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From: Eric E. <eri...@us...> - 2007-01-02 02:19:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12960/gensrc/metadata Modified Files: marketmodels.xml Log Message: - enhance gensrc to support retrieval of non-const reference to underlying QL object - enable function qlAccountingEngineMultiplePathValues() Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.61 retrieving revision 1.62 diff -C2 -d -r1.61 -r1.62 *** marketmodels.xml 27 Nov 2006 16:10:26 -0000 1.61 --- marketmodels.xml 2 Jan 2007 02:19:29 -0000 1.62 *************** *** 10,13 **** --- 10,14 ---- <include>qlo/optimization.hpp</include> <include>qlo/marketmodels.hpp</include> + <include>qlo/sequencestatistics.hpp</include> </includes> <copyright> *************** *** 1665,1668 **** --- 1666,1696 ---- </Constructor> + <Member name='qlAccountingEngineMultiplePathValues' libraryClass='AccountingEngine'> + <description>return multiple path values</description> + <libraryFunction>multiplePathValues</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='sequenceStatistics' underlyingClassNonconst='SequenceStatistics'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Sequence Statistics object ID</description> + </Parameter> + <Parameter name='paths'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>number of paths</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + </Functions> </Category> |
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From: Francois du V. <fd...@us...> - 2006-12-22 15:29:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32021 Modified Files: smilesection.xml Log Message: alpha, beta, nu, rho, interpolationError, MaxInterpolationError, endCriteria SabrInterpolatedSmileSection methods created and exposed to Excel Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** smilesection.xml 22 Dec 2006 11:30:58 -0000 1.14 --- smilesection.xml 22 Dec 2006 15:29:02 -0000 1.15 *************** *** 210,213 **** --- 210,318 ---- </Constructor> + <Member name='qlSabrInterpolatedSmileSectionAlpha' libraryClass='SabrInterpolatedSmileSection'> + <description>Returns the alpha of the SABR fit for the given SabrInterpolatedSmileSection object</description> + <libraryFunction>alpha</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSabrInterpolatedSmileSectionBeta' libraryClass='SabrInterpolatedSmileSection'> + <description>Returns the beta of the SABR fit</description> + <libraryFunction>beta</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSabrInterpolatedSmileSectionNu' libraryClass='SabrInterpolatedSmileSection'> + <description>Returns the nu of the SABR fit for the given SabrInterpolatedSmileSection object</description> + <libraryFunction>nu</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSabrInterpolatedSmileSectionRho' libraryClass='SabrInterpolatedSmileSection'> + <description>Returns the rho of the SABR fit for the given SabrInterpolatedSmileSection object</description> + <libraryFunction>rho</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSabrInterpolatedSmileSectionError' libraryClass='SabrInterpolatedSmileSection'> + <description>Returns the error of the SABR fit for the given SabrInterpolatedSmileSection object</description> + <libraryFunction>interpolationError</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSabrInterpolatedSmileSectionMaxError' libraryClass='SabrInterpolatedSmileSection'> + <description>Returns the max error of the SABR fit for the given SabrInterpolatedSmileSection object</description> + <libraryFunction>interpolationMaxError</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSabrInterpolatedSmileSectionEndCriteria' libraryClass='SabrInterpolatedSmileSection'> + <description>Returns the optimization end criteria of the SABR fit for the given SabrInterpolatedSmileSection object</description> + <libraryFunction>endCriteria</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::EndCriteria::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlSabrSmileSection'> <libraryFunction>SabrSmileSection</libraryFunction> |
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From: Francois du V. <fd...@us...> - 2006-12-22 11:31:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3279 Modified Files: smilesection.cpp smilesection.hpp Log Message: method argument of SabrInterpolatedSmileSection class is back ! Index: smilesection.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** smilesection.cpp 21 Dec 2006 16:47:17 -0000 1.10 --- smilesection.cpp 22 Dec 2006 11:31:11 -0000 1.11 *************** *** 92,95 **** --- 92,96 ---- bool isRhoFixed, bool vegaWeighted, + const boost::shared_ptr<QuantLib::OptimizationMethod> method, const QuantLib::DayCounter& dc) { *************** *** 109,112 **** --- 110,114 ---- isRhoFixed, vegaWeighted, + method, dc)); } Index: smilesection.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** smilesection.hpp 21 Dec 2006 16:47:17 -0000 1.10 --- smilesection.hpp 22 Dec 2006 11:31:11 -0000 1.11 *************** *** 83,86 **** --- 83,87 ---- bool isRhoFixed, bool vegaWeighted, + const boost::shared_ptr<QuantLib::OptimizationMethod> method, const QuantLib::DayCounter& dc); }; |
