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From: Ferdinando A. <na...@us...> - 2006-08-10 11:03:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20814/gensrc Modified Files: gensrc.vcproj Log Message: VC7 catching up Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** gensrc.vcproj 29 Jul 2006 15:32:31 -0000 1.14 --- gensrc.vcproj 10 Aug 2006 11:03:46 -0000 1.15 *************** *** 73,82 **** </File> <File - RelativePath=".\metadata\generalstatistics.xml"> - </File> - <File - RelativePath=".\metadata\incrementalstatistics.xml"> - </File> - <File RelativePath="metadata\index.xml"> </File> --- 73,76 ---- *************** *** 118,121 **** --- 112,118 ---- </File> <File + RelativePath=".\metadata\riskstatistics.xml"> + </File> + <File RelativePath="metadata\schedule.xml"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-08-10 10:24:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4939/qlo Modified Files: mathf.hpp Log Message: bug fix Index: mathf.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/mathf.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** mathf.hpp 23 Jun 2006 17:20:55 -0000 1.1 --- mathf.hpp 10 Aug 2006 10:24:15 -0000 1.2 *************** *** 20,24 **** #include <oh/objhandler.hpp> ! #endif --- 20,53 ---- #include <oh/objhandler.hpp> + #include <ql/Math/normaldistribution.hpp> ! namespace QuantLibAddin { ! ! inline double normDist(double x, ! double mean, ! double stdDev, ! bool cumulative) { ! if (cumulative) { ! return QuantLib::CumulativeNormalDistribution(mean, stdDev)(x); ! } else { ! return QuantLib::NormalDistribution(mean, stdDev)(x); ! } ! } + inline double normSDist(double x) { + return QuantLib::CumulativeNormalDistribution(0.0, 1.0)(x); + } + + inline double normInv(double prob, + double mean, + double stdDev) { + return QuantLib::InverseCumulativeNormal(mean, stdDev)(prob); + } + + inline double normSInv(double prob) { + return QuantLib::InverseCumulativeNormal(0.0, 1.0)(prob); + } + + } + + #endif |
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From: Ferdinando A. <na...@us...> - 2006-08-10 10:24:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4939/gensrc/metadata Modified Files: mathf.xml Log Message: bug fix Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** mathf.xml 29 Jul 2006 15:32:32 -0000 1.15 --- mathf.xml 10 Aug 2006 10:24:15 -0000 1.16 *************** *** 25,28 **** --- 25,29 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 43,49 **** <Procedure name="qlNormDist"> <description>Returns the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLib::normDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> --- 44,51 ---- <Procedure name="qlNormDist"> <description>Returns the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLibAddin::normDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 71,75 **** </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> <type>double</type> <tensorRank>scalar</tensorRank> --- 73,77 ---- </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 79,85 **** <Procedure name="qlNormSDist"> <description>Returns the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLib::normDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> --- 81,88 ---- <Procedure name="qlNormSDist"> <description>Returns the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLibAddin::normSDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 100,106 **** <Procedure name="qlNormInv"> <description>Returns the inverse of the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLib::normInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> --- 103,110 ---- <Procedure name="qlNormInv"> <description>Returns the inverse of the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLibAddin::normInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 131,137 **** <Procedure name="qlNormSInv"> <description>Returns the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLib::normInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> </supportedPlatforms> <ParameterList> --- 135,142 ---- <Procedure name="qlNormSInv"> <description>Returns the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLibAddin::normSInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 157,160 **** --- 162,166 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 172,175 **** --- 178,182 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 188,191 **** --- 195,199 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 207,210 **** --- 215,219 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 233,236 **** --- 242,246 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 259,262 **** --- 269,273 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 329,332 **** --- 340,344 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 344,347 **** --- 356,360 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 359,362 **** --- 372,376 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 375,378 **** --- 389,393 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> |
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From: Ferdinando A. <na...@us...> - 2006-08-10 10:24:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4939 Modified Files: todonando.txt Log Message: bug fix Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** todonando.txt 7 Aug 2006 15:46:24 -0000 1.29 --- todonando.txt 10 Aug 2006 10:24:15 -0000 1.30 *************** *** 81,84 **** --- 81,85 ---- QUANTLIBADDIN + - default Optimization method in interpolation.xml (sabr) - return std::pair (see locate for swaptionvolmatrix) - export FlatForward |
