction>SwapIndex</libraryFunction> <supportedPlatforms> *************** *** 484,488 **** </Parameters> </ParameterList> ! </Constructor--> </Functions> --- 484,488 ---- </Parameters> </ParameterList> ! </Constructor> </Functions> Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** enumclasses.xml 28 Aug 2006 12:04:51 -0000 1.8 --- enumclasses.xml 29 Aug 2006 08:07:52 -0000 1.9 *************** *** 29,33 **** </Enumeration> ! <!--Enumeration> <type>QuantLib::VanillaCMSCouponPricer</type> <EnumerationDefinitions> --- 29,33 ---- </Enumeration> ! <Enumeration> <type>QuantLib::VanillaCMSCouponPricer</type> <EnumerationDefinitions> *************** *** 43,47 **** </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration--> <Enumeration> --- 43,47 ---- </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration> <Enumeration> |
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From: Ferdinando A. <na...@us...> - 2006-08-28 21:17:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7793 Modified Files: QuantLibObjects_vc8.vcproj Log Message: 1) restoring functionalities 2) VC8 optimization disabled 3) VC8 catch up Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** QuantLibObjects_vc8.vcproj 28 Aug 2006 16:37:14 -0000 1.36 --- QuantLibObjects_vc8.vcproj 28 Aug 2006 21:17:40 -0000 1.37 *************** *** 358,361 **** --- 358,369 ---- > <File + RelativePath=".\qlo\vo_assetswap.cpp" + > + </File> + <File + RelativePath=".\qlo\vo_assetswap.hpp" + > + </File> + <File RelativePath="qlo\vo_bonds.cpp" > *************** *** 430,433 **** --- 438,449 ---- </File> <File + RelativePath=".\qlo\vo_marketmodels.cpp" + > + </File> + <File + RelativePath=".\qlo\vo_marketmodels.hpp" + > + </File> + <File RelativePath="qlo\vo_mathf.cpp" > *************** *** 894,897 **** --- 910,925 ---- </File> </Filter> + <Filter + Name="MarketModels" + > + <File + RelativePath=".\qlo\marketmodels.cpp" + > + </File> + <File + RelativePath=".\qlo\marketmodels.hpp" + > + </File> + </Filter> <File RelativePath="qlo\auto_link.hpp" |
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From: Chiara F. <chi...@us...> - 2006-08-28 18:57:42
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13053/gensrc/metadata Modified Files: assetswap.xml Log Message: Esposed fairPrice method as qlAssetSwapFairPrice function Index: assetswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/assetswap.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** assetswap.xml 24 Aug 2006 16:08:49 -0000 1.1 --- assetswap.xml 28 Aug 2006 18:57:38 -0000 1.2 *************** *** 134,137 **** --- 134,151 ---- </Member> + <Member name='qlAssetSwapFairPrice' libraryClass='AssetSwap' dependencyTrigger='true'> + <description>the fair price of the bond</description> + <libraryFunction>fairPrice</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-08-28 17:20:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6637/Docs Modified Files: docs-QuantLibAddin.vcproj docs-QuantLibAddin_vc8.vcproj Log Message: updated autopages Index: docs-QuantLibAddin_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin_vc8.vcproj,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** docs-QuantLibAddin_vc8.vcproj 29 Jul 2006 15:41:52 -0000 1.5 --- docs-QuantLibAddin_vc8.vcproj 28 Aug 2006 17:20:15 -0000 1.6 *************** *** 128,131 **** --- 128,135 ---- </File> <File + RelativePath=".\auto.pages\assetswap.docs" + > + </File> + <File RelativePath=".\auto.pages\bonds.docs" > *************** *** 140,143 **** --- 144,151 ---- </File> <File + RelativePath=".\auto.pages\capletvolstructure.docs" + > + </File> + <File RelativePath=".\auto.pages\categories.docs" > *************** *** 180,187 **** --- 188,203 ---- </File> <File + RelativePath=".\auto.pages\marketmodels.docs" + > + </File> + <File RelativePath=".\auto.pages\mathf.docs" > </File> <File + RelativePath=".\auto.pages\ohfunctions.docs" + > + </File> + <File RelativePath=".\auto.pages\optimization.docs" > *************** *** 192,195 **** --- 208,215 ---- </File> <File + RelativePath=".\auto.pages\payoffs.docs" + > + </File> + <File RelativePath=".\auto.pages\prices.docs" > *************** *** 216,223 **** --- 236,255 ---- </File> <File + RelativePath=".\auto.pages\sequencestatistics.docs" + > + </File> + <File + RelativePath=".\auto.pages\settings.docs" + > + </File> + <File RelativePath=".\auto.pages\shortratemodels.docs" > </File> <File + RelativePath=".\auto.pages\statistics.docs" + > + </File> + <File RelativePath=".\auto.pages\swap.docs" > Index: docs-QuantLibAddin.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin.vcproj,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** docs-QuantLibAddin.vcproj 25 Aug 2006 07:24:06 -0000 1.8 --- docs-QuantLibAddin.vcproj 28 Aug 2006 17:20:15 -0000 1.9 *************** *** 84,87 **** --- 84,93 ---- </File> <File + RelativePath=".\auto.pages\ohfunctions.docs"> + </File> + <File + RelativePath=".\auto.pages\optimization.docs"> + </File> + <File RelativePath=".\auto.pages\options.docs"> </File> *************** *** 108,114 **** --- 114,129 ---- </File> <File + RelativePath=".\auto.pages\sequencestatistics.docs"> + </File> + <File + RelativePath=".\auto.pages\settings.docs"> + </File> + <File RelativePath=".\auto.pages\shortratemodels.docs"> </File> <File + RelativePath=".\auto.pages\statistics.docs"> + </File> + <File RelativePath=".\auto.pages\swap.docs"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:37:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20240 Modified Files: QuantLibObjects_vc8.vcproj Log Message: updated Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** QuantLibObjects_vc8.vcproj 28 Aug 2006 16:23:13 -0000 1.35 --- QuantLibObjects_vc8.vcproj 28 Aug 2006 16:37:14 -0000 1.36 *************** *** 682,685 **** --- 682,693 ---- </File> <File + RelativePath=".\qlo\assetswap.cpp" + > + </File> + <File + RelativePath=".\qlo\assetswap.hpp" + > + </File> + <File RelativePath="qlo\barrieroption.cpp" > |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:37:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20240/gensrc Modified Files: gensrc_vc8.vcproj Log Message: updated Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** gensrc_vc8.vcproj 28 Aug 2006 16:23:14 -0000 1.23 --- gensrc_vc8.vcproj 28 Aug 2006 16:37:14 -0000 1.24 *************** *** 56,59 **** --- 56,63 ---- > <File + RelativePath=".\metadata\assetswap.xml" + > + </File> + <File RelativePath="metadata\bonds.xml" > *************** *** 116,119 **** --- 120,127 ---- </File> <File + RelativePath=".\metadata\marketmodels.xml" + > + </File> + <File RelativePath="metadata\mathf.xml" > |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:37:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20240/qlo Modified Files: .cvsignore Log Message: updated Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** .cvsignore 28 Aug 2006 16:00:14 -0000 1.17 --- .cvsignore 28 Aug 2006 16:37:14 -0000 1.18 *************** *** 10,13 **** --- 10,14 ---- enumclassregistry.cpp qladdin.hpp + vo_assetswap.*pp vo_bonds.*pp vo_calendar.*pp |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:23:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14085 Modified Files: QuantLibObjects_vc8.vcproj Log Message: VC8 catching up Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** QuantLibObjects_vc8.vcproj 28 Aug 2006 10:05:21 -0000 1.34 --- QuantLibObjects_vc8.vcproj 28 Aug 2006 16:23:13 -0000 1.35 *************** *** 494,505 **** </File> <File - RelativePath=".\qlo\vo_riskstatistics.cpp" - > - </File> - <File - RelativePath=".\qlo\vo_riskstatistics.hpp" - > - </File> - <File RelativePath="qlo\vo_schedule.cpp" > --- 494,497 ---- *************** *** 526,529 **** --- 518,529 ---- </File> <File + RelativePath=".\qlo\vo_statistics.cpp" + > + </File> + <File + RelativePath=".\qlo\vo_statistics.hpp" + > + </File> + <File RelativePath="qlo\vo_swap.cpp" > *************** *** 634,650 **** </File> <File ! RelativePath=".\qlo\riskstatistics.cpp" > </File> <File ! RelativePath=".\qlo\riskstatistics.hpp" > </File> <File ! RelativePath=".\qlo\sequencestatistics.cpp" > </File> <File ! RelativePath=".\qlo\sequencestatistics.hpp" > </File> --- 634,650 ---- </File> <File ! RelativePath=".\qlo\sequencestatistics.cpp" > </File> <File ! RelativePath=".\qlo\sequencestatistics.hpp" > </File> <File ! RelativePath=".\qlo\statistics.cpp" > </File> <File ! RelativePath=".\qlo\statistics.hpp" > </File> |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:23:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14085/gensrc Modified Files: gensrc_vc8.vcproj Log Message: VC8 catching up Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** gensrc_vc8.vcproj 28 Aug 2006 10:05:24 -0000 1.22 --- gensrc_vc8.vcproj 28 Aug 2006 16:23:14 -0000 1.23 *************** *** 156,163 **** </File> <File - RelativePath=".