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From: Francois du V. <fd...@us...> - 2006-12-22 11:31:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2911 Modified Files: smilesection.xml Log Message: method argument of SabrInterpolatedSmileSection class is back ! Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** smilesection.xml 21 Dec 2006 16:47:17 -0000 1.13 --- smilesection.xml 22 Dec 2006 11:30:58 -0000 1.14 *************** *** 1,323 **** <Category name='smilesection'> ! <description>functions to construct and use SmileSection objects</description> ! <displayName>Smile Section Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>ql/Volatilities/interpolatedsmilesection.hpp</include> ! <include>qlo/smilesection.hpp</include> ! <include>qlo/optimization.hpp</include> ! <include>ql/quote.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! <!-- SmileSection interface --> ! <Member name='qlSmileSectionVolatility' libraryClass='SmileSection'> ! <description>Returns the volatility at a given strike from the SmileSection object</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionVariance' libraryClass='SmileSection'> ! <description>Returns the variance at a given strike from the SmileSection object</description> ! <libraryFunction>variance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionExerciseDate' libraryClass='SmileSection'> ! <description>Returns the exercise date of the SmileSection object</description> ! <libraryFunction>exerciseDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionDayCounter' libraryClass='SmileSection'> ! <description>Returns the DayCounter of the SmileSection object</description> ! <libraryFunction>dayCounter</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlFlatSmileSection'> ! <libraryFunction>FlatSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='refDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>ref date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlSabrInterpolatedSmileSection'> ! <libraryFunction>SabrInterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as Date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='stdDevs' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> ! </Parameter> ! <Parameter name='forward' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlSabrSmileSection'> ! <libraryFunction>SabrSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionTime' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as time</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='stdDevs' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> ! </Parameter> ! <Parameter name='forward' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='method' libraryClass='OptimizationMethod'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Optimization Method</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlInterpolatedSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='stdDevs' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 1,328 ---- <Category name='smilesection'> ! <description>functions to construct and use SmileSection objects</description> ! <displayName>Smile Section Structures</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <includes> ! <include>ql/Volatilities/interpolatedsmilesection.hpp</include> ! <include>qlo/smilesection.hpp</include> ! <include>qlo/optimization.hpp</include> ! <include>ql/quote.hpp</include> ! </includes> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Francois du Vignaud ! </copyright> ! <Functions> ! <!-- SmileSection interface --> ! <Member name='qlSmileSectionVolatility' libraryClass='SmileSection'> ! <description>Returns the volatility at a given strike from the SmileSection object</description> ! <libraryFunction>volatility</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionVariance' libraryClass='SmileSection'> ! <description>Returns the variance at a given strike from the SmileSection object</description> ! <libraryFunction>variance</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>strike</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionExerciseDate' libraryClass='SmileSection'> ! <description>Returns the exercise date of the SmileSection object</description> ! <libraryFunction>exerciseDate</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSmileSectionDayCounter' libraryClass='SmileSection'> ! <description>Returns the DayCounter of the SmileSection object</description> ! <libraryFunction>dayCounter</libraryFunction> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <!