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From: Eric E. <eri...@us...> - 2006-08-09 12:50:57
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13706/gensrc/config Modified Files: Tag: R000313f0-branch config.xml Log Message: update C client Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.18.2.1 retrieving revision 1.18.2.2 diff -C2 -d -r1.18.2.1 -r1.18.2.2 *** config.xml 8 Aug 2006 19:16:57 -0000 1.18.2.1 --- config.xml 9 Aug 2006 12:50:54 -0000 1.18.2.2 *************** *** 26,29 **** --- 26,30 ---- <!--categoryName>marketmodels</categoryName--> <categoryName>mathf</categoryName> + <categoryName>ohfunctions</categoryName> <categoryName>optimization</categoryName> <categoryName>options</categoryName> |
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From: Eric E. <eri...@us...> - 2006-08-09 12:50:56
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13706/Clients/C Modified Files: Tag: R000313f0-branch ClientCDemo_vc8.vcproj qlademo.c Log Message: update C client Index: qlademo.c =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/qlademo.c,v retrieving revision 1.2 retrieving revision 1.2.2.1 diff -C2 -d -r1.2 -r1.2.2.1 *** qlademo.c 16 Jul 2006 10:42:39 -0000 1.2 --- qlademo.c 9 Aug 2006 12:50:53 -0000 1.2.2.1 *************** *** 1,5 **** /* ! Copyright (C) 2004, 2005 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 *************** *** 26,43 **** double underlying = 36; double strike = 40; ! long exerciseDate = 43903; // (13, March, 2020); ! long settlementDate = 43537; // (13, March, 2019); char returnString[100]; ! Boolean returnCode; Varies dummy; - Varies logLevel; dummy.type = LONG; dummy.data.AsLong = 0; - logLevel.type = LONG; - logLevel.data.AsLong = 4; ! ohSetLogFile("quantlib.log", logLevel, &returnCode); // specify log file ! ohSetConsole(1, logLevel, &returnCode); // log messages to stdout ! ohLogMessage("begin example program", logLevel, &returnCode); if (qlBlackConstantVol( --- 26,42 ---- double underlying = 36; double strike = 40; ! long exerciseDate = 36297; // (17, May, 1999); ! long settlementDate = 35932; // (17, May, 1998); char returnString[100]; ! long logLevel = 4; ! Boolean result; Varies dummy; dummy.type = LONG; dummy.data.AsLong = 0; ! initialize(); ! ohSetLogFile("quantlib.log", logLevel, returnString); // specify log file ! ohSetConsole(1, logLevel, &result); // log messages to stdout ! ohLogMessage("begin example program", logLevel, &result); if (qlBlackConstantVol( *************** *** 45,51 **** settlementDate, volatility, ! "Actual360", returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackConstantVol", logLevel, &returnCode); goto fail; } --- 44,51 ---- settlementDate, volatility, ! "Actual/365 (Fixed)", ! dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackConstantVol", logLevel, &result); goto fail; } *************** *** 55,74 **** "my_blackconstantvol", underlying, ! "Actual360", settlementDate, riskFreeRate, dividendYield, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackScholesProcess", logLevel, &returnCode); goto fail; } ! if (qlAmericanExercise( "my_exercise", ! settlementDate, ! exerciseDate, dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &returnCode); goto fail; } --- 55,94 ---- "my_blackconstantvol", underlying, ! "Actual/365 (Fixed)", settlementDate, riskFreeRate, dividendYield, + dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlBlackScholesProcess", logLevel, &result); goto fail; } ! if (qlEuropeanExercise( "my_exercise", ! exerciseDate, dummy, returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &result); ! goto fail; ! } ! ! if (qlStrikedTypePayoff( ! "my_payoff", ! "vanilla", ! "put", ! strike, ! dummy, ! returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &result); ! goto fail; ! } ! ! if (qlPricingEngine( ! "my_engine", ! "AE", // analytic european ! dummy, ! returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlAmericanExercise", logLevel, &result); goto fail; } *************** *** 77,95 **** "my_option", // option object ID "my_stochastic", // stochastic process object ID ! "Put", // option type ! "Vanilla", // payoff type ! strike, // strike price "my_exercise", // exercise object ID ! "JR", // engine type (jarrow rudd) dummy, // time steps returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlVanillaOption", logLevel, &returnCode); goto fail; } ! ohLogMessage("high-level interrogation - after qlVanillaOption", logLevel, &returnCode); ! ohLogObject("my_option", &returnCode); ! ohLogMessage("end example program", logLevel, &returnCode); return 0; --- 97,113 ---- "my_option", // option object ID "my_stochastic", // stochastic process object ID ! "my_payoff", // payoff object ID "my_exercise", // exercise object ID ! "my_engine", // engine object ID dummy, // time steps returnString) != SUCCESS) { ! ohLogMessage("Error on call to qlVanillaOption", logLevel, &result); goto fail; } ! ohLogMessage("high-level interrogation - after qlVanillaOption", logLevel, &result); ! ohLogObject("my_option", &result); ! ohLogMessage("end example program", logLevel, &result); return 0; Index: ClientCDemo_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/ClientCDemo_vc8.vcproj,v retrieving revision 1.3 retrieving revision 1.3.2.1 diff -C2 -d -r1.3 -r1.3.2.1 *** ClientCDemo_vc8.vcproj 11 Jun 2006 18:16:49 -0000 1.3 --- ClientCDemo_vc8.vcproj 9 Aug 2006 12:50:53 -0000 1.3.2.1 *************** *** 45,49 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" --- 45,49 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" *************** *** 137,141 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" --- 137,141 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" *************** *** 232,236 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" --- 232,236 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;NDEBUG;_CONSOLE" StringPooling="true" *************** *** 324,328 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" --- 324,328 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),..\.." PreprocessorDefinitions="WIN32;_DEBUG;_CONSOLE" MinimalRebuild="true" |