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From: Ferdinando A. <na...@us...> - 2006-08-10 10:22:16
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4145/gensrc/metadata Modified Files: Tag: R000313f0-branch mathf.xml Log Message: bug fix Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.15.2.1 retrieving revision 1.15.2.2 diff -C2 -d -r1.15.2.1 -r1.15.2.2 *** mathf.xml 6 Aug 2006 19:27:21 -0000 1.15.2.1 --- mathf.xml 10 Aug 2006 10:22:11 -0000 1.15.2.2 *************** *** 44,48 **** <Procedure name="qlNormDist"> <description>Returns the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLib::normDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 44,48 ---- <Procedure name="qlNormDist"> <description>Returns the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLibAddin::normDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 73,77 **** </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Real'> <type>double</type> <tensorRank>scalar</tensorRank> --- 73,77 ---- </Parameters> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 81,85 **** <Procedure name="qlNormSDist"> <description>Returns the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLib::normDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 81,85 ---- <Procedure name="qlNormSDist"> <description>Returns the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLibAddin::normSDist</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 103,107 **** <Procedure name="qlNormInv"> <description>Returns the inverse of the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLib::normInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 103,107 ---- <Procedure name="qlNormInv"> <description>Returns the inverse of the normal cumulative distribution for the specified mean and standard deviation.</description> ! <alias>QuantLibAddin::normInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 135,139 **** <Procedure name="qlNormSInv"> <description>Returns the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLib::normInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 135,139 ---- <Procedure name="qlNormSInv"> <description>Returns the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> ! <alias>QuantLibAddin::normSInv</alias> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> |
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From: Ferdinando A. <na...@us...> - 2006-08-10 10:22:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4145/qlo Modified Files: Tag: R000313f0-branch mathf.hpp Log Message: bug fix Index: mathf.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/mathf.hpp,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** mathf.hpp 23 Jun 2006 17:20:55 -0000 1.1 --- mathf.hpp 10 Aug 2006 10:22:12 -0000 1.1.2.1 *************** *** 20,24 **** #include <oh/objhandler.hpp> ! #endif --- 20,53 ---- #include <oh/objhandler.hpp> + #include <ql/Math/normaldistribution.hpp> ! namespace QuantLibAddin { ! ! inline double normDist(double x, ! double mean, ! double stdDev, ! bool cumulative) { ! if (cumulative) { ! return QuantLib::CumulativeNormalDistribution(mean, stdDev)(x); ! } else { ! return QuantLib::NormalDistribution(mean, stdDev)(x); ! } ! } + inline double normSDist(double x) { + return QuantLib::CumulativeNormalDistribution(0.0, 1.0)(x); + } + + inline double normInv(double prob, + double mean, + double stdDev) { + return QuantLib::InverseCumulativeNormal(mean, stdDev)(prob); + } + + inline double normSInv(double prob) { + return QuantLib::InverseCumulativeNormal(0.0, 1.0)(prob); + } + + } + + #endif |
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From: Eric E. <eri...@us...> - 2006-08-10 01:04:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5855/Docs Modified Files: Tag: R000313f0-branch qladdin.root.doxy Log Message: Index: qladdin.root.doxy =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qladdin.root.doxy,v retrieving revision 1.1.2.1 retrieving revision 1.1.2.2 diff -C2 -d -r1.1.2.1 -r1.1.2.2 *** qladdin.root.doxy 8 Aug 2006 07:39:41 -0000 1.1.2.1 --- qladdin.root.doxy 10 Aug 2006 01:04:18 -0000 1.1.2.2 *************** *** 125,129 **** HTML_ALIGN_MEMBERS = YES GENERATE_HTMLHELP = YES ! CHM_FILE = ../QuantLibAddin.chm HHC_LOCATION = hhc.exe GENERATE_CHI = NO --- 125,129 ---- HTML_ALIGN_MEMBERS = YES GENERATE_HTMLHELP = YES ! CHM_FILE = ../QuantLibAddin-docs-0.3.13.chm HHC_LOCATION = hhc.exe GENERATE_CHI = NO |
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From: Eric E. <eri...@us...> - 2006-08-10 01:04:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5855 Modified Files: Tag: R000313f0-branch QuantLibAddin.nsi Log Message: Index: QuantLibAddin.nsi =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.nsi,v retrieving revision 1.4.2.1 retrieving revision 1.4.2.2 diff -C2 -d -r1.4.2.1 -r1.4.2.2 *** QuantLibAddin.nsi 8 Aug 2006 20:08:23 -0000 1.4.2.1 --- QuantLibAddin.nsi 10 Aug 2006 01:04:18 -0000 1.4.2.2 *************** *** 68,71 **** --- 68,90 ---- SetOutPath "$INSTDIR\Docs" + File "Docs\QuantLibAddin-docs-${VER_NUMBER}.chm" + File "Docs\*.doxy" + File "Docs\*.html" + File "Docs\Makefile.vc" + File "Docs\style.css" + + SetOutPath "$INSTDIR\Docs\images" + File "Docs\images\*.ico" + File "Docs\images\*.jpg" + File "Docs\images\*.png" + File "Docs\images\*.gif" + + SetOutPath "$INSTDIR\Docs\pages" + File "Docs\pages\*.docs" + + SetOutPath "$INSTDIR\Docs\auto.pages" + File "Docs\auto.pages\*.docs" + + SetOutPath "$INSTDIR\Docs" File /nonfatal "Docs\QuantLibAddin-docs-${VER_NUMBER}.chm" |