-- SmileSection constructors --> ! <Constructor name='qlFlatSmileSection'> ! <libraryFunction>FlatSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! <Parameter name='refDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>ref date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlSabrInterpolatedSmileSection'> ! <libraryFunction>SabrInterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as Date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='stdDevs' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> ! </Parameter> ! <Parameter name='forward' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='method' libraryClass='OptimizationMethod' default='""'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Optimization Method</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlSabrSmileSection'> ! <libraryFunction>SabrSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionTime' libraryType='QuantLib::Time'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as time</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='stdDevs' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> ! </Parameter> ! <Parameter name='forward' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>atm rate</description> ! </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha (fixed value or guess)</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> ! </Parameter> ! <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu (fixed value or guess)</description> ! </Parameter> ! <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <Parameter name='alphaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='betaIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='nuIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='rhoIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> ! </Parameter> ! <Parameter name='vegaWeighted' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> ! </Parameter> ! <Parameter name='method' libraryClass='OptimizationMethod'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Optimization Method</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlInterpolatedSmileSection'> ! <libraryFunction>InterpolatedSmileSection</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <SupportedPlatforms> ! <Excel/> ! </SupportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>smile's expiry as date</description> ! </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> ! <Parameter name='stdDevs' libToHandle='Quote'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-12-21 16:47:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9439/qlo Modified Files: smilesection.cpp smilesection.hpp Log Message: sabrInterpolated SmileSection are created with date instead of time Index: smilesection.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** smilesection.cpp 20 Dec 2006 19:18:05 -0000 1.9 --- smilesection.cpp 21 Dec 2006 16:47:17 -0000 1.10 *************** *** 79,83 **** SabrInterpolatedSmileSection::SabrInterpolatedSmileSection( ! const QuantLib::Time timeToExpiry, const std::vector<QuantLib::Rate>& strikes, const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevHandles, --- 79,83 ---- SabrInterpolatedSmileSection::SabrInterpolatedSmileSection( ! const QuantLib::Date& optionDate, const std::vector<QuantLib::Rate>& strikes, const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevHandles, *************** *** 96,100 **** libraryObject_ = boost::shared_ptr<QuantLib::SabrInterpolatedSmileSection>( ! new QuantLib::SabrInterpolatedSmileSection(timeToExpiry, strikes, stdDevHandles, --- 96,100 ---- libraryObject_ = boost::shared_ptr<QuantLib::SabrInterpolatedSmileSection>( ! new QuantLib::SabrInterpolatedSmileSection(optionDate, strikes, stdDevHandles, Index: smilesection.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** smilesection.hpp 20 Dec 2006 19:18:05 -0000 1.9 --- smilesection.hpp 21 Dec 2006 16:47:17 -0000 1.10 *************** *** 70,74 **** public: SabrInterpolatedSmileSection( ! const QuantLib::Time expiry, const std::vector<QuantLib::Rate>& strikes, const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs, --- 70,74 ---- public: SabrInterpolatedSmileSection( ! const QuantLib::Date& optionDate, const std::vector<QuantLib::Rate>& strikes, const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs, |
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From: Ferdinando A. <na...@us...> - 2006-12-21 16:47:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9439/gensrc/metadata Modified Files: smilesection.xml Log Message: sabrInterpolated SmileSection are created with date instead of time Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** smilesection.xml 20 Dec 2006 19:17:54 -0000 1.12 --- smilesection.xml 21 Dec 2006 16:47:17 -0000 1.13 *************** *** 131,138 **** <ParameterList> <Parameters> ! <Parameter name='optionTime' libraryType='QuantLib::Time'> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>smile's expiry as time</description> </Parameter> <Parameter name='strikes' libraryType='QuantLib::Rate'> --- 131,138 ---- <ParameterList> <Parameters> ! <Parameter name='optionDate' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>smile's expiry as Date</description> </Parameter> <Parameter name='strikes' libraryType='QuantLib::Rate'> |