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From: Eric E. <eri...@us...> - 2006-08-09 12:50:56
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13706 Modified Files: Tag: R000313f0-branch QuantLibAddin_vc8.sln Log Message: update C client Index: QuantLibAddin_vc8.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin_vc8.sln,v retrieving revision 1.10 retrieving revision 1.10.2.1 diff -C2 -d -r1.10 -r1.10.2.1 *** QuantLibAddin_vc8.sln 22 Jun 2006 10:35:03 -0000 1.10 --- QuantLibAddin_vc8.sln 9 Aug 2006 12:50:53 -0000 1.10.2.1 *************** *** 1,10 ****  Microsoft Visual Studio Solution File, Format Version 9.00 ! # Visual Studio 2005 Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinC", "Addins\C\AddinC_vc8.vcproj", "{ACCA0906-34AF-4CC4-8426-C3EF41315BF5}" EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinCalc", "Addins\Calc\AddinCalc_vc8.vcproj", "{10DC0D9D-ABB3-4737-B14D-4FFAD4810A72}" EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCDemo", "Clients\C\ClientCDemo_vc8.vcproj", "{B598DA76-9F89-4F2D-97D0-54C34C1E3CB4}" EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCppDemo", "Clients\C++\ClientCppDemo_vc8.vcproj", "{8F04F015-23CA-4D7E-83BE-FF9371D3964D}" --- 1,16 ----  Microsoft Visual Studio Solution File, Format Version 9.00 ! # Visual C++ Express 2005 Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinC", "Addins\C\AddinC_vc8.vcproj", "{ACCA0906-34AF-4CC4-8426-C3EF41315BF5}" + ProjectSection(ProjectDependencies) = postProject + {CAB8330C-6424-4455-9285-3654587EF71F} = {CAB8330C-6424-4455-9285-3654587EF71F} + EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinCalc", "Addins\Calc\AddinCalc_vc8.vcproj", "{10DC0D9D-ABB3-4737-B14D-4FFAD4810A72}" EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCDemo", "Clients\C\ClientCDemo_vc8.vcproj", "{B598DA76-9F89-4F2D-97D0-54C34C1E3CB4}" + ProjectSection(ProjectDependencies) = postProject + {ACCA0906-34AF-4CC4-8426-C3EF41315BF5} = {ACCA0906-34AF-4CC4-8426-C3EF41315BF5} + EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCppDemo", "Clients\C++\ClientCppDemo_vc8.vcproj", "{8F04F015-23CA-4D7E-83BE-FF9371D3964D}" |
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From: Eric E. <eri...@us...> - 2006-08-09 11:02:21
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31130/Addins/C Modified Files: Tag: R000313f0-branch AddinC_vc8.vcproj Log Message: update C addin Index: AddinC_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/AddinC_vc8.vcproj,v retrieving revision 1.3.2.1 retrieving revision 1.3.2.2 diff -C2 -d -r1.3.2.1 -r1.3.2.2 *** AddinC_vc8.vcproj 9 Aug 2006 10:46:37 -0000 1.3.2.1 --- AddinC_vc8.vcproj 9 Aug 2006 11:02:12 -0000 1.3.2.2 *************** *** 42,46 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" --- 42,46 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,..\.." PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" *************** *** 118,122 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" --- 118,122 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,..\.." PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" *************** *** 195,199 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" --- 195,199 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,..\.." PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" *************** *** 271,275 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,$(QUANTLIBADDIN_DIR)" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" --- 271,275 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions,..\.." PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" |
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From: Eric E. <eri...@us...> - 2006-08-09 11:02:18
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31130/gensrc Modified Files: Tag: R000313f0-branch Makefile.vc Log Message: update C addin Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.19.2.2 retrieving revision 1.19.2.3 diff -C2 -d -r1.19.2.2 -r1.19.2.3 *** Makefile.vc 2 Aug 2006 13:03:46 -0000 1.19.2.2 --- Makefile.vc 9 Aug 2006 11:02:13 -0000 1.19.2.3 *************** *** 61,65 **** $(BUILDFLAG) : $(SCRIPT) $(INPUTS) $(BUILD_DIR) $(MAKEFILE) set PYTHONPATH=$(PYTHONPATH);$(GENSRC_DIR)\import ! $(SCRIPT) -eqvdo echo flagged > $@ --- 61,65 ---- $(BUILDFLAG) : $(SCRIPT) $(INPUTS) $(BUILD_DIR) $(MAKEFILE) set PYTHONPATH=$(PYTHONPATH);$(GENSRC_DIR)\import ! $(SCRIPT) -a echo flagged > $@ |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24243/gensrc/metadata Modified Files: Tag: R000313f0-branch exercise.xml options.xml payoffs.xml pricingengines.xml processes.xml volatilities.xml Log Message: update C addin Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.15.2.2 retrieving revision 1.15.2.3 diff -C2 -d -r1.15.2.2 -r1.15.2.3 *** options.xml 6 Aug 2006 19:27:22 -0000 1.15.2.2 --- options.xml 9 Aug 2006 10:46:37 -0000 1.15.2.3 *************** *** 272,275 **** --- 272,276 ---- <supportedPlatform>excel</supportedPlatform> <supportedPlatform>calc</supportedPlatform> + <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.