\metadata\riskstatistics.xml" - > - </File> - <File RelativePath="metadata\schedule.xml" > --- 156,159 ---- *************** *** 176,179 **** --- 172,179 ---- </File> <File + RelativePath=".\metadata\statistics.xml" + > + </File> + <File RelativePath="metadata\swap.xml" > |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:17:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11548/qlo Removed Files: vo_assetswap.cpp vo_assetswap.hpp Log Message: removing useless files --- vo_assetswap.cpp DELETED --- --- vo_assetswap.hpp DELETED --- |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:00:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3999/gensrc Modified Files: Makefile.vc gensrc.vcproj Log Message: typedef RiskStatistics Statistics; Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** Makefile.vc 28 Aug 2006 10:05:24 -0000 1.24 --- Makefile.vc 28 Aug 2006 16:00:04 -0000 1.25 *************** *** 35,43 **** metadata\randomsequencegenerator.xml \ metadata\ratehelpers.xml \ - metadata\riskstatistics.xml \ metadata\schedule.xml \ metadata\sequencestatistics.xml \ metadata\settings.xml \ metadata\shortratemodels.xml \ metadata\swap.xml \ metadata\swaption.xml \ --- 35,43 ---- metadata\randomsequencegenerator.xml \ metadata\ratehelpers.xml \ metadata\schedule.xml \ metadata\sequencestatistics.xml \ metadata\settings.xml \ metadata\shortratemodels.xml \ + metadata\statistics.xml \ metadata\swap.xml \ metadata\swaption.xml \ Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** gensrc.vcproj 28 Aug 2006 10:05:24 -0000 1.18 --- gensrc.vcproj 28 Aug 2006 16:00:05 -0000 1.19 *************** *** 118,124 **** </File> <File - RelativePath=".\metadata\riskstatistics.xml"> - </File> - <File RelativePath="metadata\schedule.xml"> </File> --- 118,121 ---- *************** *** 130,133 **** --- 127,133 ---- </File> <File + RelativePath=".\metadata\statistics.xml"> + </File> + <File RelativePath="metadata\swap.xml"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:00:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3999 Modified Files: QuantLibObjects.vcproj Log Message: typedef RiskStatistics Statistics; Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** QuantLibObjects.vcproj 25 Aug 2006 07:22:50 -0000 1.28 --- QuantLibObjects.vcproj 28 Aug 2006 16:00:03 -0000 1.29 *************** *** 471,480 **** </File> <File - RelativePath=".\qlo\vo_riskstatistics.cpp"> - </File> - <File - RelativePath=".\qlo\vo_riskstatistics.hpp"> - </File> - <File RelativePath="qlo\vo_schedule.cpp"> </File> --- 471,474 ---- *************** *** 489,492 **** --- 483,492 ---- </File> <File + RelativePath=".\qlo\vo_statistics.cpp"> + </File> + <File + RelativePath=".\qlo\vo_statistics.hpp"> + </File> + <File RelativePath="qlo\vo_swap.cpp"> </File> *************** *** 556,563 **** </File> <File ! RelativePath=".\qlo\riskstatistics.cpp"> </File> <File ! RelativePath=".\qlo\riskstatistics.hpp"> </File> <File --- 556,563 ---- </File> <File ! RelativePath=".\qlo\statistics.cpp"> </File> <File ! RelativePath=".\qlo\statistics.hpp"> </File> <File |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:00:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3999/gensrc/metadata Added Files: statistics.xml Removed Files: riskstatistics.xml Log Message: typedef RiskStatistics Statistics; --- NEW FILE: statistics.xml --- <Category name='statistics'> <description>functions to construct and use Statistics objects</description> <displayName>Statistics</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <includes> <include>qlo/statistics.hpp</include> <include>qlo/vo_statistics.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Cristina Duminuco </copyright> <Functions> <!-- GeneralStatistics methods --> <Member name='qlStatisticsSamples' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the number of samples collected</description> <libraryFunction>samples</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsWeightSum' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the sum of data weights</description> <libraryFunction>weightSum</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsMean' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the mean</description> <libraryFunction>mean</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsVariance' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the variance</description> <libraryFunction>variance</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsStandardDeviation' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the the standard deviation</description> <libraryFunction>standardDeviation</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsErrorEstimate' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the error estimate on the mean value</description> <libraryFunction>errorEstimate</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsSkewness' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the skewness</description> <libraryFunction>skewness</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsKurtosis' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the excess kurtosis</description> <libraryFunction>kurtosis</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsMin' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the minimum sample value</description> <libraryFunction>min</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsMax' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the maximum sample value</description> <libraryFunction>max</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsPercentile' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the x-th percentile</description> <libraryFunction>percentile</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='x'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Must be in the range (0,1]</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsTopPercentile' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the x-th top percentile.</description> <libraryFunction>topPercentile</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='x'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Must be in the range (0,1]</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <!-- GaussianStatistics methods --> <Member name='qlStatisticsGaussianDownsideVariance' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the variance of observations below 0.0 .</description> <libraryFunction>gaussianDownsideVariance</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianDownsideDeviation' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the square root of the downside variance.</description> <libraryFunction>gaussianDownsideDeviation</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianRegret' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the variance of observations below the target.</description> <libraryFunction>gaussianRegret</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianPercentile' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the x-th percentile.</description> <libraryFunction>gaussianPercentile</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='x'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Must be in the range (0,1]</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianTopPercentile' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the x-th top percentile.</description> <libraryFunction>gaussianTopPercentile</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='x'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Must be in the range (0,1].</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianPotentialUpside' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the reciprocal of VAR at a given percentile.</description> <libraryFunction>gaussianPotentialUpside</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianValueAtRisk' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the value-at-risk at a given percentile.</description> <libraryFunction>gaussianValueAtRisk</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianExpectedShortfall' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the expected loss in case that the loss exceeded a VaR threshold.</description> <libraryFunction>gaussianExpectedShortfall</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianShortfall' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the probability of missing the given target.</description> <libraryFunction>gaussianShortfall</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsGaussianAverageShortfall' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the averaged shortfallness.</description> <libraryFunction>gaussianAverageShortfall</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <!-- GenericRiskStatistics methods --> <Member name='qlStatisticsSemiVariance' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the variance of observations below the mean.