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From: Eric E. <eri...@us...> - 2006-08-09 20:16:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18030/gensrc Modified Files: Tag: R000313f0-branch Makefile.am Log Message: preparing for release Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.am,v retrieving revision 1.1.2.2 retrieving revision 1.1.2.3 diff -C2 -d -r1.1.2.2 -r1.1.2.3 *** Makefile.am 8 Aug 2006 14:07:19 -0000 1.1.2.2 --- Makefile.am 9 Aug 2006 20:16:15 -0000 1.1.2.3 *************** *** 73,76 **** --- 73,77 ---- .time-stamp: $(GENSRC_INPUT) $(GENSRC_PYS) $(GENSRC_STUBS) python scripts/gensrc.py $(GENSRC_ARGS) + touch .time-stamp dist-hook: |
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From: Eric E. <eri...@us...> - 2006-08-09 20:16:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18030/Docs Modified Files: Tag: R000313f0-branch Makefile.am Log Message: preparing for release Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/Makefile.am,v retrieving revision 1.2.2.1 retrieving revision 1.2.2.2 diff -C2 -d -r1.2.2.1 -r1.2.2.2 *** Makefile.am 8 Aug 2006 14:07:19 -0000 1.2.2.1 --- Makefile.am 9 Aug 2006 20:16:15 -0000 1.2.2.2 *************** *** 35,40 **** dist-hook: ! mkdir -p $(distdir)/pages $(distdir)/images cp -p $(srcdir)/pages/*.docs $(distdir)/pages cp -p $(srcdir)/images/*.gif $(srcdir)/images/*.ico \ $(srcdir)/images/*.jpg $(srcdir)/images/*.png \ --- 35,41 ---- dist-hook: ! mkdir -p $(distdir)/pages $(distdir)/auto.pages $(distdir)/images cp -p $(srcdir)/pages/*.docs $(distdir)/pages + cp -p $(srcdir)/auto.pages/*.docs $(distdir)/auto.pages cp -p $(srcdir)/images/*.gif $(srcdir)/images/*.ico \ $(srcdir)/images/*.jpg $(srcdir)/images/*.png \ |
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From: Eric E. <eri...@us...> - 2006-08-09 20:16:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18030/Addins/Guile Modified Files: Tag: R000313f0-branch Makefile.am Log Message: preparing for release Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/Makefile.am,v retrieving revision 1.1.2.2 retrieving revision 1.1.2.3 diff -C2 -d -r1.1.2.2 -r1.1.2.3 *** Makefile.am 9 Aug 2006 19:56:56 -0000 1.1.2.2 --- Makefile.am 9 Aug 2006 20:16:15 -0000 1.1.2.3 *************** *** 37,40 **** --- 37,41 ---- pricingengines.cpp \ processes.cpp \ + qladdin.c \ session.cpp \ volatilities.cpp |
Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9143/Addins/Guile Modified Files: Tag: R000313f0-branch .cvsignore Makefile.am extra.cpp guileutils.hpp Added Files: Tag: R000313f0-branch conversions.cpp conversions.hpp Log Message: update Guile addin Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/.cvsignore,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** .cvsignore 19 May 2006 16:56:16 -0000 1.1 --- .cvsignore 9 Aug 2006 19:56:56 -0000 1.1.2.1 *************** *** 1,10 **** basic.* - date.* calendar.* - daycounter.* - mathf.* - prices.* capfloor.* couponvectors.* .deps exercise.* --- 1,9 ---- + basic.* calendar.* capfloor.* couponvectors.* + date.* + daycounter.* .deps exercise.* *************** *** 16,22 **** --- 15,25 ---- Makefile Makefile.in + mathf.* objecthandler.h ohfunctions.* options.* + payoffs.* + prices.* + pricingengines.* processes.* qladdin.c *************** *** 30,32 **** volatilities.* xibor.* - --- 33,34 ---- --- NEW FILE: conversions.hpp --- /* Copyright (C) 2006 Eric Ehlers 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_guile_conversions_hpp #define qla_guile_conversions_hpp #include <ql/date.hpp> void cppToLib(QuantLib::Date &, const long &); #endif Index: guileutils.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/guileutils.hpp,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** guileutils.hpp 19 May 2006 16:56:16 -0000 1.1 --- guileutils.hpp 9 Aug 2006 19:56:56 -0000 1.1.2.1 *************** *** 21,28 **** #include <guile/gh.h> - #include <boost/any.hpp> #include <ql/errors.hpp> #include <oh/objhandler.hpp> SCM anyToPairValue(const boost::any& a); --- 21,28 ---- #include <guile/gh.h> #include <boost/any.hpp> #include <ql/errors.hpp> #include <oh/objhandler.hpp> + #include <string> SCM anyToPairValue(const boost::any& a); --- NEW FILE: conversions.cpp --- /* Copyright (C) 2006 Eric Ehlers 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. */ #include <Addins/Guile/conversions.hpp> void cppToLib(QuantLib::Date &ret, const long &in) { ret = QuantLib::Date(in); } Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/Makefile.am,v retrieving revision 1.1.2.1 retrieving revision 1.1.2.2 diff -C2 -d -r1.1.2.1 -r1.1.2.2 *** Makefile.am 5 Aug 2006 15:44:44 -0000 1.1.2.1 --- Makefile.am 9 Aug 2006 19:56:56 -0000 1.1.2.2 *************** *** 2,6 **** AM_CPPFLAGS = -I${top_srcdir} AM_LDFLAGS = -release $(PACKAGE_VERSION) ! includedir = $(prefix)/include/qla/Addins/Guile if BUILD_GUILE --- 2,6 ---- AM_CPPFLAGS = -I${top_srcdir} AM_LDFLAGS = -release $(PACKAGE_VERSION) ! includedir = $(prefix)/include/qlo/Addins/Guile if BUILD_GUILE *************** *** 10,28 **** endif ! libQuantLibAddinGuile_la_LIBADD = ../../qla/libQuantLibAddin.la if BUILD_GUILE noinst_HEADERS = \ ! extra.h ! ! include_HEADERS = \ ! guileutils.hpp endif if BUILD_GUILE libQuantLibAddinGuile_la_SOURCES = \ extra.cpp \ guileutils.cpp \ ! session.cpp endif --- 10,42 ---- endif ! libQuantLibAddinGuile_la_LIBADD = ../../qlo/libQuantLibAddin.la if BUILD_GUILE noinst_HEADERS = \ ! conversions.hpp \ ! exercise.h \ ! extra.h \ ! guileutils.hpp \ ! ohfunctions.h \ ! options.h \ ! payoffs.h \ ! pricingengines.h \ ! processes.h \ ! volatilities.h endif if BUILD_GUILE libQuantLibAddinGuile_la_SOURCES = \ + conversions.cpp \ + exercise.cpp \ extra.cpp \ guileutils.cpp \ ! ohfunctions.cpp \ ! options.cpp \ ! payoffs.cpp \ ! pricingengines.cpp \ ! processes.cpp \ ! session.cpp \ ! volatilities.cpp endif Index: extra.