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 *** exercise.xml 6 Aug 2006 19:27:21 -0000 1.7.2.1 --- exercise.xml 9 Aug 2006 10:46:37 -0000 1.7.2.2 *************** *** 74,77 **** --- 74,78 ---- <supportedPlatform>excel</supportedPlatform> <supportedPlatform>calc</supportedPlatform> + <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.12.2.1 retrieving revision 1.12.2.2 diff -C2 -d -r1.12.2.1 -r1.12.2.2 *** pricingengines.xml 6 Aug 2006 19:27:22 -0000 1.12.2.1 --- pricingengines.xml 9 Aug 2006 10:46:37 -0000 1.12.2.2 *************** *** 21,24 **** --- 21,25 ---- <supportedPlatform>excel</supportedPlatform> <supportedPlatform>calc</supportedPlatform> + <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.6.2.1 retrieving revision 1.6.2.2 diff -C2 -d -r1.6.2.1 -r1.6.2.2 *** volatilities.xml 6 Aug 2006 19:27:22 -0000 1.6.2.1 --- volatilities.xml 9 Aug 2006 10:46:37 -0000 1.6.2.2 *************** *** 13,16 **** --- 13,17 ---- <supportedPlatform>excel</supportedPlatform> <supportedPlatform>calc</supportedPlatform> + <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.7 retrieving revision 1.7.2.1 diff -C2 -d -r1.7 -r1.7.2.1 *** processes.xml 29 Jul 2006 15:32:32 -0000 1.7 --- processes.xml 9 Aug 2006 10:46:37 -0000 1.7.2.1 *************** *** 13,16 **** --- 13,17 ---- <supportedPlatform>excel</supportedPlatform> <supportedPlatform>calc</supportedPlatform> + <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.3.2.1 retrieving revision 1.3.2.2 diff -C2 -d -r1.3.2.1 -r1.3.2.2 *** payoffs.xml 6 Aug 2006 19:27:22 -0000 1.3.2.1 --- payoffs.xml 9 Aug 2006 10:46:37 -0000 1.3.2.2 *************** *** 14,17 **** --- 14,18 ---- <supportedPlatform>excel</supportedPlatform> <supportedPlatform>calc</supportedPlatform> + <supportedPlatform>c</supportedPlatform> </supportedPlatforms> <ParameterList> |
Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24243/Addins/C Modified Files: Tag: R000313f0-branch .cvsignore AddinC.vcproj AddinC_vc8.vcproj Makefile.am Added Files: Tag: R000313f0-branch conversions.cpp conversions.hpp Log Message: update C addin Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/.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 10:46:37 -0000 1.1.2.1 *************** *** 17,24 **** *.user capfloor.* couponvectors.* date.* - calendar.* daycounter.* exercise.* --- 17,24 ---- *.user + calendar.* capfloor.* couponvectors.* date.* daycounter.* exercise.* *************** *** 28,32 **** --- 28,34 ---- ohfunctions.* options.* + payoffs.* prices.* + pricingengines.* processes.* randomsequencegenerator.* *************** *** 39,40 **** --- 41,43 ---- volatilities.* xibor.* + --- 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_c_conversions_hpp #define qla_c_conversions_hpp #include <ql/date.hpp> void cToLib(QuantLib::Date &, const long &); #endif Index: AddinC_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/AddinC_vc8.vcproj,v retrieving revision 1.3 retrieving revision 1.3.2.1 diff -C2 -d -r1.3 -r1.3.2.1 *** AddinC_vc8.vcproj 11 Jun 2006 18:16:49 -0000 1.3 --- AddinC_vc8.vcproj 9 Aug 2006 10:46:37 -0000 1.3.2.1 *************** *** 327,347 **** > <File ! RelativePath=".\calendar.cpp" ! > ! </File> ! <File ! RelativePath="capfloor.cpp" ! > ! </File> ! <File ! RelativePath="couponvectors.cpp" ! > ! </File> ! <File ! RelativePath="date.cpp" ! > ! </File> ! <File ! RelativePath=".\daycounter.cpp" > </File> --- 327,331 ---- > <File ! RelativePath="conversions.cpp" > </File> *************** *** 351,407 **** </File> <File - RelativePath="instruments.cpp" - > - </File> - <File - RelativePath="interpolation.cpp" - > - </File> - <File - RelativePath="mathf.cpp" - > - </File> - <File - RelativePath="ohfunctions.cpp" - > - </File> - <File RelativePath="options.cpp" > </File> <File ! RelativePath="prices.cpp" ! > ! </File> ! <File ! RelativePath="processes.cpp" ! > ! </File> ! <File ! RelativePath="randomsequencegenerator.cpp" ! > ! </File> ! <File ! RelativePath="schedule.cpp" ! > ! </File> ! <File ! RelativePath="shortratemodels.cpp" ! > ! </File> ! <File ! RelativePath="simpleswap.cpp" > </File> <File ! RelativePath="swap.cpp" > </File> <File ! RelativePath="termstructures.cpp" > </File> <File ! RelativePath="utilities.cpp" > </File> --- 335,355 ---- </File> <File RelativePath="options.cpp" > </File> <File ! RelativePath="payoffs.cpp" > </File> <File ! RelativePath="pricingengines.cpp" > </File> <File ! RelativePath="processes.cpp" > </File> <File ! RelativePath="session.cpp" > </File> *************** *** 414,421 **** > </File> - <File - RelativePath="xibor.cpp" - > - </File> </Filter> <Filter --- 362,365 ---- *************** *** 424,444 **** > <File ! RelativePath=".\calendar.h" ! > ! </File> ! <File ! RelativePath="capfloor.h" ! > ! </File> ! <File ! RelativePath="couponvectors.h" ! > ! </File> ! <File ! RelativePath="date.h" ! > ! </File> ! <File ! RelativePath=".\daycounter.h" > </File> --- 368,372 ---- > <File ! RelativePath="conversions.hpp" > </File> *************** *** 452,476 **** </File> <File ! RelativePath="instruments.h" ! > ! </File> ! <File ! RelativePath="interpolation.h" ! > ! </File> ! <File ! RelativePath="mathf.h" ! > ! </File> ! <File ! RelativePath="ohfunctions.h" > </File> <File ! RelativePath="options.h" > </File> <File ! RelativePath="prices.h" > </File> --- 380,392 ---- </File> <File ! RelativePath="options.h" > </File> <File ! RelativePath="payoffs.h" > </File> <File ! RelativePath="pricingengines.h" > </File> *************** *** 484,515 **** </File> <File - RelativePath="randomsequencegenerator.h" - > - </File> - <File - RelativePath="schedule.h" - > - </File> - <File - RelativePath="shortratemodels.h" - > - </File> - <File - RelativePath="simpleswap.h" - > - </File> - <File - RelativePath="swap.h" - > - </File> - <File - RelativePath="termstructures.h" - > - </File> - <File - RelativePath="utilities.h" - > - </File> - <File RelativePath="varies.h" > --- 400,403 ---- *************** *** 523,530 **** > </File> - <File - RelativePath="xibor.h" - > - </File> </Filter> </Files> --- 411,414 ---- --- 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/C/conversions.hpp> void cToLib(QuantLib::Date &ret, const long &in) { ret = QuantLib::Date(in); } Index: AddinC.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/AddinC.vcproj,v retrieving revision 1.2 retrieving revision 1.2.2.1 diff -C2 -d -r1.2 -r1.2.2.1 *** AddinC.vcproj 11 Jun 2006 13:39:19 -0000 1.2 --- AddinC.vcproj 9 Aug 2006 10:46:37 -0000 1.2.2.1 *************** *** 124,140 **** Filter="cpp;c;cxx;rc;def;r;odl;idl;hpj;bat"> <File ! RelativePath=".