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From: Cristina D. <cdu...@us...> - 2006-12-21 09:16:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23977/qlo Modified Files: couponvectors.cpp couponvectors.hpp Log Message: added CappedFlooredFloatingRateCouponVector Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** couponvectors.hpp 11 Dec 2006 09:40:04 -0000 1.33 --- couponvectors.hpp 21 Dec 2006 09:16:27 -0000 1.34 *************** *** 3,6 **** --- 3,7 ---- Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Giorgio Facchinetti + Copyright (C) 2006 Cristina Duminuco Copyright (C) 2005 Aurelien Chanudet *************** *** 28,31 **** --- 29,33 ---- #include <ql/CashFlows/conundrumpricer.hpp> + #include <ql/Volatilities/all.hpp> namespace QuantLibAddin { *************** *** 73,76 **** --- 75,91 ---- }; + class CappedFlooredFloatingRateCouponVector : public CashFlowStream { + public: + CappedFlooredFloatingRateCouponVector( + const boost::shared_ptr<QuantLib::Schedule>& schedule, + const std::vector<QuantLib::Real>& nominals, + const std::vector<QuantLib::Real>& gearings, + const boost::shared_ptr<QuantLib::IborIndex>& index, + const std::vector<QuantLib::Real>& spreads, + const std::vector<QuantLib::Real>& caps, + const std::vector<QuantLib::Real>& floors, + const QuantLib::Handle<QuantLib::CapletVolatilityStructure>& volatility); + }; + class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> { public: Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.44 retrieving revision 1.45 diff -C2 -d -r1.44 -r1.45 *** couponvectors.cpp 11 Dec 2006 09:40:04 -0000 1.44 --- couponvectors.cpp 21 Dec 2006 09:16:27 -0000 1.45 *************** *** 97,100 **** --- 97,121 ---- } + CappedFlooredFloatingRateCouponVector::CappedFlooredFloatingRateCouponVector( + const boost::shared_ptr<QuantLib::Schedule>& schedule, + const std::vector<QuantLib::Real>& nominals, + const std::vector<QuantLib::Real>& gearings, + const boost::shared_ptr<QuantLib::IborIndex>& index, + const std::vector<QuantLib::Real>& spreads, + const std::vector<QuantLib::Real>& caps, + const std::vector<QuantLib::Real>& floors, + const QuantLib::Handle<QuantLib::CapletVolatilityStructure>& volatility) { + cashFlowVector_ = QuantLib::CappedFlooredFloatingRateCouponVector(*schedule, + index->businessDayConvention(), + nominals, + index->settlementDays(), + index, + gearings, spreads, + caps, floors, + index->dayCounter(), + volatility); + + } + VanillaCMSCouponPricer::VanillaCMSCouponPricer( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& v, |
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From: Cristina D. <cdu...@us...> - 2006-12-21 09:16:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23977/gensrc/metadata Modified Files: couponvectors.xml Log Message: added CappedFlooredFloatingRateCouponVector Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.47 retrieving revision 1.48 diff -C2 -d -r1.47 -r1.48 *** couponvectors.xml 11 Dec 2006 09:40:03 -0000 1.47 --- couponvectors.xml 21 Dec 2006 09:16:27 -0000 1.48 *************** *** 7,13 **** --- 7,15 ---- <include>qlo/termstructures.hpp</include> <include>qlo/swaptionvolstructure.hpp</include> + <include>qlo/capletvolstructure.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2006 Cristina Duminuco Copyright (C) 2005 Aurelien Chanudet </copyright> *************** *** 87,90 **** --- 89,143 ---- </Constructor> + <Constructor name='qlCappedFlooredFloatingRateCouponVector'> + <libraryFunction>CappedFlooredFloatingRateCouponVector</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='schedule' libraryClass='Schedule'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>schedule object ID</description> + </Parameter> + <Parameter name='nominals'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>coupon nominals</description> + </Parameter> + <Parameter name='gearings'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> + </Parameter> + <Parameter name='index' libraryClass='IborIndex'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>underlying index object ID</description> + </Parameter> + <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floating rate spreads</description> + </Parameter> + <Parameter name='caps' libraryType='QuantLib::Rate'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>caps</description> + </Parameter> + <Parameter name='floors' libraryType='QuantLib::Rate'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floors</description> + </Parameter> + <Parameter name='vol' libToHandle='CapletVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>CapletVolatilityStructure object ID</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Constructor name='qlCMSCouponVector'> <libraryFunction>CMSCouponVector</libraryFunction> *************** *** 