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Guile/extra.cpp,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** extra.cpp 19 May 2006 16:56:16 -0000 1.1 --- extra.cpp 9 Aug 2006 19:56:56 -0000 1.1.2.1 *************** *** 17,25 **** #include <ql/date.hpp> ! #include <qla/qladdin.hpp> #include <Addins/Guile/guileutils.hpp> extern "C" { #include <Addins/Guile/extra.h> - #include <Addins/Guile/utilities.h> } --- 17,25 ---- #include <ql/date.hpp> ! #include <ql/Utilities/strings.hpp> ! #include <qlo/qladdin.hpp> #include <Addins/Guile/guileutils.hpp> extern "C" { #include <Addins/Guile/extra.h> } |
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From: Eric E. <eri...@us...> - 2006-08-09 19:57:00
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9143/gensrc/metadata Modified Files: Tag: R000313f0-branch exercise.xml ohfunctions.xml options.xml payoffs.xml pricingengines.xml processes.xml volatilities.xml Log Message: update Guile addin Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.15.2.3 retrieving revision 1.15.2.4 diff -C2 -d -r1.15.2.3 -r1.15.2.4 *** options.xml 9 Aug 2006 10:46:37 -0000 1.15.2.3 --- options.xml 9 Aug 2006 19:56:56 -0000 1.15.2.4 *************** *** 273,276 **** --- 273,277 ---- <supportedPlatform>calc</supportedPlatform> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.7.2.2 retrieving revision 1.7.2.3 diff -C2 -d -r1.7.2.2 -r1.7.2.3 *** exercise.xml 9 Aug 2006 10:46:37 -0000 1.7.2.2 --- exercise.xml 9 Aug 2006 19:56:56 -0000 1.7.2.3 *************** *** 75,78 **** --- 75,79 ---- <supportedPlatform>calc</supportedPlatform> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.12.2.2 retrieving revision 1.12.2.3 diff -C2 -d -r1.12.2.2 -r1.12.2.3 *** pricingengines.xml 9 Aug 2006 10:46:37 -0000 1.12.2.2 --- pricingengines.xml 9 Aug 2006 19:56:57 -0000 1.12.2.3 *************** *** 22,25 **** --- 22,26 ---- <supportedPlatform>calc</supportedPlatform> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.6.2.2 retrieving revision 1.6.2.3 diff -C2 -d -r1.6.2.2 -r1.6.2.3 *** volatilities.xml 9 Aug 2006 10:46:37 -0000 1.6.2.2 --- volatilities.xml 9 Aug 2006 19:56:57 -0000 1.6.2.3 *************** *** 14,17 **** --- 14,18 ---- <supportedPlatform>calc</supportedPlatform> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.3.2.2 retrieving revision 1.3.2.3 diff -C2 -d -r1.3.2.2 -r1.3.2.3 *** payoffs.xml 9 Aug 2006 10:46:37 -0000 1.3.2.2 --- payoffs.xml 9 Aug 2006 19:56:56 -0000 1.3.2.3 *************** *** 15,18 **** --- 15,19 ---- <supportedPlatform>calc</supportedPlatform> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.7.2.1 retrieving revision 1.7.2.2 diff -C2 -d -r1.7.2.1 -r1.7.2.2 *** processes.xml 9 Aug 2006 10:46:37 -0000 1.7.2.1 --- processes.xml 9 Aug 2006 19:56:57 -0000 1.7.2.2 *************** *** 14,17 **** --- 14,18 ---- <supportedPlatform>calc</supportedPlatform> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> Index: ohfunctions.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/Attic/ohfunctions.xml,v retrieving revision 1.1.2.1 retrieving revision 1.1.2.2 diff -C2 -d -r1.1.2.1 -r1.1.2.2 *** ohfunctions.xml 9 Aug 2006 12:50:54 -0000 1.1.2.1 --- ohfunctions.xml 9 Aug 2006 19:56:56 -0000 1.1.2.2 *************** *** 16,19 **** --- 16,20 ---- <supportedPlatforms> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 42,45 **** --- 43,47 ---- <supportedPlatforms> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 68,71 **** --- 70,74 ---- <supportedPlatforms> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> *************** *** 89,92 **** --- 92,96 ---- <supportedPlatforms> <supportedPlatform>c</supportedPlatform> + <supportedPlatform>guile</supportedPlatform> </supportedPlatforms> <ParameterList> |
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From: Eric E. <eri...@us...> - 2006-08-09 19:57:00
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9143/gensrc/scripts Modified Files: Tag: R000313f0-branch gensrc.py Log Message: update Guile addin Index: gensrc.py =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts/gensrc.py,v retrieving revision 1.3.2.2 retrieving revision 1.3.2.3 diff -C2 -d -r1.3.2.2 -r1.3.2.3 *** gensrc.py 9 Aug 2006 10:46:38 -0000 1.3.2.2 --- gensrc.py 9 Aug 2006 19:56:57 -0000 1.3.2.3 *************** *** 69,74 **** elif o == '-c': addins.append(utilities.serializeObject(addinc.AddinC)) ! #elif o == '-g': ! # addins.append(utilities.serializeObject(addinguile.AddinGuile)) elif o == '-d': addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) --- 69,74 ---- elif o == '-c': addins.append(utilities.serializeObject(addinc.AddinC)) ! elif o == '-g': ! addins.append(utilities.serializeObject(addinguile.AddinGuile)) elif o == '-d': addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) *************** *** 81,85 **** addins.append(utilities.serializeObject(addincalc.AddinCalc)) addins.append(utilities.serializeObject(addinc.AddinC)) ! # addins.append(utilities.serializeObject(addinguile.AddinGuile)) addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) addins.append(utilities.serializeObject(valueobjects.ValueObjects)) --- 81,85 ---- addins.append(utilities.serializeObject(addincalc.AddinCalc)) addins.append(utilities.serializeObject(addinc.AddinC)) ! addins.append(utilities.serializeObject(addinguile.AddinGuile)) addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) addins.append(utilities.serializeObject(valueobjects.ValueObjects)) |