\calendar.cpp"> ! </File> ! <File ! RelativePath="capfloor.cpp"> ! </File> ! <File ! RelativePath="couponvectors.cpp"> ! </File> ! <File ! RelativePath="date.cpp"> ! </File> ! <File ! RelativePath=".\daycounter.cpp"> </File> <File --- 124,128 ---- Filter="cpp;c;cxx;rc;def;r;odl;idl;hpj;bat"> <File ! RelativePath="conversions.cpp"> </File> <File *************** *** 142,185 **** </File> <File - RelativePath="instruments.cpp"> - </File> - <File - RelativePath="interpolation.cpp"> - </File> - <File - RelativePath="mathf.cpp"> - </File> - <File - RelativePath="ohfunctions.cpp"> - </File> - <File RelativePath="options.cpp"> </File> <File ! RelativePath="prices.cpp"> ! </File> ! <File ! RelativePath="processes.cpp"> ! </File> ! <File ! RelativePath="randomsequencegenerator.cpp"> ! </File> ! <File ! RelativePath="schedule.cpp"> ! </File> ! <File ! RelativePath="shortratemodels.cpp"> ! </File> ! <File ! RelativePath="simpleswap.cpp"> </File> <File ! RelativePath="swap.cpp"> </File> <File ! RelativePath="termstructures.cpp"> </File> <File ! RelativePath="utilities.cpp"> </File> <File --- 130,146 ---- </File> <File RelativePath="options.cpp"> </File> <File ! RelativePath="payoffs.cpp"> </File> <File ! RelativePath="pricingengines.cpp"> </File> <File ! RelativePath="processes.cpp"> </File> <File ! RelativePath="session.cpp"> </File> <File *************** *** 189,195 **** RelativePath="volatilities.cpp"> </File> - <File - RelativePath="xibor.cpp"> - </File> </Filter> <Filter --- 150,153 ---- *************** *** 197,213 **** Filter="h;hpp;hxx;hm;inl"> <File ! RelativePath=".\calendar.h"> ! </File> ! <File ! RelativePath="capfloor.h"> ! </File> ! <File ! RelativePath="couponvectors.h"> ! </File> ! <File ! RelativePath="date.h"> ! </File> ! <File ! RelativePath=".\daycounter.h"> </File> <File --- 155,159 ---- Filter="h;hpp;hxx;hm;inl"> <File ! RelativePath="conversions.hpp"> </File> <File *************** *** 218,237 **** </File> <File ! RelativePath="instruments.h"> ! </File> ! <File ! RelativePath="interpolation.h"> ! </File> ! <File ! RelativePath="mathf.h"> ! </File> ! <File ! RelativePath="ohfunctions.h"> </File> <File ! RelativePath="options.h"> </File> <File ! RelativePath="prices.h"> </File> <File --- 164,174 ---- </File> <File ! RelativePath="options.h"> </File> <File ! RelativePath="payoffs.h"> </File> <File ! RelativePath="pricingengines.h"> </File> <File *************** *** 242,266 **** </File> <File - RelativePath="randomsequencegenerator.h"> - </File> - <File - RelativePath="schedule.h"> - </File> - <File - RelativePath="shortratemodels.h"> - </File> - <File - RelativePath="simpleswap.h"> - </File> - <File - RelativePath="swap.h"> - </File> - <File - RelativePath="termstructures.h"> - </File> - <File - RelativePath="utilities.h"> - </File> - <File RelativePath="varies.h"> </File> --- 179,182 ---- *************** *** 271,277 **** RelativePath="volatilities.h"> </File> - <File - RelativePath="xibor.h"> - </File> </Filter> </Files> --- 187,190 ---- Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/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 5 Aug 2006 15:44:44 -0000 1.2.2.1 --- Makefile.am 9 Aug 2006 10:46:37 -0000 1.2.2.2 *************** *** 12,27 **** endif ! libQuantLibAddinC_la_LIBADD = ../../qla/libQuantLibAddin.la if BUILD_C noinst_HEADERS = \ defines.h \ qladdin.h \ varies.h \ ! varies.hpp endif libQuantLibAddinC_la_SOURCES = \ session.cpp \ ! varies.cpp --- 12,41 ---- endif ! libQuantLibAddinC_la_LIBADD = ../../qlo/libQuantLibAddin.la if BUILD_C noinst_HEADERS = \ + conversions.hpp \ defines.h \ + exercise.h \ + options.h \ + payoffs.h \ + pricingengines.h \ + processes.h \ qladdin.h \ varies.h \ ! varies.hpp \ ! volatilities.h endif libQuantLibAddinC_la_SOURCES = \ + conversions.cpp \ + exercise.cpp \ + options.cpp \ + payoffs.cpp \ + pricingengines.cpp \ + processes.cpp \ session.cpp \ ! varies.cpp \ ! volatilities.cpp |
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From: Eric E. <eri...@us...> - 2006-08-09 10:46:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24243/gensrc/scripts Modified Files: Tag: R000313f0-branch gensrc.py Log Message: update C addin Index: gensrc.py =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts/gensrc.py,v retrieving revision 1.3.2.1 retrieving revision 1.3.2.2 diff -C2 -d -r1.3.2.1 -r1.3.2.2 *** gensrc.py 4 Aug 2006 09:34:41 -0000 1.3.2.1 --- gensrc.py 9 Aug 2006 10:46:38 -0000 1.3.2.2 *************** *** 67,72 **** elif o == '-o': addins.append(utilities.serializeObject(addincalc.AddinCalc)) ! #elif o == '-c': ! # addins.append(utilities.serializeObject(addinc.AddinC)) #elif o == '-g': # addins.append(utilities.serializeObject(addinguile.AddinGuile)) --- 67,72 ---- elif o == '-o': addins.append(utilities.serializeObject(addincalc.AddinCalc)) ! elif o == '-c': ! addins.append(utilities.serializeObject(addinc.AddinC)) #elif o == '-g': # addins.append(utilities.serializeObject(addinguile.AddinGuile)) *************** *** 80,84 **** addins.append(utilities.serializeObject(addinexcel.AddinExcel)) addins.append(utilities.serializeObject(addincalc.AddinCalc)) ! # addins.append(utilities.serializeObject(addinc.AddinC)) # addins.append(utilities.serializeObject(addinguile.AddinGuile)) addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) --- 80,84 ---- addins.append(utilities.serializeObject(addinexcel.AddinExcel)) addins.append(utilities.serializeObject(addincalc.AddinCalc)) ! addins.append(utilities.serializeObject(addinc.AddinC)) # addins.append(utilities.serializeObject(addinguile.AddinGuile)) addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) |