</description> <libraryFunction>semiVariance</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsSemiDeviation' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the square root of the semivariance.</description> <libraryFunction>semiDeviation</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsDownsideVariance' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the variance of observations below 0.0 .</description> <libraryFunction>downsideVariance</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsDownsideDeviation' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the square root of the downside variance.</description> <libraryFunction>downsideDeviation</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsRegret' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the variance of observations below target.</description> <libraryFunction>regret</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsPotentialUpside' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the reciprocal of VAR at a given percentile.</description> <libraryFunction>potentialUpside</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='centile'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the centile</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsValueAtRisk' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the value-at-risk at a given percentile.</description> <libraryFunction>valueAtRisk</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsExpectedShortfall' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the expected loss in case that the loss exceeded a VaR threshold.</description> <libraryFunction>expectedShortfall</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='centile'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the centile</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsShortfall' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the probability of missing the given target.</description> <libraryFunction>shortfall</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlStatisticsAverageShortfall' libraryClass='Statistics' dependencyTrigger='true'> <description>Returns the averaged shortfallness.</description> <libraryFunction>averageShortfall</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <!-- constructor --> <Constructor name='qlStatistics'> <description> Default risk measures tool </description> <libraryFunction>Statistics</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='values' default='std::vector<QuantLib::Real>()'> <type>double</type> <tensorRank>vector</tensorRank> <description>Sampled values. If omitted, an empty statistics is created.</description> </Parameter> <Parameter name='weights' default='std::vector<QuantLib::Real>()'> <type>double</type> <tensorRank>vector</tensorRank> <description>Weights. If omitted, all sampled values have the same weight.</description> </Parameter> </Parameters> </ParameterList> </Constructor> <!-- GaussianStatistics functions --> <Procedure name='qlGaussianDownsideVariance'> <description>Returns the variance of observations below 0.0 .</description> <alias>QuantLibAddin::gaussianDownsideVariance</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the mean of the gaussian distribution</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>standard deviation of the gaussian distribution</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianDownsideDeviation'> <description>Returns the square root of the downside variance.</description> <alias>QuantLibAddin::gaussianDownsideDeviation</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>mean of the gaussian distribution</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>standard deviation of the gaussian distribution</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianRegret'> <description>Returns the variance of observations below target</description> <alias>QuantLibAddin::gaussianRegret</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>mean of the gaussian distribution</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>standard deviation of the gaussian distribution</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianPercentile'> <description>Returns the x-th percentile</description> <alias>QuantLibAddin::gaussianPercentile</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='x'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>mean of the gaussian distribution</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>standard deviation of the gaussian distribution</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianTopPercentile'> <description>Returns the x-th top percentile</description> <alias>QuantLibAddin::gaussianTopPercentile</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='x'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The mean of the gaussian distribution. If omittted, it is assumet equal to 0.</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The standard deviation of the gaussian distribution. If omittted, it is assumed equal to 1.</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianPotentialUpside'> <description>Returns the reciprocal of VAR at a given percentile.</description> <alias>QuantLibAddin::gaussianPotentialUpside</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The mean of the gaussian distribution. If omittted, it is assumed equal to 0.</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The standard deviation of the gaussian distribution. If omittted, it is assumed equal to 1.</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianValueAtRisk'> <description>Returns the value-at-risk at a given percentile.</description> <alias>QuantLibAddin::gaussianValueAtRisk</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The mean of the gaussian distribution. If omittted, it is assumed equal to 0.</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The standard deviation of the gaussian distribution. If omittted, it is assumed equal to 1.</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianExpectedShortfall'> <description>Returns the expected loss in case that the loss exceeded a VaR threshold.</description> <alias>QuantLibAddin::gaussianExpectedShortfall</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the percentile</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The mean of the gaussian distribution. If omittted, it is assumed equal to 0.</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The standard deviation of the gaussian distribution. If omittted, it is assumed equal to 1.</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianShortfall'> <description>Returns the probability of missing the given target.</description> <alias>QuantLibAddin::gaussianShortfall</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The mean of the gaussian distribution. If omittted, it is assumed equal to 0.</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The standard deviation of the gaussian distribution. If omittted, it is assumed equal to 1.</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='qlGaussianAverageShortfall'> <description>Returns the averaged shortfallness.</description> <alias>QuantLibAddin::gaussianAverageShortfall</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='target'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the target</description> </Parameter> <Parameter name='mean' default='0.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The mean of the gaussian distribution. If omittted, it is assumed equal to 0.</description> </Parameter> <Parameter name='stdDev' default='1.0'> <type>double</type> <tensorRank>scalar</tensorRank> <description>The standard deviation of the gaussian distribution. If omittted, it is assumed equal to 1.</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> </Functions> </Category> --- riskstatistics.xml DELETED --- |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:00:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3999/qlo Modified Files: .cvsignore Added Files: statistics.cpp statistics.hpp Removed Files: riskstatistics.cpp riskstatistics.hpp Log Message: typedef RiskStatistics Statistics; --- riskstatistics.hpp DELETED --- --- NEW FILE: statistics.