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From: Chiara F. <chi...@us...> - 2006-08-09 18:48:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11513/gensrc/metadata Modified Files: couponvectors.xml Log Message: Convention ID changed in Bussiness Day Convention Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** couponvectors.xml 7 Aug 2006 10:33:09 -0000 1.21 --- couponvectors.xml 9 Aug 2006 18:48:45 -0000 1.22 *************** *** 25,31 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>schedule</description> </Parameter> ! <Parameter name='conventionID' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> --- 25,31 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>schedule object ID</description> </Parameter> ! <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Chiara F. <chi...@us...> - 2006-08-09 18:46:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10606/gensrc/metadata Modified Files: index.xml Log Message: exported maturityDate and valueDate Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** index.xml 4 Aug 2006 10:03:17 -0000 1.24 --- index.xml 9 Aug 2006 18:46:40 -0000 1.25 *************** *** 197,202 **** </ReturnValue> </Member> ! <!-- Xibor interface --> <Member name='qlXiborIndexFrequency' libraryClass='Xibor'> --- 197,245 ---- </ReturnValue> </Member> + + <Member name='qlInterestRateIndexValueDate' libraryClass='InterestRateIndex'> + <description>retrieve the value date for Index object</description> + <libraryFunction>valueDate</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='fixingDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>fixing date</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> ! ! <Member name='qlInterestRateIndexMaturity' libraryClass='InterestRateIndex'> ! <description>retrieve the maturity date for Index object</description> ! <libraryFunction>maturityDate</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='valueDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>value date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <!-- Xibor interface --> <Member name='qlXiborIndexFrequency' libraryClass='Xibor'> |
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From: Giorgio F. <gi...@us...> - 2006-08-09 15:24:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16142/qlo Modified Files: enumclassctors.cpp typefactory.hpp Log Message: enumeration EuriborSwapFixA Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** enumclassctors.cpp 7 Aug 2006 10:33:10 -0000 1.14 --- enumclassctors.cpp 9 Aug 2006 15:24:53 -0000 1.15 *************** *** 266,270 **** } boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M() { ! return boost::shared_ptr<QuantLib::Euribor>( new QuantLib::Euribor6M( EuriborHandle::instance().handleYieldTermStructure())); --- 266,270 ---- } boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M() { ! return boost::shared_ptr<QuantLib::Euribor>( new QuantLib::Euribor6M( EuriborHandle::instance().handleYieldTermStructure())); *************** *** 300,378 **** EuriborHandle::instance().handleYieldTermStructure())); } ! ! /* *** EuriborSwapFixA *** */ boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA1Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA2Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA3Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA4Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA5Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA6Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA7Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA8Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA9Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA10Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA12Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA15Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA20Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA25Y()); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA30Y()); } --- 300,392 ---- EuriborHandle::instance().handleYieldTermStructure())); } ! ///EuriborSwapFixA boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA1Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA2Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA3Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA4Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA5Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA6Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA7Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA8Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA9Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA10Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA12Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA15Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA20Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA25Y( ! EuriborHandle::instance().handleYieldTermStructure())); } boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA30Y( ! EuriborHandle::instance().handleYieldTermStructure())); } Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** typefactory.hpp 