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From: Cristina D. <cdu...@us...> - 2006-08-09 10:19:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12298/gensrc Modified Files: Makefile.vc Log Message: Added riskstatistics Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** Makefile.vc 29 Jul 2006 15:32:31 -0000 1.19 --- Makefile.vc 9 Aug 2006 10:19:33 -0000 1.20 *************** *** 20,26 **** metadata\exercise.xml \ metadata\forwardrateagreement.xml \ - metadata\generalstatistics.xml \ metadata\index.xml \ - metadata\incrementalstatistics.xml \ metadata\instruments.xml \ metadata\interpolation.xml \ --- 20,24 ---- *************** *** 34,37 **** --- 32,36 ---- metadata\randomsequencegenerator.xml \ metadata\ratehelpers.xml \ + metadata\riskstatistics.xml \ metadata\schedule.xml \ metadata\shortratemodels.xml \ |
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From: Cristina D. <cdu...@us...> - 2006-08-09 10:18:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11840/qlo Added Files: riskstatistics.cpp riskstatistics.hpp Log Message: --- NEW FILE: riskstatistics.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/riskstatistics.hpp> namespace QuantLibAddin { class RiskStatistics : public ObjHandler::LibraryObject<QuantLib::RiskStatistics> { public: RiskStatistics(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: riskstatistics.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/riskstatistics.hpp> namespace QuantLibAddin { RiskStatistics::RiskStatistics(std::vector<QuantLib::Real> values, std::vector<QuantLib::Real> weights) { libraryObject_ = boost::shared_ptr<QuantLib::RiskStatistics>( new QuantLib::RiskStatistics()); 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()); } } } |
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From: Cristina D. <cdu...@us...> - 2006-08-09 10:15:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10488/gensrc/metadata Added Files: riskstatistics.xml Removed Files: generalstatistics.xml incrementalstatistics.xml Log Message: - added riskstatistics - removed generalstatistics and incrementalstatistics --- generalstatistics.xml DELETED --- --- incrementalstatistics.xml DELETED --- --- NEW FILE: riskstatistics.xml --- <Category name='riskstatistics'> <description>QuantLib statistics tool</description> <displayName>RiskStatistics</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <includes> <include>qlo/riskstatistics.hpp</include> <include>qlo/vo_riskstatistics.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Cristina Duminuco </copyright> <Functions> <!-- GeneralStatistics methods --> <Member name='qlGeneralStatisticsSamples' libraryClass='RiskStatistics' 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='qlGeneralStatisticsWeightSum' libraryClass='RiskStatistics' 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='qlGeneralStatisticsMean' libraryClass='RiskStatistics' 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='qlGeneralStatisticsVariance' libraryClass='RiskStatistics' 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='qlGeneralStatisticsStandardDeviation' libraryClass='RiskStatistics' 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='qlGeneralStatisticsErrorEstimate' libraryClass='RiskStatistics' 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='qlGeneralStatisticsSkewness' libraryClass='RiskStatistics' 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='qlGeneralStatisticsKurtosis' libraryClass='RiskStatistics' 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='qlGeneralStatisticsMin' libraryClass='RiskStatistics' 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='qlGeneralStatisticsMax' libraryClass='RiskStatistics' 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='qlGeneralStatisticsPercentile' libraryClass='RiskStatistics' 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='qlGeneralStatisticsTopPercentile' libraryClass='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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='RiskStatistics' 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' libraryClass='RiskStatistics'> <description> Default risk measures tool </description> <libraryFunction>RiskStatistics</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> |
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From: Cristina D. <cdu...@us...> - 2006-08-09 10:14:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9777/gensrc/config Modified Files: config.xml Log Message: Added riskstatistics tools. Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** config.xml 29 Jul 2006 15:32:31 -0000 1.18 --- config.xml 9 Aug 2006 10:14:07 -0000 1.19 *************** *** 19,25 **** <categoryName>exercise</categoryName> <categoryName>forwardrateagreement</categoryName> - <!--categoryName>generalstatistics</categoryName--> <categoryName>index</categoryName> - <!--categoryName>incrementalstatistics</categoryName--> <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> --- 19,23 ---- *************** *** 34,37 **** --- 32,36 ---- <categoryName>randomsequencegenerator</categoryName> <categoryName>ratehelpers</categoryName> + <categoryName>riskstatistics</categoryName> <categoryName>schedule</categoryName> <categoryName>shortratemodels</categoryName> |
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From: Eric E. <eri...@us...> - 2006-08-08 20:08:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv554 Modified Files: Tag: R000313f0-branch QuantLibAddin.nsi Log Message: preparing for release Index: QuantLibAddin.nsi =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.nsi,v retrieving revision 1.4 retrieving revision 1.4.2.1 diff -C2 -d -r1.4 -r1.4.2.1 *** QuantLibAddin.nsi 31 Jul 2006 08:48:37 -0000 1.4 --- QuantLibAddin.nsi 8 Aug 2006 20:08:23 -0000 1.4.2.1 *************** *** 57,66 **** SetOutPath $INSTDIR\Addins\Calc ! File "Addins\Calc\Makefile.vc.debug.crtdll" File "Addins\Calc\QuantLibAddinCalc.def" File "Addins\Calc\QuantLibAddinCalc.idl" SetOutPath $INSTDIR\Clients\Calc ! File /r "Clients\Calc\*.sxc" SetOutPath $INSTDIR\Clients\Guile --- 57,66 ---- SetOutPath $INSTDIR\Addins\Calc ! File "Addins\Calc\Makefile.vc" File "Addins\Calc\QuantLibAddinCalc.def" File "Addins\Calc\QuantLibAddinCalc.idl" SetOutPath $INSTDIR\Clients\Calc ! File /r "Clients\Calc\*.ods" SetOutPath $INSTDIR\Clients\Guile |