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Duminuco Cristina This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_riskstatistics_hpp #define qla_riskstatistics_hpp #include <oh/objhandler.hpp> #include <ql/Math/statistics.hpp> namespace QuantLibAddin { class Statistics : public ObjHandler::LibraryObject<QuantLib::Statistics> { public: Statistics(std::vector<QuantLib::Real> values, std::vector<QuantLib::Real> weights); }; #define TYPICAL_GAUSSIAN_2DOUBLE_STAT_FUNCTION(METHOD) \ inline double METHOD(double mean, double stdDev) { \ QuantLib::StatsHolder h(mean, stdDev); \ QuantLib::GenericGaussianStatistics< QuantLib::StatsHolder > s(h); \ return s.METHOD(); \ } TYPICAL_GAUSSIAN_2DOUBLE_STAT_FUNCTION(gaussianDownsideVariance) TYPICAL_GAUSSIAN_2DOUBLE_STAT_FUNCTION(gaussianDownsideDeviation) #define TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(METHOD) \ inline double METHOD(double x, double mean, double stdDev) { \ QuantLib::StatsHolder h(mean, stdDev); \ QuantLib::GenericGaussianStatistics< QuantLib::StatsHolder > s(h); \ return s.METHOD(x); \ } TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianRegret) TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianPercentile) TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianTopPercentile) TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianPotentialUpside) TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianValueAtRisk) TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianExpectedShortfall) TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianShortfall) TYPICAL_GAUSSIAN_3DOUBLE_STAT_FUNCTION(gaussianAverageShortfall) } #endif --- NEW FILE: statistics.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <qlo/statistics.hpp> namespace QuantLibAddin { Statistics::Statistics(std::vector<QuantLib::Real> values, std::vector<QuantLib::Real> weights) { libraryObject_ = boost::shared_ptr<QuantLib::Statistics>( new QuantLib::Statistics()); QL_REQUIRE(weights.size()==0 || values.size()==weights.size(), "Values and weights vectors must have the same number of elements."); if (values.size()!=0) { if (weights.size()!=0) libraryObject_->addSequence(values.begin(), values.end(), weights.begin()); else libraryObject_->addSequence(values.begin(), values.end()); } } } --- riskstatistics.cpp DELETED --- Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** .cvsignore 17 Aug 2006 08:30:43 -0000 1.16 --- .cvsignore 28 Aug 2006 16:00:14 -0000 1.17 *************** *** 30,37 **** vo_randomsequencegenerator.*pp vo_ratehelpers.*pp - vo_riskstatistics.*pp vo_schedule.*pp vo_sequencestatistics.*pp vo_shortratemodels.*pp vo_swap.*pp vo_swaption.*pp --- 30,37 ---- vo_randomsequencegenerator.*pp vo_ratehelpers.*pp vo_schedule.*pp vo_sequencestatistics.*pp vo_shortratemodels.*pp + vo_statistics.*pp vo_swap.*pp vo_swaption.*pp |
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From: Ferdinando A. <na...@us...> - 2006-08-28 16:00:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3999/gensrc/config Modified Files: config.xml Log Message: typedef RiskStatistics Statistics; Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** config.xml 28 Aug 2006 10:05:24 -0000 1.23 --- config.xml 28 Aug 2006 16:00:13 -0000 1.24 *************** *** 34,42 **** <categoryName>randomsequencegenerator</categoryName> <categoryName>ratehelpers</categoryName> - <categoryName>riskstatistics</categoryName> <categoryName>schedule</categoryName> <categoryName>sequencestatistics</categoryName> <categoryName>settings</categoryName> <categoryName>shortratemodels</categoryName> <categoryName>swap</categoryName> <categoryName>swaption</categoryName> --- 34,42 ---- <categoryName>randomsequencegenerator</categoryName> <categoryName>ratehelpers</categoryName> <categoryName>schedule</categoryName> <categoryName>sequencestatistics</categoryName> <categoryName>settings</categoryName> <categoryName>shortratemodels</categoryName> + <categoryName>statistics</categoryName> <categoryName>swap</categoryName> <categoryName>swaption</categoryName> |
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From: Ferdinando A. <na...@us...> - 2006-08-28 15:56:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2547/qlo Modified Files: couponvectors.cpp couponvectors.hpp optimization.cpp optimization.hpp typefactory.hpp Log Message: restoring back functionalities Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** couponvectors.hpp 28 Aug 2006 12:04:52 -0000 1.19 --- couponvectors.hpp 28 Aug 2006 15:56:17 -0000 1.20 *************** *** 24,28 **** #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> ! //#include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/analysis.hpp> --- 24,29 ---- #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> ! #include <ql/CashFlows/cmscoupon.hpp> ! #include <ql/CashFlows/conundrumpricer.hpp> #include <ql/CashFlows/analysis.hpp> *************** *** 66,101 **** }; ! //class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { ! // public: ! // VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer, ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! // boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() ! // { ! // return libraryObject_; ! // } ! //}; ! //class ConundrumPricer : public VanillaCMSCouponPricer { ! // public: ! // ConundrumPricer(const std::string &typeOfVanillaCMSCouponPricer); ! //}; ! //class CMSCouponVector : public CouponVector { ! // public: ! // CMSCouponVector( ! // const boost::shared_ptr<QuantLib::Schedule>& schedule, ! // QuantLib::BusinessDayConvention paymentAdjustment, ! // const std::vector<QuantLib::Real>& nominals, ! // const boost::shared_ptr<QuantLib::SwapIndex>& index, ! // QuantLib::Integer fixingDays, ! // const QuantLib::DayCounter& dayCounter, ! // const std::vector<QuantLib::Real>& baseRates, ! // const std::vector<QuantLib::Real>& fractions, ! // const std::vector<QuantLib::Real>& caps, ! // const std::vector<QuantLib::Real>& floors, ! // const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! // QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment); ! // virtual std::vector<std::vector<double> > getLeg(); ! //}; } --- 67,103 ---- }; ! class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { ! public: ! VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() ! { ! return libraryObject_; ! } ! }; ! class ConundrumPricer : public VanillaCMSCouponPricer { ! public: ! ConundrumPricer(const std::string &typeOfVanillaCMSCouponPricer); ! }; ! class CMSCouponVector : public CouponVector { ! public: ! CMSCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! QuantLib::BusinessDayConvention paymentAdjustment, ! const std::vector<QuantLib::Real>& nominals, ! const boost::shared_ptr<QuantLib::SwapIndex>& index, ! QuantLib::Integer fixingDays, ! const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& spreads, ! const std::vector<QuantLib::Real>& gearings, ! const std::vector<QuantLib::Real>& caps, ! const std::vector<QuantLib::Real>& floors, ! const std::vector<QuantLib::Real>& meanReversions, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! }; } Index: optimization.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** optimization.hpp 28 Aug 2006 10:05:25 -0000 1.3 --- optimization.hpp 28 Aug 2006 15:56:17 -0000 1.4 *************** *** 36,46 **** QuantLib::OptimizationMethod> {}; ! //class ConjugateGradient : public OptimizationMethod ! //{ ! // public: ! // ConjugateGradient(const QuantLib::EndCriteria& endCriteria, ! // const QuantLib::Array& initialValue, ! // const boost::shared_ptr<QuantLib::LineSearch>& lineSearch); ! //}; class LevenbergMarquardt : public OptimizationMethod --- 36,46 ---- QuantLib::OptimizationMethod> {}; ! class ConjugateGradient : public OptimizationMethod ! { ! public: ! ConjugateGradient(const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch); ! }; class LevenbergMarquardt : public OptimizationMethod Index: optimization.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** optimization.cpp 28 Aug 2006 10:05:25 -0000 1.5 --- optimization.cpp 28 Aug 2006 15:56:17 -0000 1.6 *************** *** 36,49 **** ! //ConjugateGradient::ConjugateGradient( ! // const QuantLib::EndCriteria& endCriteria, ! // const QuantLib::Array& initialValue, ! // const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) ! //{ ! // libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! // new QuantLib::ConjugateGradient(endCriteria, ! // initialValue, ! // lineSearch)); ! //} LevenbergMarquardt::LevenbergMarquardt() --- 36,49 ---- ! ConjugateGradient::ConjugateGradient( ! const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::ConjugateGradient(endCriteria, ! initialValue, ! lineSearch)); ! } LevenbergMarquardt::LevenbergMarquardt() Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** couponvectors.cpp 28 Aug 2006 12:04:52 -0000 1.26 --- couponvectors.cpp 28 Aug 2006 15:56:17 -0000 1.27 *************** *** 166,225 **** } ! //VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! // const std::string &typeOfVanillaCMSCouponPricer, ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) ! //{ ! // libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! // (typeOfVanillaCMSCouponPricer,modelOfYieldCurve); ! //} ! ! //CMSCouponVector::CMSCouponVector( ! // const boost::shared_ptr<QuantLib::Schedule>& schedule, ! // QuantLib::BusinessDayConvention