7 Aug 2006 10:33:10 -0000 1.26 --- typefactory.hpp 9 Aug 2006 15:24:53 -0000 1.27 *************** *** 193,197 **** }; ! /* *** Euribor *** */ typedef boost::shared_ptr<QuantLib::Euribor>(*EuriborConstructor)( const std::string& handleYieldTermStructureID); --- 193,197 ---- }; ! ///* *** Euribor *** */ typedef boost::shared_ptr<QuantLib::Euribor>(*EuriborConstructor)( const std::string& handleYieldTermStructureID); *************** *** 212,216 **** /* *** EuriborSwapFixA *** */ ! typedef boost::shared_ptr<QuantLib::EuriborSwapFixA>(*EuriborSwapFixAConstructor)(); template<> --- 212,217 ---- /* *** EuriborSwapFixA *** */ ! typedef boost::shared_ptr<QuantLib::EuriborSwapFixA>(*EuriborSwapFixAConstructor)( ! const std::string& handleYieldTermStructureID); template<> *************** *** 219,226 **** public: boost::shared_ptr<QuantLib::EuriborSwapFixA> operator() ( ! const std::string& euriborSwapFixAID) { EuriborSwapFixAConstructor euriborSwapFixAConstructor = getType<std::string, EuriborSwapFixAConstructor>(euriborSwapFixAID); ! return euriborSwapFixAConstructor(); } using RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry>::checkType; --- 220,228 ---- public: boost::shared_ptr<QuantLib::EuriborSwapFixA> operator() ( ! const std::string& euriborSwapFixAID, ! const std::string& handleYieldTermStructureID = "") { EuriborSwapFixAConstructor euriborSwapFixAConstructor = getType<std::string, EuriborSwapFixAConstructor>(euriborSwapFixAID); ! return euriborSwapFixAConstructor(handleYieldTermStructureID); } using RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry>::checkType; *************** *** 283,287 **** --- 285,306 ---- } }; + + ///* *** InterestRateIndex *** */ + //typedef boost::shared_ptr<QuantLib::InterestRateIndex>(*InterestRateIndexConstructor)( + // const std::string& handleYieldTermStructureID); + //template<> + // class Create<boost::shared_ptr<QuantLib::InterestRateIndex> > : + // private RegistryManager<QuantLib::InterestRateIndex, EnumClassRegistry> { + //public: + // boost::shared_ptr<QuantLib::InterestRateIndex> operator() ( + // const std::string& InterestRateIndexID, + // const std::string& handleYieldTermStructureID = "") { + // InterestRateIndexConstructor interestRateIndexConstructor = + // getType<std::string, InterestRateIndexConstructor>(InterestRateIndexID); + // return interestRateIndexConstructor(handleYieldTermStructureID); + // } + // using RegistryManager<QuantLib::InterestRateIndex, EnumClassRegistry>::checkType; + //}; } |
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From: Giorgio F. <gi...@us...> - 2006-08-09 15:24:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16142/gensrc/metadata Modified Files: enumclasses.xml Log Message: enumeration EuriborSwapFixA Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** enumclasses.xml 3 Aug 2006 15:39:55 -0000 1.6 --- enumclasses.xml 9 Aug 2006 15:24:53 -0000 1.7 *************** *** 313,318 **** </EnumerationDefinitions> </Enumeration> ! ! <!--Enumeration> <type>QuantLib::EuriborSwapFixA</type> <EnumerationDefinitions> --- 313,318 ---- </EnumerationDefinitions> </Enumeration> ! ! <Enumeration> <type>QuantLib::EuriborSwapFixA</type> <EnumerationDefinitions> *************** *** 393,397 **** </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration--> </Enumerations> --- 393,397 ---- </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration> </Enumerations> |
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From: Eric E. <eri...@us...> - 2006-08-09 14:42:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30161/Addins/C Modified Files: Tag: R000313f0-branch .cvsignore Removed Files: Tag: R000313f0-branch qladdin.h Log Message: preparing for release Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/.cvsignore,v retrieving revision 1.1.2.1 retrieving revision 1.1.2.2 diff -C2 -d -r1.1.2.1 -r1.1.2.2 *** .cvsignore 9 Aug 2006 10:46:37 -0000 1.1.2.1 --- .cvsignore 9 Aug 2006 14:42:41 -0000 1.1.2.2 *************** *** 41,43 **** --- 41,44 ---- volatilities.* xibor.* + qladdin.h --- qladdin.h DELETED --- |
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From: Eric E. <eri...@us...> - 2006-08-09 14:22:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21286/Addins/C Modified Files: Tag: R000313f0-branch Makefile.am Log Message: enable C addin Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/Makefile.am,v retrieving revision 1.2.2.3 retrieving revision 1.2.2.4 diff -C2 -d -r1.2.2.3 -r1.2.2.4 *** Makefile.am 9 Aug 2006 12:50:53 -0000 1.2.2.3 --- Makefile.am 9 Aug 2006 14:22:53 -0000 1.2.2.4 *************** *** 20,23 **** --- 20,24 ---- defines.h \ exercise.h \ + ohfunctions.h \ options.h \ payoffs.h \ *************** *** 33,36 **** --- 34,38 ---- conversions.cpp \ exercise.cpp \ + ohfunctions.cpp \ options.cpp \ payoffs.cpp \ |
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From: Ferdinando A. <na...@us...> - 2006-08-09 14:07:38