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From: Eric E. <eri...@us...> - 2006-08-08 19:17:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10690/gensrc/config Modified Files: Tag: R000313f0-branch config.xml Log Message: preparing for release Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.18 retrieving revision 1.18.2.1 diff -C2 -d -r1.18 -r1.18.2.1 *** config.xml 29 Jul 2006 15:32:31 -0000 1.18 --- config.xml 8 Aug 2006 19:16:57 -0000 1.18.2.1 *************** *** 1,6 **** <Config> ! <qlaRootDirectory>../../QuantLibAddin/qlo/</qlaRootDirectory> ! <voRootDirectory>../../QuantLibAddin/qlo/</voRootDirectory> <excelRootDirectory>../../QuantLibXL/qlxl/</excelRootDirectory> --- 1,6 ---- <Config> ! <qlaRootDirectory>../qlo/</qlaRootDirectory> ! <voRootDirectory>../qlo/</voRootDirectory> <excelRootDirectory>../../QuantLibXL/qlxl/</excelRootDirectory> |
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From: Chiara F. <chi...@us...> - 2006-08-08 18:28:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22379/gensrc/metadata Modified Files: shortratemodels.xml Log Message: exported qlFuturesConvexityBias: Futures convexity bias calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997. Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** shortratemodels.xml 29 Jul 2006 15:32:32 -0000 1.9 --- shortratemodels.xml 8 Aug 2006 18:28:13 -0000 1.10 *************** *** 1,69 **** <Category name='shortratemodels'> ! <description>functions to construct QuantLib short-rate model objects</description> ! <displayName>Short Rate Models</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Aurelien Chanudet ! </copyright> ! <Functions> ! <Constructor name='qlHullWhite'> ! <libraryFunction>HullWhite</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='termStructure' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure</description> ! </Parameter> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>a</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlVasicek'> ! <libraryFunction>Vasicek</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>mean reverting speed</description> ! </Parameter> ! <Parameter name='b'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>short-rate limit value</description> ! </Parameter> ! <Parameter name='lambda'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk premium</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 1,112 ---- <Category name='shortratemodels'> ! <description>functions to construct QuantLib short-rate model objects</description> ! <displayName>Short Rate Models</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2006 Chiara Fornarola ! </copyright> ! <Functions> ! <Constructor name='qlHullWhite'> ! <libraryFunction>HullWhite</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='termStructure' libToHandle='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure</description> ! </Parameter> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>a</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlVasicek'> ! <libraryFunction>Vasicek</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>mean reverting speed</description> ! </Parameter> ! <Parameter name='b'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>short-rate limit value</description> ! </Parameter> ! <Parameter name='lambda'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk premium</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Procedure name='qlFuturesConvexityBias'> ! <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description> ! <alias>QuantLib::convexityBias</alias> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='futuresPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Futures price (e.g. 94.56)</description> ! </Parameter> ! <Parameter name='t'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Maturity date of the futures contract in years(e.g. 5.0)</description> ! </Parameter> ! <Parameter name='T'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Maturity of the underlying Libor deposit in years (e.g. 5.25)</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Hull-White volatility (e.g. 0.015)</description> ! </Parameter> ! <Parameter name='a' default='0.03'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Hull-White mean reversion (e.g. 0.03)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! ! </Functions> </Category> |
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From: Eric E. <eri...@us...> - 2006-08-08 14:07:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6700/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 1.1.2.1 retrieving revision 1.1.2.2 diff -C2 -d -r1.1.2.1 -r1.1.2.2 *** Makefile.am 6 Aug 2006 19:27:20 -0000 1.1.2.1 --- Makefile.am 8 Aug 2006 14:07:19 -0000 1.1.2.2 *************** *** 79,82 **** cp -p $(srcdir)/metadata/*.xml $(distdir)/metadata cp -p $(srcdir)/scripts/*.py $(distdir)/scripts ! cp -p $(srcdir)/stubs/stub.* $(distdir)/stubstouch .time-stamp --- 79,83 ---- cp -p $(srcdir)/metadata/*.xml $(distdir)/metadata cp -p $(srcdir)/scripts/*.py $(distdir)/scripts ! cp -p $(srcdir)/stubs/stub.* $(distdir)/stubs ! touch .time-stamp |
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From: Eric E. <eri...@us...> - 2006-08-08 14:07:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6700/Docs Modified Files: Tag: R000313f0-branch Makefile.am Log Message: preparing for release Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/Makefile.am,v retrieving revision 1.2 retrieving revision 1.2.2.1 diff -C2 -d -r1.2 -r1.2.2.1 *** Makefile.am 29 Jul 2006 15:41:52 -0000 1.2 --- Makefile.am 8 Aug 2006 14:07:19 -0000 1.2.2.1 *************** *** 13,17 **** qla_header.subdir.html \ qla_headeronline.subdir.html \ - QuantLibAddin-docs.hhp \ style.css --- 13,16 ---- |