paymentAdjustment, ! // const std::vector<QuantLib::Real>& nominals, ! // const boost::shared_ptr<QuantLib::SwapIndex>& index, ! // QuantLib::Integer fixingDays, ! // const QuantLib::DayCounter& dayCounter, ! // const std::vector<QuantLib::Rate>& baseRates, ! // const std::vector<QuantLib::Real>& fractions, ! // const std::vector<QuantLib::Rate>& caps, ! // const std::vector<QuantLib::Rate>& floors, ! // const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! // QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment) ! //{ ! // cashFlowVector_ = QuantLib::CMSCouponVector(*schedule, ! // paymentAdjustment, ! // nominals, ! // index, ! // fixingDays, ! // dayCounter, ! // baseRates, ! // fractions, ! // caps, ! // floors, ! // vol, ! // typeOfConvexityAdjustment); ! //} ! //std::vector<std::vector<double> > CMSCouponVector::getLeg() ! //{ ! // std::vector<std::vector<double> > leg; ! // for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) { ! // std::vector<double> cf; ! // QuantLib::ParCoupon& c = ! // (QuantLib::ParCoupon&) *(cashFlowVector_[i]); ! // cf.push_back(c.accrualStartDate().serialNumber()); ! // cf.push_back(c.accrualEndDate().serialNumber()); ! // cf.push_back(c.date().serialNumber()); ! // cf.push_back(c.fixingDate().serialNumber()); ! // cf.push_back(c.accrualPeriod()); ! // cf.push_back(c.accrualDays()); ! // cf.push_back(c.amount()); ! // cf.push_back(c.indexFixing()); ! // leg.push_back(cf); ! // } ! // return leg; ! //} } - --- 166,209 ---- } ! VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! const std::string &typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) ! { ! libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! (typeOfVanillaCMSCouponPricer,modelOfYieldCurve); ! } ! CMSCouponVector::CMSCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! QuantLib::BusinessDayConvention paymentAdjustment, ! const std::vector<QuantLib::Real>& nominals, ! const boost::shared_ptr<QuantLib::SwapIndex>& index, ! QuantLib::Integer fixingDays, ! const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& spreads, ! const std::vector<QuantLib::Real>& gearings, ! const std::vector<QuantLib::Rate>& caps, ! const std::vector<QuantLib::Rate>& floors, ! const std::vector<QuantLib::Real>& meanReversions, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) ! { ! VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve); ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject(); ! cashFlowVector_ = QuantLib::CMSCouponVector(*schedule, ! paymentAdjustment, ! nominals, ! index, ! fixingDays, ! dayCounter, ! spreads, ! gearings, ! caps, ! floors, ! meanReversions, ! pricer, ! vol); ! } } Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** typefactory.hpp 28 Aug 2006 15:20:45 -0000 1.30 --- typefactory.hpp 28 Aug 2006 15:56:17 -0000 1.31 *************** *** 260,279 **** }; ! ///* *** VanillaCMSCouponPricer *** */ ! //typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! //template<> ! //class Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> > : ! // private RegistryManager<QuantLib::VanillaCMSCouponPricer, EnumClassRegistry> { ! //public: ! // boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( ! // const std::string& vanillaCMSCouponPricerID, ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { ! // VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = ! // (VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID)); ! // return vanillaCMSCouponPricerConstructor(modelOfYieldCurve); ! // } ! //}; ///* *** InterestRateIndex *** */ --- 260,279 ---- }; ! /* *** VanillaCMSCouponPricer *** */ ! typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! template<> ! class Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> > : ! private RegistryManager<QuantLib::VanillaCMSCouponPricer, EnumClassRegistry> { ! public: ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( ! const std::string& vanillaCMSCouponPricerID, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { ! VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = ! (VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID)); ! return vanillaCMSCouponPricerConstructor(modelOfYieldCurve); ! } ! }; ///* *** InterestRateIndex *** */ |
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From: Ferdinando A. <na...@us...> - 2006-08-28 15:53:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1180/gensrc/metadata Modified Files: couponvectors.xml optimization.xml Log Message: restoring back functionalities Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** couponvectors.xml 28 Aug 2006 12:42:19 -0000 1.24 --- couponvectors.xml 28 Aug 2006 15:53:16 -0000 1.25 *************** *** 87,91 **** </Constructor> ! <!--Constructor name='qlCMSCouponVector'> <libraryFunction>CMSCouponVector</libraryFunction> <supportedPlatforms> --- 87,91 ---- </Constructor> ! <Constructor name='qlCMSCouponVector'> <libraryFunction>CMSCouponVector</libraryFunction> <supportedPlatforms> *************** *** 166,170 **** </Parameters> </ParameterList> ! </Constructor--> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> --- 166,170 ---- </Parameters> </ParameterList> ! </Constructor> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** optimization.xml 28 Aug 2006 12:42:19 -0000 1.9 --- optimization.xml 28 Aug 2006 15:53:16 -0000 1.10 *************** *** 37,41 **** </Constructor> - <!-- <Member name='qlEndCriteriaSetPositiveOptimization' libraryClass='EndCriteria'> <description>Set positive optimization to the EndCriteria object</description> --- 37,40 ---- *************** *** 47,52 **** <ParameterList> <Parameters> - --> - <!-- <Parameter name="isPositive"> <type>bool</type> --- 46,49 ---- *************** *** 54,59 **** <description>TRUE for positive optimization</description> </Parameter> - --> - <!-- </Parameters> </ParameterList> --- 51,54 ---- *************** *** 63,67 **** </ReturnValue> </Member> - --> <Member name='qlEndCriteriaCriteria' libraryClass='EndCriteria'> --- 58,61 ---- *************** *** 127,131 **** <!-- OptimizationMethod derived classes' constructors --> - <!-- <Constructor name='qlConjugateGradient'> <libraryFunction>ConjugateGradient</libraryFunction> --- 121,124 ---- *************** *** 154,158 **** </ParameterList> </Constructor> - --> <Constructor name='qlLevenbergMarquardt'> --- 147,150 ---- |
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From: Katiuscia M. <kma...@us...> - 2006-08-28 15:20:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19816/qlo Modified Files: enumclassctors.hpp index.cpp index.hpp typefactory.hpp Log Message: restoring back functionalities Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** index.hpp 28 Aug 2006 10:05:25 -0000 1.11 --- index.hpp 28 Aug 2006 15:20:45 -0000 1.12 *************** *** 31,38 **** class Index : public ObjHandler::LibraryObject<QuantLib::Index> {}; ! //class InterestRateIndex : public Index {}; ! //class Xibor : public InterestRateIndex { ! class Xibor : public Index { public: Xibor(const std::string& indexName, --- 31,37 ---- class Index : public ObjHandler::LibraryObject<QuantLib::Index> {}; ! class InterestRateIndex : public Index {}; ! class Xibor : public InterestRateIndex { public: Xibor(const std::string& indexName, *************** *** 46,61 **** }; ! //class SwapIndex : public InterestRateIndex { ! //public: ! // SwapIndex(const std::string& familyName, ! // long years, ! // long fixingDays, ! // QuantLib::Currency& crr, ! // const QuantLib::Calendar& calendar, ! // QuantLib::Frequency fixedLegFreq, ! // QuantLib::BusinessDayConvention fixedLegBDC, ! // const QuantLib::DayCounter& fixedLegDayCounter, ! // const boost::shared_ptr<QuantLib::Xibor>& index); ! //}; } --- 45,60 ---- }; ! class SwapIndex : public InterestRateIndex { ! public: ! SwapIndex(const std::string& familyName, ! long years, ! long fixingDays, ! QuantLib::Currency& crr, ! const QuantLib::Calendar& calendar, ! QuantLib::Frequency fixedLegFreq, ! QuantLib::BusinessDayConvention fixedLegBDC, ! const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index); ! }; } Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** index.cpp 28 Aug 2006 10:05:25 -0000 1.13 --- index.cpp 28 Aug 2006 15:20:45 -0000 1.14 *************** *** 25,29 **** #include <qlo/index.hpp> #include <qlo/typefactory.hpp> ! //#include <ql/Indexes/swapindex.hpp> namespace QuantLibAddin { --- 25,29 ---- #include <qlo/index.hpp> #include <qlo/typefactory.hpp> ! #include <ql/Indexes/swapindex.hpp> namespace QuantLibAddin { *************** *** 46,65 **** } ! //SwapIndex::SwapIndex(const std::string& familyName, ! // long years, ! // long fixingDays, ! // QuantLib::Currency& crr, ! // const QuantLib::Calendar& calendar, ! // QuantLib::Frequency fixedLegFreq, ! // QuantLib::BusinessDayConvention fixedLegBDC, ! // const