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14416/qlo Modified Files: Tag: R000313f0-branch pricingengines.hpp Log Message: bug fix Index: pricingengines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.hpp,v retrieving revision 1.7 retrieving revision 1.7.2.1 diff -C2 -d -r1.7 -r1.7.2.1 *** pricingengines.hpp 29 Jun 2006 15:02:31 -0000 1.7 --- pricingengines.hpp 9 Aug 2006 14:07:35 -0000 1.7.2.1 *************** *** 53,60 **** }; ! class AnalyticCapFloorEngine : public ObjHandler::LibraryObject<QuantLib::PricingEngine> { public: AnalyticCapFloorEngine( ! const boost::shared_ptr < QuantLib::AffineModel >& model); }; --- 53,60 ---- }; ! class AnalyticCapFloorEngine : public PricingEngine { public: AnalyticCapFloorEngine( ! const boost::shared_ptr<QuantLib::AffineModel>& model); }; |
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From: Ferdinando A. <na...@us...> - 2006-08-09 14:07:38
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14416/gensrc/metadata Modified Files: Tag: R000313f0-branch capfloor.xml Log Message: bug fix Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.11.2.1 retrieving revision 1.11.2.2 diff -C2 -d -r1.11.2.1 -r1.11.2.2 *** capfloor.xml 6 Aug 2006 19:27:21 -0000 1.11.2.1 --- capfloor.xml 9 Aug 2006 14:07:35 -0000 1.11.2.2 *************** *** 117,124 **** <description>discounting term structure</description> </Parameter> ! <Parameter name='capFloorEngineID' libraryClass='BlackCapFloorEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Black cap floor pricing engine</description> </Parameter> </Parameters> --- 117,124 ---- <description>discounting term structure</description> </Parameter> ! <Parameter name='capFloorEngineID' libraryClass='PricingEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Cap floor pricing engine</description> </Parameter> </Parameters> |
Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13706/Addins/C Modified Files: Tag: R000313f0-branch AddinC_vc8.vcproj Makefile.am qladdin.h varies.cpp varies.h Added Files: Tag: R000313f0-branch auto_link.h Removed Files: Tag: R000313f0-branch session.cpp Log Message: update C client --- NEW FILE: auto_link.h --- /* Copyright (C) 2006 Eric Ehlers 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_c_autolink_hpp #define qla_c_autolink_hpp // select toolset: #if (_MSC_VER < 1300) # error "unsupported Microsoft compiler" #elif (_MSC_VER == 1300) # define LIB_TOOLSET "vc7" #elif (_MSC_VER == 1310) # define LIB_TOOLSET "vc71" #elif (_MSC_VER == 1400) # define LIB_TOOLSET "vc80" #else # error "unknown Microsoft compiler" #endif /*** libraries to be linked ***/ // select thread opt: #ifdef _MT # define LIB_THREAD_OPT "-mt" #else # define LIB_THREAD_OPT #endif // select linkage opt: #ifdef _DLL # if defined(_DEBUG) # define LIB_RT_OPT "-gd" # else # define LIB_RT_OPT # endif #else # if defined(_DEBUG) # define LIB_RT_OPT "-sgd" # else # define LIB_RT_OPT "-s" # endif #endif #define OH_LIB_NAME "ObjectHandler-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_1_4.lib" #define QL_LIB_NAME "QuantLib-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_3_13.lib" #pragma message("Linking to lib file: " OH_LIB_NAME) #pragma comment(lib, OH_LIB_NAME) #pragma message("Linking to lib file: " QL_LIB_NAME) #pragma comment(lib, QL_LIB_NAME) #endif Index: AddinC_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/AddinC_vc8.vcproj,v retrieving revision 1.3.2.2 retrieving revision 1.3.2.3 diff -C2 -d -r1.3.2.2 -r1.3.2.3 *** AddinC_vc8.vcproj 9 Aug 2006 11:02:12 -0000 1.3.2.2 --- AddinC_vc8.vcproj 9 Aug 2006 12:50:53 -0000 1.3.2.3 *************** *** 335,338 **** --- 335,342 ---- </File> <File + RelativePath=".\ohfunctions.cpp" + > + </File> + <File RelativePath="options.cpp" > *************** *** 351,358 **** </File> <File - RelativePath="session.cpp" - > - </File> - <File RelativePath="varies.cpp" > --- 355,358 ---- *************** *** 368,371 **** --- 368,375 ---- > <File + RelativePath=".\auto_link.h" + > + </File> + <File RelativePath="conversions.hpp" > *************** *** 380,383 **** --- 384,391 ---- </File> <File + RelativePath=".\ohfunctions.h" + > + </File> + <File RelativePath="options.h" > Index: varies.h =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/varies.h,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** varies.h 19 May 2006 16:56:16 -0000 1.1 --- varies.h 9 Aug 2006 12:50:53 -0000 1.1.2.1 *************** *** 52,55 **** --- 52,56 ---- void freeVaries(Varies *vl); + void initialize(); #endif --- session.cpp DELETED --- Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/Makefile.am,v retrieving revision 1.2.2.2 retrieving revision 1.2.2.3 diff -C2 -d -r1.2.2.2 -r1.2.2.3 *** Makefile.am 9 Aug 2006 10:46:37 -0000 1.2.2.2 --- Makefile.am 9 Aug 2006 12:50:53 -0000 1.2.2.3 *************** *** 16,19 **** --- 16,20 ---- if BUILD_C noinst_HEADERS = \ + auto_link.h \ conversions.hpp \ defines.h \ *************** *** 36,40 **** pricingengines.cpp \ processes.cpp \ - session.cpp \ varies.cpp \ volatilities.cpp --- 37,40 ---- Index: qladdin.h =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/qladdin.h,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** qladdin.h 19 May 2006 16:56:16 -0000 1.1 --- qladdin.h 9 Aug 2006 12:50:53 -0000 1.1.2.1 *************** *** 1,5 **** /* ! Copyright (C) 2004 Eric Ehlers This file is part of QuantLib, a free-software/open-source library --- 1,5 ---- /* ! Copyright (C) 2004, 2005, 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library *************** *** 22,36 **** #include <Addins/C/varies.h> - #include <Addins/C/capfloor.h> #include <Addins/C/exercise.h> - #include <Addins/C/instruments.h> #include <Addins/C/ohfunctions.h> #include <Addins/C/options.h> #include <Addins/C/processes.h> - #include <Addins/C/shortratemodels.h> - #include <Addins/C/termstructures.h> - #include <Addins/C/utilities.h> #include <Addins/C/volatilities.h> #endif --- 22,37 ---- #include <Addins/C/varies.h> #include <Addins/C/exercise.h> #include <Addins/C/ohfunctions.h> #include <Addins/C/options.h> + #include <Addins/C/payoffs.h> + #include <Addins/C/pricingengines.h> #include <Addins/C/processes.h> #include <Addins/C/volatilities.h> + #ifdef WIN32 + #include <Addins/C/auto_link.h> + #endif + #endif Index: varies.