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From: Eric E. <eri...@us...> - 2006-08-08 13:21:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19397 Modified Files: Tag: R000313f0-branch QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: simpler processing of log4cxx header & version number check Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.31.2.2 retrieving revision 1.31.2.3 diff -C2 -d -r1.31.2.2 -r1.31.2.3 *** QuantLibObjects_vc8.vcproj 7 Aug 2006 19:06:23 -0000 1.31.2.2 --- QuantLibObjects_vc8.vcproj 8 Aug 2006 13:21:13 -0000 1.31.2.3 *************** *** 43,47 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" --- 43,47 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" *************** *** 120,124 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" --- 120,124 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" *************** *** 196,200 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" --- 196,200 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" *************** *** 273,277 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" --- 273,277 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.24.2.2 retrieving revision 1.24.2.3 diff -C2 -d -r1.24.2.2 -r1.24.2.3 *** QuantLibObjects.vcproj 7 Aug 2006 19:06:23 -0000 1.24.2.2 --- QuantLibObjects.vcproj 8 Aug 2006 13:21:13 -0000 1.24.2.3 *************** *** 24,28 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" --- 24,28 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" *************** *** 77,81 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" --- 77,81 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" *************** *** 129,133 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" --- 129,133 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" *************** *** 182,186 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" --- 182,186 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" *************** *** 234,238 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" --- 234,238 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" *************** *** 286,290 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" --- 286,290 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" |
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From: Eric E. <eri...@us...> - 2006-08-08 07:39:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5555/Docs Modified Files: Tag: R000313f0-branch .cvsignore qladdin.auto.doxy qladdin.qlo.doxy qladdin.root.doxy Log Message: fix glitches in documentation Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/.cvsignore,v retrieving revision 1.3 retrieving revision 1.3.2.1 diff -C2 -d -r1.3 -r1.3.2.1 *** .cvsignore 28 Jun 2006 13:27:10 -0000 1.3 --- .cvsignore 8 Aug 2006 07:39:41 -0000 1.3.2.1 *************** *** 1,12 **** ! doxywarnings*txt html html-online Makefile Makefile.in - .qladdin.doxy QuantLibAddin-docs-*.* ! .srcgen.doxy ! .time-stamp* ! build ! *.user ! auto.pages \ No newline at end of file --- 1,12 ---- ! *.chm ! *.user ! .time-stamp* ! auto.pages ! build ! doxywarnings.txt html html-online Makefile Makefile.in QuantLibAddin-docs-*.* ! Index: qladdin.auto.doxy =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qladdin.auto.doxy,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** qladdin.auto.doxy 29 Jul 2006 15:41:52 -0000 1.1 --- qladdin.auto.doxy 8 Aug 2006 07:39:41 -0000 1.1.2.1 *************** *** 124,130 **** HTML_STYLESHEET = style.css HTML_ALIGN_MEMBERS = YES ! GENERATE_HTMLHELP = YES ! CHM_FILE = quantlibaddin.chm ! HHC_LOCATION = hhc.exe GENERATE_CHI = NO BINARY_TOC = NO --- 124,130 ---- HTML_STYLESHEET = style.css HTML_ALIGN_MEMBERS = YES ! GENERATE_HTMLHELP = NO ! CHM_FILE = ! HHC_LOCATION = GENERATE_CHI = NO BINARY_TOC = NO Index: qladdin.qlo.doxy =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qladdin.qlo.doxy,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** qladdin.qlo.doxy 29 Jul 2006 15:41:52 -0000 1.1 --- qladdin.qlo.doxy 8 Aug 2006 07:39:41 -0000 1.1.2.1 *************** *** 124,130 **** HTML_STYLESHEET = style.css HTML_ALIGN_MEMBERS = YES ! GENERATE_HTMLHELP = YES ! CHM_FILE = quantlibaddin.chm ! HHC_LOCATION = hhc.exe GENERATE_CHI = NO BINARY_TOC = NO --- 124,130 ---- HTML_STYLESHEET = style.css HTML_ALIGN_MEMBERS = YES ! GENERATE_HTMLHELP = NO ! CHM_FILE = ! HHC_LOCATION = GENERATE_CHI = NO BINARY_TOC = NO Index: qladdin.root.doxy =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qladdin.root.doxy,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** qladdin.root.doxy 29 Jul 2006 15:41:52 -0000 1.1 --- qladdin.root.doxy 8 Aug 2006 07:39:41 -0000 1.1.2.1 *************** *** 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.chm HHC_LOCATION = hhc.exe GENERATE_CHI = NO |
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From: Eric E. <eri...@us...> - 2006-08-08 07:39:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5555/Docs/pages Modified Files: Tag: R000313f0-branch evaluationdate.docs Log Message: fix glitches in documentation Index: evaluationdate.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/evaluationdate.docs,v retrieving revision 1.2 retrieving revision 1.2.2.1 diff -C2 -d -r1.2 -r1.2.2.1 *** evaluationdate.docs 22 Jun 2006 10:56:35 -0000 1.2 --- evaluationdate.docs 8 Aug 2006 07:39:42 -0000 1.2.2.1 *************** *** 30,35 **** Alternatively QuantLib offers support for Sessions which allow the client application to implement multiple instances of the evaluation date. When this functionality is enabled, %QuantLibAddin defines a session as an Excel workbook, so that a group of related objects which require a common instance of the evaluation date can be isolated in a single workbook. ! Function \ref qlEvaluationDate can be called to query the value of the Evaluation Date in a given context. ! \section eval_quantlib QuantLib --- 30,34 ---- Alternatively QuantLib offers support for Sessions which allow the client application to implement multiple instances of the evaluation date. When this functionality is enabled, %QuantLibAddin defines a session as an Excel workbook, so that a group of related objects which require a common instance of the evaluation date can be isolated in a single workbook. ! Function <a href="auto/date.html#qlEvaluationDate">qlEvaluationDate</a> can be called to query the value of the Evaluation Date in a given context. \section eval_quantlib QuantLib |