QuantLib::DayCounter& fixedLegDayCounter, ! // const boost::shared_ptr<QuantLib::Xibor>& index) ! //{ ! // libraryObject_ = boost::shared_ptr<QuantLib::Index>( ! // new QuantLib::SwapIndex(familyName, years, ! // fixingDays, crr, calendar, ! // fixedLegFreq, fixedLegBDC, ! // fixedLegDayCounter, index)); ! //} } --- 46,65 ---- } ! SwapIndex::SwapIndex(const std::string& familyName, ! long years, ! long fixingDays, ! QuantLib::Currency& crr, ! const QuantLib::Calendar& calendar, ! QuantLib::Frequency fixedLegFreq, ! QuantLib::BusinessDayConvention fixedLegBDC, ! const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Index>( ! new QuantLib::SwapIndex(familyName, years, ! fixingDays, crr, calendar, ! fixedLegFreq, fixedLegBDC, ! fixedLegDayCounter, index)); ! } } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** enumclassctors.hpp 28 Aug 2006 12:04:52 -0000 1.14 --- enumclassctors.hpp 28 Aug 2006 15:20:44 -0000 1.15 *************** *** 124,142 **** /* *** 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 *** */ --- 124,142 ---- /* *** 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 *** */ Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** typefactory.hpp 28 Aug 2006 12:04:52 -0000 1.29 --- typefactory.hpp 28 Aug 2006 15:20:45 -0000 1.30 *************** *** 26,30 **** #include <ql/Math/interpolation2D.hpp> #include <ql/Indexes/euribor.hpp> ! //#include <ql/Indexes/euriborswapfixa.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <ql/CashFlows/cmscoupon.hpp> --- 26,30 ---- #include <ql/Math/interpolation2D.hpp> #include <ql/Indexes/euribor.hpp> ! #include <ql/Indexes/euriborswapfixa.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <ql/CashFlows/cmscoupon.hpp> |
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From: Katiuscia M. <kma...@us...> - 2006-08-28 15:20:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19816/gensrc/metadata Modified Files: index.xml Log Message: restoring back functionalities Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** index.xml 28 Aug 2006 12:42:19 -0000 1.27 --- index.xml 28 Aug 2006 15:20:44 -0000 1.28 *************** *** 87,91 **** <!-- InterestRateIndex interface --> ! <!--Member name='qlInterestRateIndexFamilyName' libraryClass='InterestRateIndex'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> --- 87,91 ---- <!-- InterestRateIndex interface --> ! <Member name='qlInterestRateIndexFamilyName' libraryClass='InterestRateIndex'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> *************** *** 100,106 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexTenor' libraryClass='InterestRateIndex'> <description>retrieve the tenor for the given Index (e.g. 6m)</description> <libraryFunction>tenor</libraryFunction> --- 100,106 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexTenor' libraryClass='InterestRateIndex'> <description>retrieve the tenor for the given Index (e.g. 6m)</description> <libraryFunction>tenor</libraryFunction> *************** *** 115,121 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexSettlementDays' libraryClass='InterestRateIndex'> <description>retrieve the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> --- 115,121 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexSettlementDays' libraryClass='InterestRateIndex'> <description>retrieve the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> *************** *** 130,136 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexCurrency' libraryClass='InterestRateIndex'> <description>retrieve the currency for the given Index (e.g. EUR)</description> <libraryFunction>currency</libraryFunction> --- 130,136 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexCurrency' libraryClass='InterestRateIndex'> <description>retrieve the currency for the given Index (e.g. EUR)</description> <libraryFunction>currency</libraryFunction> *************** *** 145,151 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexCalendar' libraryClass='InterestRateIndex'> <description>retrieve the calendar for the given Index (e.g. TARGET)</description> <libraryFunction>calendar</libraryFunction> --- 145,151 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexCalendar' libraryClass='InterestRateIndex'> <description>retrieve the calendar for the given Index (e.g. TARGET)</description> <libraryFunction>calendar</libraryFunction> *************** *** 160,166 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexDayCounter' libraryClass='InterestRateIndex'> <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> <libraryFunction>dayCounter</libraryFunction> --- 160,166 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexDayCounter' libraryClass='InterestRateIndex'> <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> <libraryFunction>dayCounter</libraryFunction> *************** *** 175,181 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexForecastFixing' libraryClass='InterestRateIndex' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> <libraryFunction>fixing</libraryFunction> --- 175,181 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexForecastFixing' libraryClass='InterestRateIndex' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> <libraryFunction>fixing</libraryFunction> *************** *** 196,202 **** <tensorRank>vector</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> <description>retrieve the value date for Index object</description> <libraryFunction>valueDate</libraryFunction> --- 196,202 ---- <tensorRank>vector</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> <description>retrieve the value date for Index object</description> <libraryFunction>valueDate</libraryFunction> *************** *** 217,224 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> <description>retrieve the maturity date for Index object</description> <libraryFunction>maturityDate</libraryFunction> --- 217,224 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> <description>retrieve the maturity date for Index object</description> <libraryFunction>maturityDate</libraryFunction> *************** *** 239,243 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> <!-- Xibor interface --> --- 239,243 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <!-- Xibor interface --> *************** *** 393,397 **** </ReturnValue> </Member--> ! <!--Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> --- 393,397 ---- </ReturnValue> </Member--> ! <!--Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> |
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From: Chiara F. <chi...@us...> - 2006-08-28 15:19:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18922/gensrc/metadata Modified Files: bonds.xml Log Message: exposed the following bond's methods: maturity date and first coupon date Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** bonds.xml 28 Aug 2006 10:05:24 -0000 1.22 --- bonds.xml 28 Aug 2006 15:19:01 -0000 1.23 *************** *** 53,56 **** --- 53,86 ---- </Member> + <Member name='qlBondFirstCouponDate' libraryClass='Bond'> + <description>Retrieves the first coupon date of the bond.</description> + <libraryFunction>firstCouponDate</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlBondMaturityDate' libraryClass='Bond'> + <description>Retrieves the maturity date of the bond.</description> + <libraryFunction>maturityDate</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Member name='qlBondCalendar' libraryClass='Bond'> <description>Returns the calendar of the bond, e.g. TARGET.</description> |
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From: Eric E. <eri...@us...> - 2006-08-28 12:42:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17598/Addins/Calc Modified Files: .cvsignore Log Message: merge R000313f0-branch Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/.cvsignore,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** .cvsignore 29 Jul 2006 15:32:31 -0000 1.2 --- .cvsignore 28 Aug 2006 12:42:19 -0000 1.3 *************** *** 52,54 **** *.dll *.ilk ! Debug\ CRTDLL \ No newline at end of file --- 52,56 ---- *.dll *.ilk ! Debug\ CRTDLL ! marketmodels.hpp ! marketmodels.cpp \ No newline at end of file |