127,131 **** <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> --- 180,184 ---- <type>double</type> <tensorRank>vector</tensorRank> ! <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> </Parameter> <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> *************** *** 193,197 **** <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> --- 246,250 ---- <type>double</type> <tensorRank>vector</tensorRank> ! <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> </Parameter> <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> *************** *** 259,263 **** <type>double</type> <tensorRank>vector</tensorRank> ! <description>gearings</description> </Parameter> <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> --- 312,316 ---- <type>double</type> <tensorRank>vector</tensorRank> ! <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> </Parameter> <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> |
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From: Francois du V. <fd...@us...> - 2006-12-20 19:18:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4683 Modified Files: smilesection.cpp smilesection.hpp Log Message: method is no longer an argument of SabrInterpolatedSmileSection class, Simplex method is always used now Index: smilesection.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** smilesection.cpp 20 Dec 2006 14:40:11 -0000 1.8 --- smilesection.cpp 20 Dec 2006 19:18:05 -0000 1.9 *************** *** 92,96 **** bool isRhoFixed, bool vegaWeighted, - const boost::shared_ptr<QuantLib::OptimizationMethod> method, const QuantLib::DayCounter& dc) { --- 92,95 ---- *************** *** 110,114 **** isRhoFixed, vegaWeighted, - method, dc)); } --- 109,112 ---- Index: smilesection.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** smilesection.hpp 20 Dec 2006 14:40:11 -0000 1.8 --- smilesection.hpp 20 Dec 2006 19:18:05 -0000 1.9 *************** *** 83,87 **** bool isRhoFixed, bool vegaWeighted, - const boost::shared_ptr<QuantLib::OptimizationMethod> method, const QuantLib::DayCounter& dc); }; --- 83,86 ---- |
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From: Francois du V. <fd...@us...> - 2006-12-20 19:18:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4602 Modified Files: smilesection.xml Log Message: method is no longer an argument of SabrInterpolatedSmileSection class, Simplex method is always used now Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** smilesection.xml 20 Dec 2006 14:39:59 -0000 1.11 --- smilesection.xml 20 Dec 2006 19:17:54 -0000 1.12 *************** *** 196,204 **** <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> </Parameter> - <Parameter name='method' libraryClass='OptimizationMethod'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Optimization Method</description> - </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> --- 196,199 ---- |
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From: Francois du V. <fd...@us...> - 2006-12-20 14:40:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11427 Modified Files: smilesection.cpp smilesection.hpp Log Message: SabrInterpolatedSmileSection exposed to Excel Index: smilesection.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** smilesection.cpp 11 Dec 2006 17:57:51 -0000 1.7 --- smilesection.cpp 20 Dec 2006 14:40:11 -0000 1.8 *************** *** 22,25 **** --- 22,26 ---- #include <ql/Math/sabrinterpolation.hpp> #include <ql/Volatilities/smilesection.hpp> + #include <ql/Volatilities/smilesection.hpp> *************** *** 77,79 **** --- 78,115 ---- } + SabrInterpolatedSmileSection::SabrInterpolatedSmileSection( + const QuantLib::Time timeToExpiry, + const std::vector<QuantLib::Rate>& strikes, + const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevHandles, + QuantLib::Handle<QuantLib::Quote> forward, + QuantLib::Real alpha, + QuantLib::Real beta, + QuantLib::Real nu, + QuantLib::Real rho, + bool isAlphaFixed, + bool isBetaFixed, + bool isNuFixed, + bool isRhoFixed, + bool vegaWeighted, + const boost::shared_ptr<QuantLib::OptimizationMethod> method, + const QuantLib::DayCounter& dc) + { + libraryObject_ = + boost::shared_ptr<QuantLib::SabrInterpolatedSmileSection>( + new QuantLib::SabrInterpolatedSmileSection(timeToExpiry, + strikes, + stdDevHandles, + forward, + alpha, + beta, + nu, + rho, + isAlphaFixed, + isBetaFixed, + isNuFixed, + isRhoFixed, + vegaWeighted, + method, + dc)); + } } Index: smilesection.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** smilesection.hpp 11 Dec 2006 17:57:51 -0000 1.7 --- smilesection.hpp 20 Dec 2006 14:40:11 -0000 1.8 *************** *** 22,27 **** #include <ql/volatilities/interpolatedsmilesection.hpp> #include <ql/Optimization/method.hpp> ! #include <ql/quote.hpp> ! //#include <ql/handle.hpp> namespace QuantLibAddin { --- 22,26 ---- #include <ql/volatilities/interpolatedsmilesection.hpp> #include <ql/Optimization/method.hpp> ! #include <ql/Volatilities/sabrinterpolatedsmilesection.hpp> namespace QuantLibAddin { *************** *** 67,70 **** --- 66,89 ---- }; + + class SabrInterpolatedSmileSection: public SmileSection { + public: + SabrInterpolatedSmileSection( + const QuantLib::Time expiry, + const std::vector<QuantLib::Rate>& strikes, + const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs, + QuantLib::Handle<QuantLib::Quote> forward, + QuantLib::Real alpha, + QuantLib::Real beta, + QuantLib::Real nu, + QuantLib::Real rho, + bool isAlphaFixed, + bool isBetaFixed, + bool isNuFixed, + bool isRhoFixed, + bool vegaWeighted, + const boost::shared_ptr<QuantLib::OptimizationMethod> method, + const QuantLib::DayCounter& dc); + }; } |