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From: Eric E. <eri...@us...> - 2006-08-08 07:16:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28468/Docs Removed Files: Tag: R000313f0-branch QuantLibAddin-docs.hhp Log Message: remove redundant file --- QuantLibAddin-docs.hhp DELETED --- |
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From: Eric E. <eri...@us...> - 2006-08-08 07:05:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23717 Modified Files: Tag: R000313f0-branch installation.docs Log Message: link old installation instructions to build tutorial Index: installation.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/installation.docs,v retrieving revision 1.2 retrieving revision 1.2.2.1 diff -C2 -d -r1.2 -r1.2.2.1 *** installation.docs 22 Jun 2006 10:56:35 -0000 1.2 --- installation.docs 8 Aug 2006 07:05:21 -0000 1.2.2.1 *************** *** 28,33 **** This document provides general instructions for building and installing %QuantLibAddin 0.3.13 under Windows, and on platforms which use Autoconf ! e.g. Linux. For additional notes regarding the installation of the Calc ! addin please refer to the document \ref calc. %QuantLibAddin is available for download from the --- 28,35 ---- This document provides general instructions for building and installing %QuantLibAddin 0.3.13 under Windows, and on platforms which use Autoconf ! e.g. Linux. For a walk through of all steps required to compile the Excel ! addin and dependent projects, please refer instead to the \ref build_tutorial. ! For additional notes regarding the installation of the Calc addin please refer ! to the document \ref calc. %QuantLibAddin is available for download from the |
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From: Eric E. <eri...@us...> - 2006-08-07 19:06:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32618 Modified Files: Tag: R000313f0-branch QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: force check of version numbers Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.31.2.1 retrieving revision 1.31.2.2 diff -C2 -d -r1.31.2.1 -r1.31.2.2 *** QuantLibObjects_vc8.vcproj 1 Aug 2006 11:54:04 -0000 1.31.2.1 --- QuantLibObjects_vc8.vcproj 7 Aug 2006 19:06:23 -0000 1.31.2.2 *************** *** 43,47 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" --- 43,47 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" *************** *** 120,124 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" --- 120,124 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" *************** *** 196,200 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" --- 196,200 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" *************** *** 273,277 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" --- 273,277 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories="./,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.24.2.1 retrieving revision 1.24.2.2 diff -C2 -d -r1.24.2.1 -r1.24.2.2 *** QuantLibObjects.vcproj 2 Aug 2006 12:56:01 -0000 1.24.2.1 --- QuantLibObjects.vcproj 7 Aug 2006 19:06:23 -0000 1.24.2.2 *************** *** 24,28 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" --- 24,28 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" *************** *** 77,81 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" --- 77,81 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" *************** *** 129,133 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" --- 129,133 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" *************** *** 182,186 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" --- 182,186 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" *************** *** 234,238 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" --- 234,238 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" *************** *** 286,290 **** Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" --- 286,290 ---- Name="VCCLCompilerTool" Optimization="0" ! AdditionalIncludeDirectories=".,$(LOG4CXX_DIR)\include,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;_DEBUG;_LIB" BasicRuntimeChecks="3" |
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From: Ferdinando A. <na...@us...> - 2006-08-07 15:55:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17064/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** swaptionvolstructure.xml 7 Aug 2006 15:46:23 -0000 1.28 --- swaptionvolstructure.xml 7 Aug 2006 15:55:09 -0000 1.29 *************** *** 372,376 **** <ParameterList> <Parameters> ! <Parameter name='atmVolStructure' libraryClass='SwaptionVolatilityStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 372,376 ---- <ParameterList> <Parameters> ! <Parameter name='atmVolStructure' libToHandle='SwaptionVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 403,405 **** </Functions> </Category> - --- 403,404 ---- |
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From: Ferdinando A. <na...@us...> - 2006-08-07 15:46:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13369 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** todonando.txt 3 Aug 2006 11:47:34 -0000 1.28 --- todonando.txt 7 Aug 2006 15:46:24 -0000 1.29 *************** *** 81,84 **** --- 81,85 ---- QUANTLIBADDIN + - return std::pair (see locate for swaptionvolmatrix) - export FlatForward - export ImpliedCurve |