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From: Eric E. <eri...@us...> - 2006-08-28 12:42:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17598/gensrc/metadata Modified Files: couponvectors.xml index.xml optimization.xml Log Message: merge R000313f0-branch Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** index.xml 21 Aug 2006 07:34:29 -0000 1.26 --- index.xml 28 Aug 2006 12:42:19 -0000 1.27 *************** *** 87,91 **** <!-- InterestRateIndex interface --> ! <Member name='qlInterestRateIndexFamilyName' libraryClass='InterestRateIndex'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> --- 87,91 ---- <!-- InterestRateIndex interface --> ! <!--Member name='qlInterestRateIndexFamilyName' libraryClass='InterestRateIndex'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> *************** *** 100,106 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexTenor' libraryClass='InterestRateIndex'> <description>retrieve the tenor for the given Index (e.g. 6m)</description> <libraryFunction>tenor</libraryFunction> --- 100,106 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexTenor' libraryClass='InterestRateIndex'> <description>retrieve the tenor for the given Index (e.g. 6m)</description> <libraryFunction>tenor</libraryFunction> *************** *** 115,121 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexSettlementDays' libraryClass='InterestRateIndex'> <description>retrieve the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> --- 115,121 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexSettlementDays' libraryClass='InterestRateIndex'> <description>retrieve the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> *************** *** 130,136 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexCurrency' libraryClass='InterestRateIndex'> <description>retrieve the currency for the given Index (e.g. EUR)</description> <libraryFunction>currency</libraryFunction> --- 130,136 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexCurrency' libraryClass='InterestRateIndex'> <description>retrieve the currency for the given Index (e.g. EUR)</description> <libraryFunction>currency</libraryFunction> *************** *** 145,151 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexCalendar' libraryClass='InterestRateIndex'> <description>retrieve the calendar for the given Index (e.g. TARGET)</description> <libraryFunction>calendar</libraryFunction> --- 145,151 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexCalendar' libraryClass='InterestRateIndex'> <description>retrieve the calendar for the given Index (e.g. TARGET)</description> <libraryFunction>calendar</libraryFunction> *************** *** 160,166 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexDayCounter' libraryClass='InterestRateIndex'> <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> <libraryFunction>dayCounter</libraryFunction> --- 160,166 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexDayCounter' libraryClass='InterestRateIndex'> <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> <libraryFunction>dayCounter</libraryFunction> *************** *** 175,181 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexForecastFixing' libraryClass='InterestRateIndex' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> <libraryFunction>fixing</libraryFunction> --- 175,181 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexForecastFixing' libraryClass='InterestRateIndex' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> <libraryFunction>fixing</libraryFunction> *************** *** 196,202 **** <tensorRank>vector</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> <description>retrieve the value date for Index object</description> <libraryFunction>valueDate</libraryFunction> --- 196,202 ---- <tensorRank>vector</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> <description>retrieve the value date for Index object</description> <libraryFunction>valueDate</libraryFunction> *************** *** 217,224 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> <description>retrieve the maturity date for Index object</description> <libraryFunction>maturityDate</libraryFunction> --- 217,224 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> <description>retrieve the maturity date for Index object</description> <libraryFunction>maturityDate</libraryFunction> *************** *** 239,243 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <!-- Xibor interface --> --- 239,243 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> <!-- Xibor interface --> *************** *** 379,383 **** <!-- SwapIndex interface --> ! <Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> <libraryFunction>fixedLegFrequency</libraryFunction> --- 379,383 ---- <!-- SwapIndex interface --> ! <!--Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> <libraryFunction>fixedLegFrequency</libraryFunction> *************** *** 392,398 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> <libraryFunction>fixedLegConvention</libraryFunction> --- 392,398 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> <libraryFunction>fixedLegConvention</libraryFunction> *************** *** 407,411 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> --- 407,411 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> *************** *** 430,434 **** <!-- SwapIndex constructor --> ! <Constructor name='qlSwapIndex'> <libraryFunction>SwapIndex</libraryFunction> <supportedPlatforms> --- 430,434 ---- <!-- SwapIndex constructor --> ! <!--Constructor name='qlSwapIndex'> <libraryFunction>SwapIndex</libraryFunction> <supportedPlatforms> *************** *** 484,488 **** </Parameters> </ParameterList> ! </Constructor> </Functions> --- 484,488 ---- </Parameters> </ParameterList> ! </Constructor--> </Functions> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** couponvectors.xml 21 Aug 2006 07:34:29 -0000 1.23 --- couponvectors.xml 28 Aug 2006 12:42:19 -0000 1.24 *************** *** 87,91 **** </Constructor> ! <Constructor name='qlCMSCouponVector'> <libraryFunction>CMSCouponVector</libraryFunction> <supportedPlatforms> --- 87,91 ---- </Constructor> ! <!--Constructor name='qlCMSCouponVector'> <libraryFunction>CMSCouponVector</libraryFunction> <supportedPlatforms> *************** *** 166,170 **** </Parameters> </ParameterList> ! </Constructor> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> --- 166,170 ---- </Parameters> </ParameterList> ! </Constructor--> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** optimization.xml 28 Aug 2006 10:05:24 -0000 1.8 --- optimization.xml 28 Aug 2006 12:42:19 -0000 1.9 *************** *** 37,40 **** --- 37,41 ---- </Constructor> + <!-- <Member name='qlEndCriteriaSetPositiveOptimization' libraryClass='EndCriteria'> <description>Set positive optimization to the EndCriteria object</description> *************** *** 46,49 **** --- 47,51 ---- <ParameterList> <Parameters> + --> <!-- <Parameter name="isPositive"> *************** *** 53,56 **** --- 55,59 ---- </Parameter> --> + <!-- </Parameters> </ParameterList> *************** *** 60,63 **** --- 63,67 ---- </ReturnValue> </Member> + --> <Member name='qlEndCriteriaCriteria' libraryClass='EndCriteria'> |
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From: Eric E. <eri...@us...> - 2006-08-28 12:04:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1784/gensrc/metadata Modified Files: enumclasses.xml Log Message: merge R000313f0-branch Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** enumclasses.xml 9 Aug 2006 15:24:53 -0000 1.7 --- enumclasses.xml 28 Aug 2006 12:04:51 -0000 1.8 *************** *** 29,33 **** </Enumeration> ! <Enumeration> <type>QuantLib::VanillaCMSCouponPricer</type> <EnumerationDefinitions> --- 29,33 ---- </Enumeration> ! <!--Enumeration> <type>QuantLib::VanillaCMSCouponPricer</type> <EnumerationDefinitions> *************** *** 43,47 **** </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration> <Enumeration> --- 43,47 ---- </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration--> <Enumeration> *************** *** 314,318 **** </Enumeration> ! <Enumeration> <type>QuantLib::EuriborSwapFixA</type> <EnumerationDefinitions> --- 314,318 ---- </Enumeration> ! <!--Enumeration> <type>QuantLib::EuriborSwapFixA</type> <EnumerationDefinitions> *************** *** 393,397 **** </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration> </Enumerations> --- 393,397 ---- </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration--> </Enumerations> |