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From: Francois du V. <fd...@us...> - 2006-12-20 14:40:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11273 Modified Files: smilesection.xml Log Message: SabrInterpolatedSmileSection exposed to Excel Index: smilesection.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/smilesection.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** smilesection.xml 11 Dec 2006 21:52:24 -0000 1.10 --- smilesection.xml 20 Dec 2006 14:39:59 -0000 1.11 *************** *** 122,152 **** </Constructor> - <!--Constructor name='qlSabrSmileSection'> - <libraryFunction>SabrSmileSection</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='optionDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>smile's expiry as date</description> - </Parameter> - <Parameter name='volatilities' libraryType='QuantLib::Volatility'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>volatilities</description> - </Parameter> - <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual/360)</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor--> <Constructor name='qlSabrSmileSection'> <libraryFunction>SabrSmileSection</libraryFunction> --- 122,213 ---- </Constructor> + <Constructor name='qlSabrInterpolatedSmileSection'> + <libraryFunction>SabrInterpolatedSmileSection</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='optionTime' libraryType='QuantLib::Time'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>smile's expiry as time</description> + </Parameter> + <Parameter name='strikes' libraryType='QuantLib::Rate'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>strikes</description> + </Parameter> + <Parameter name='stdDevs' libToHandle='Quote'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>standard deviations (i.e. volatilities times square root of time to option expiry).</description> + </Parameter> + <Parameter name='forward' libToHandle='Quote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>atm rate</description> + </Parameter> + <Parameter name='alpha' default='QuantLib::Null<QuantLib::Real>()'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>alpha (fixed value or guess)</description> + </Parameter> + <Parameter name='beta' default='QuantLib::Null<QuantLib::Real>()'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>beta (fixed value or guess)</description> + </Parameter> + <Parameter name='nu' default='QuantLib::Null<QuantLib::Real>()'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>nu (fixed value or guess)</description> + </Parameter> + <Parameter name='rho' default='QuantLib::Null<QuantLib::Real>()'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>rho (fixed value or guess)</description> + </Parameter> + <Parameter name='alphaIsFixed' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess</description> + </Parameter> + <Parameter name='betaIsFixed' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess</description> + </Parameter> + <Parameter name='nuIsFixed' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess</description> + </Parameter> + <Parameter name='rhoIsFixed' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess</description> + </Parameter> + <Parameter name='vegaWeighted' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the interpolation is weighted using options Vega. FALSE by default.</description> + </Parameter> + <Parameter name='method' libraryClass='OptimizationMethod'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Optimization Method</description> + </Parameter> + <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter (e.g. Actual/360)</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Constructor name='qlSabrSmileSection'> <libraryFunction>SabrSmileSection</libraryFunction> |
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From: Francois du V. <fd...@us...> - 2006-12-20 14:38:39