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/varies.cpp,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** varies.cpp 19 May 2006 16:56:16 -0000 1.1 --- varies.cpp 9 Aug 2006 12:50:53 -0000 1.1.2.1 *************** *** 19,25 **** } #include <Addins/C/varies.hpp> ! #include <ql/Patterns/singleton.hpp> // code stub for unsupported sessions functionality --- 19,30 ---- } #include <Addins/C/varies.hpp> ! #include <oh/objhandler.hpp> #include <ql/Patterns/singleton.hpp> + void initialize() { + // instantiate the objecthandler singleton + static ObjHandler::ObjectHandler oh; + } + // code stub for unsupported sessions functionality |
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From: Eric E. <eri...@us...> - 2006-08-09 12:50:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13706/gensrc/metadata Added Files: Tag: R000313f0-branch ohfunctions.xml Log Message: update C client --- NEW FILE: ohfunctions.xml --- <Category name='ohfunctions'> <description>ObjectHandler functions</description> <displayName>ObjectHandler</displayName> <includes> <include>oh/objecthandler.hpp</include> </includes> <copyright> Copyright (C) 2006 Eric Ehlers </copyright> <Functions> <Procedure name='ohSetLogFile'> <description>begin logging to named file</description> <alias>ObjHandler::setLogFile</alias> <supportedPlatforms> <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='logFileName'> <type>string</type> <tensorRank>scalar</tensorRank> <description>path and name of log file</description> </Parameter> <Parameter name='logLevel' default='4'> <type>long</type> <tensorRank>scalar</tensorRank> <description>threshold for log messages</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='ohLogMessage'> <description>log a message</description> <alias>ObjHandler::logMessage</alias> <supportedPlatforms> <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='logMessage'> <type>string</type> <tensorRank>scalar</tensorRank> <description>message to be logged</description> </Parameter> <Parameter name='logLevel' default='4'> <type>long</type> <tensorRank>scalar</tensorRank> <description>threshold for log messages</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='ohLogObject'> <description>write object description to log file</description> <alias>ObjHandler::logObject</alias> <supportedPlatforms> <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='handleObject'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of object to be logged</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> <Procedure name='ohSetConsole'> <description>fork output to stdout</description> <alias>ObjHandler::setConsole</alias> <supportedPlatforms> <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> <Parameters> <Parameter name='console'> <type>int</type> <tensorRank>scalar</tensorRank> <description>1 (enable) / 0 (disable)</description> </Parameter> <Parameter name='logLevel' default='4'> <type>long</type> <tensorRank>scalar</tensorRank> <description>threshold for log messages</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Procedure> </Functions> </Category> |
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From: Eric E. <eri...@us...> - 2006-08-09 12:50:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13706/gensrc Modified Files: Tag: R000313f0-branch Makefile.vc gensrc.vcproj gensrc_vc8.vcproj Log Message: update C client Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.19.2.3 retrieving revision 1.19.2.4 diff -C2 -d -r1.19.2.3 -r1.19.2.4 *** Makefile.vc 9 Aug 2006 11:02:13 -0000 1.19.2.3 --- Makefile.vc 9 Aug 2006 12:50:53 -0000 1.19.2.4 *************** *** 28,31 **** --- 28,32 ---- metadata\mathf.xml \ # metadata\marketmodels.xml \ + metadata\ohfunctions.xml \ metadata\optimization.xml \ metadata\options.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.19.2.1 retrieving revision 1.19.2.2 diff -C2 -d -r1.19.2.1 -r1.19.2.2 *** gensrc_vc8.vcproj 1 Aug 2006 11:54:05 -0000 1.19.2.1 --- gensrc_vc8.vcproj 9 Aug 2006 12:50:54 -0000 1.19.2.2 *************** *** 128,131 **** --- 128,135 ---- </File> <File + RelativePath=".\metadata\ohfunctions.xml" + > + </File> + <File RelativePath=".\metadata\optimization.xml" > Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.14 retrieving revision 1.14.2.1 diff -C2 -d -r1.14 -r1.14.2.1 *** gensrc.vcproj 29 Jul 2006 15:32:31 -0000 1.14 --- gensrc.vcproj 9 Aug 2006 12:50:54 -0000 1.14.2.1 *************** *** 88,92 **** </File> <File ! RelativePath=".\metadata\marketmodels.xml"> </File> <File --- 88,92 ---- </File> <File ! RelativePath="metadata\marketmodels.xml"> </File> <File *************** *** 94,98 **** </File> <File ! RelativePath=".\metadata\optimization.xml"> </File> <File --- 94,101 ---- </File> <File ! RelativePath="metadata\ohfunctions.xml"> ! </File> ! <File ! RelativePath="metadata\optimization.xml"> </File> <File |