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1784/qlo Modified Files: couponvectors.cpp couponvectors.hpp enumclassctors.cpp enumclassctors.hpp qladdindefines.hpp typefactory.hpp Log Message: merge R000313f0-branch Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** couponvectors.hpp 28 Aug 2006 10:11:00 -0000 1.18 --- couponvectors.hpp 28 Aug 2006 12:04:52 -0000 1.19 *************** *** 66,78 **** }; ! class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { ! public: ! VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() ! { ! return libraryObject_; ! } ! }; //class ConundrumPricer : public VanillaCMSCouponPricer { --- 66,78 ---- }; ! //class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { ! // public: ! // VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer, ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! // boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() ! // { ! // return libraryObject_; ! // } ! //}; //class ConundrumPricer : public VanillaCMSCouponPricer { Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** couponvectors.cpp 28 Aug 2006 10:11:00 -0000 1.25 --- couponvectors.cpp 28 Aug 2006 12:04:52 -0000 1.26 *************** *** 166,176 **** } ! VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! const std::string &typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) ! { ! libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! (typeOfVanillaCMSCouponPricer,modelOfYieldCurve); ! } //CMSCouponVector::CMSCouponVector( --- 166,176 ---- } ! //VanillaCMSCouponPricer::VanillaCMSCouponPricer( ! // const std::string &typeOfVanillaCMSCouponPricer, ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) ! //{ ! // libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >() ! // (typeOfVanillaCMSCouponPricer,modelOfYieldCurve); ! //} //CMSCouponVector::CMSCouponVector( Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** enumclassctors.hpp 28 Aug 2006 10:05:25 -0000 1.13 --- enumclassctors.hpp 28 Aug 2006 12:04:52 -0000 1.14 *************** *** 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 ); } --- 190,201 ---- 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 ); ! } Index: qladdindefines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/qladdindefines.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** qladdindefines.hpp 28 Aug 2006 10:05:25 -0000 1.6 --- qladdindefines.hpp 28 Aug 2006 12:04:52 -0000 1.7 *************** *** 32,36 **** #include <ql/qldefines.hpp> ! #if QL_HEX_VERSION != 0x000313f0 #error using an incorrect version of QuantLib, please update. #endif --- 32,36 ---- #include <ql/qldefines.hpp> ! #if QL_HEX_VERSION != 0x000314f0 #error using an incorrect version of QuantLib, please update. #endif Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** typefactory.hpp 28 Aug 2006 10:07:49 -0000 1.28 --- typefactory.hpp 28 Aug 2006 12:04:52 -0000 1.29 *************** *** 260,279 **** }; ! /* *** VanillaCMSCouponPricer *** */ ! typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! template<> ! class Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> > : ! private RegistryManager<QuantLib::VanillaCMSCouponPricer, EnumClassRegistry> { ! public: ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( ! const std::string& vanillaCMSCouponPricerID, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { ! VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = ! getType<std::string, VanillaCMSCouponPricerConstructor>(vanillaCMSCouponPricerID); ! return vanillaCMSCouponPricerConstructor(modelOfYieldCurve); ! } ! }; ///* *** InterestRateIndex *** */ --- 260,279 ---- }; ! ///* *** VanillaCMSCouponPricer *** */ ! //typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)( ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! //template<> ! //class Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> > : ! // private RegistryManager<QuantLib::VanillaCMSCouponPricer, EnumClassRegistry> { ! //public: ! // boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() ( ! // const std::string& vanillaCMSCouponPricerID, ! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { ! // VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor = ! // (VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID)); ! // return vanillaCMSCouponPricerConstructor(modelOfYieldCurve); ! // } ! //}; ///* *** InterestRateIndex *** */ Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** enumclassctors.cpp 28 Aug 2006 10:09:23 -0000 1.16 --- enumclassctors.cpp 28 Aug 2006 12:04:52 -0000 1.17 *************** *** 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)); ! }; } --- 500,514 ---- //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)); ! //}; ! } |
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From: Eric E. <eri...@us...> - 2006-08-28 10:11:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19928 Modified Files: couponvectors.cpp couponvectors.hpp Log Message: merge R000313f0-branch Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** couponvectors.hpp 21 Aug 2006 13:53:10 -0000 1.17 --- couponvectors.hpp 28 Aug 2006 10:11:00 -0000 1.18 *************** *** 24,29 **** #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> ! #include <ql/CashFlows/cmscoupon.hpp> ! #include <ql/CashFlows/conundrumpricer.hpp> #include <ql/CashFlows/analysis.hpp> --- 24,28 ---- #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> ! //#include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/analysis.hpp> *************** *** 82,104 **** //}; ! class CMSCouponVector : public CouponVector { ! public: ! CMSCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! QuantLib::BusinessDayConvention paymentAdjustment, ! const std::vector<QuantLib::Real>& nominals, ! const boost::shared_ptr<QuantLib::SwapIndex>& index, ! QuantLib::Integer fixingDays, ! const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& spreads, ! const std::vector<QuantLib::Real>& gearings, ! const std::vector<QuantLib::Real>& caps, ! const std::vector<QuantLib::Real>& floors, ! const std::vector<QuantLib::Real>& meanReversions, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve); ! }; } #endif --- 81,104 ---- //}; ! //class CMSCouponVector : public CouponVector { ! // public: ! // CMSCouponVector( ! // const boost::shared_ptr<QuantLib::Schedule>& schedule, ! // QuantLib::BusinessDayConvention paymentAdjustment, ! // const std::vector<QuantLib::Real>& nominals, ! // const boost::shared_ptr<QuantLib::SwapIndex>& index, ! // QuantLib::Integer fixingDays, ! // const QuantLib::DayCounter& dayCounter, ! // const std::vector<QuantLib::Real>& baseRates, ! // const std::vector<QuantLib::Real>& fractions, ! // const std::vector<QuantLib::Real>& caps, ! // const std::vector<QuantLib::Real>& floors, ! // const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! // QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment); ! // virtual std::vector<std::vector<double> > getLeg(); ! //}; ! } #endif + Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** couponvectors.cpp 22 Aug 2006 18:40:22 -0000 1.24 --- couponvectors.cpp 28 Aug 2006 10:11:00 -0000 1.25 *************** *** 174,209 **** } ! CMSCouponVector::CMSCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! QuantLib::BusinessDayConvention paymentAdjustment, ! const std::vector<QuantLib::Real>& nominals, ! const boost::shared_ptr<QuantLib::SwapIndex>& index, ! QuantLib::Integer fixingDays, ! const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& spreads, ! const std::vector<QuantLib::Real>& gearings, ! const std::vector<QuantLib::Rate>& caps, ! const std::vector<QuantLib::Rate>& floors, ! const std::vector<QuantLib::Real>& meanReversions, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! const std::string & typeOfVanillaCMSCouponPricer, ! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) { ! VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve); ! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject(); ! cashFlowVector_ = QuantLib::CMSCouponVector(*schedule, ! paymentAdjustment, ! nominals, ! index, ! fixingDays, ! dayCounter, ! spreads, ! gearings, ! caps, ! floors, ! meanReversions, ! pricer, ! vol); ! } } --- 174,225 ---- } ! //CMSCouponVector::CMSCouponVector( ! // const boost::shared_ptr<QuantLib::Schedule>& schedule, ! // QuantLib::BusinessDayConvention paymentAdjustment, ! // const std::vector<QuantLib::Real>& nominals, ! // const boost::shared_ptr<QuantLib::SwapIndex>& index, ! // QuantLib::Integer fixingDays, ! // const QuantLib::DayCounter& dayCounter, ! // const std::vector<QuantLib::Rate>& baseRates, ! // const std::vector<QuantLib::Real>& fractions, ! // const std::vector<QuantLib::Rate>& caps, ! // const std::vector<QuantLib::Rate>& floors, ! // const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! // QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment) ! //{ ! // cashFlowVector_ = QuantLib::CMSCouponVector(*schedule, ! // paymentAdjustment, ! // nominals, ! // index, ! // fixingDays, ! // dayCounter, ! // baseRates, ! // fractions, ! // caps, ! // floors, ! // vol, ! // typeOfConvexityAdjustment); ! //} ! //std::vector<std::vector<double> > CMSCouponVector::getLeg() ! //{ ! // std::vector<std::vector<double> > leg; ! // for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) { ! // std::vector<double> cf; ! // QuantLib::ParCoupon& c = ! // (QuantLib::ParCoupon&) *(cashFlowVector_[i]); ! // cf.push_back(c.accrualStartDate().serialNumber()); ! // cf.push_back(c.accrualEndDate().serialNumber()); ! // cf.push_back(c.date().serialNumber()); ! // cf.push_back(c.fixingDate().serialNumber()); ! // cf.push_back(c.accrualPeriod()); ! // cf.push_back(c.accrualDays()); ! // cf.push_back(c.amount()); ! // cf.push_back(c.indexFixing()); ! // leg.push_back(cf); ! // } ! // return leg; ! //} } + |