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10789 Modified Files: interpolation.cpp interpolation.hpp Log Message: SABRInterpolationImpl Forward value is stored as a reference, as a result QuantLibAddin::SABRInterpolation has a new data member to store this value The forward value test is done during the calculate() method and not at construction time since this value might not be inititalized yet SABRInterpolation and SABRInterpolationImpl have a new boolean arguement indicating if the calculate method should be called at the end of the construction of SABRInterpolationImpl Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** interpolation.hpp 26 Oct 2006 17:57:44 -0000 1.22 --- interpolation.hpp 20 Dec 2006 14:38:35 -0000 1.23 *************** *** 75,78 **** --- 75,80 ---- bool vegaWeighted, const boost::shared_ptr<QuantLib::OptimizationMethod>& om); + private: + QuantLib::Real forward_; }; Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** interpolation.cpp 26 Oct 2006 17:57:44 -0000 1.20 --- interpolation.cpp 20 Dec 2006 14:38:35 -0000 1.21 *************** *** 76,83 **** bool vegaWeighted, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) ! : Interpolation(x,y) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SABRInterpolation(x_.begin(), x_.end(), y_.begin(), ! t, forward, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, isRhoFixed, vegaWeighted, --- 76,84 ---- bool vegaWeighted, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) ! : Interpolation(x,y), forward_(forward) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SABRInterpolation(x_.begin(), x_.end(), y_.begin(), ! t, forward_, alpha, beta, nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, isRhoFixed, vegaWeighted, |
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From: Marco B. <mar...@us...> - 2006-12-20 14:06:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27673 Modified Files: todonando.txt Log Message: updated task list Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.68 retrieving revision 1.69 diff -C2 -d -r1.68 -r1.69 *** todonando.txt 15 Dec 2006 19:31:07 -0000 1.68 --- todonando.txt 20 Dec 2006 14:06:22 -0000 1.69 *************** *** 78,84 **** D Mx YC action D wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates ! - add new flag: depo only to cover First Future stub period D drop-down menu on enumeration ! - improve interpolations Eric --- 78,84 ---- D Mx YC action D wkb for check yield curve repricing (depo, futures, swaps) and graph forward rates ! D add new flag: depo only to cover First Future stub period D drop-down menu on enumeration ! WIP improve interpolations Eric |
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From: Marco B. <mar...@us...> - 2006-12-20 09:33:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26032/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: Inverted meaning of include/exclude depo flag If there are NOT Futures, force Depo include flag at true. Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** ratehelpers.hpp 19 Dec 2006 14:35:21 -0000 1.9 --- ratehelpers.hpp 20 Dec 2006 09:33:16 -0000 1.10 *************** *** 79,83 **** const long nFutures, const long frontFuturesRollingDays, ! const bool depoIncludeFlag); } --- 79,83 ---- const long nFutures, const long frontFuturesRollingDays, ! bool depoIncludeFlag); } Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** ratehelpers.cpp 19 Dec 2006 14:35:21 -0000 1.14 --- ratehelpers.cpp 20 Dec 2006 09:33:16 -0000 1.15 *************** *** 143,147 **** const long nFutures, const long frontFuturesRollingDays, ! const bool depoIncludeFlag) { // Checks --- 143,147 ---- const long nFutures, const long frontFuturesRollingDays, ! bool depoIncludeFlag) { // Checks *************** *** 191,194 **** --- 191,195 ---- QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); std::vector<detail::RateHelperItem> rhs, rhsDepo; + long actualFrontFuturesRollingDays = 2+frontFuturesRollingDays; // Look for the front Futures QuantLib::Date frontFuturesEarliestDate; *************** *** 197,201 **** while (i<nInstruments) { if (rhsAll[i].isFutures && ! (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { thereAreFutures = true; frontFuturesEarliestDate = rhsAll[i].earliestDate; --- 198,202 ---- while (i<nInstruments) { if (rhsAll[i].isFutures && ! (rhsAll[i].earliestDate-actualFrontFuturesRollingDays >= evalDate)) { thereAreFutures = true; frontFuturesEarliestDate = rhsAll[i].earliestDate; *************** *** 204,207 **** --- 205,210 ---- i++; } + // If there are NOT Futures, force Depo include flag at true + if (!thereAreFutures) depoIncludeFlag = true; // Start selection bool depoAfterFrontFuturesAlreadyIncluded = false; *************** *** 209,216 **** if (rhsAll[i].includeFlag && rhsAll[i].earliestDate >= evalDate) { if (rhsAll[i].isDepo) { // Check Depo conditions ! if (depoIncludeFlag) rhs.push_back(rhsAll[i]); ! if (!depoIncludeFlag && thereAreFutures) { if (rhsAll[i].latestDate <= frontFuturesEarliestDate) { ! rhs.push_back(rhsAll[i]); } else { if (depoAfterFrontFuturesAlreadyIncluded == false) { --- 212,220 ---- if (rhsAll[i].includeFlag && rhsAll[i].earliestDate >= evalDate) { if (rhsAll[i].isDepo) { // Check Depo conditions ! if (!depoIncludeFlag) { ! rhs.push_back(rhsAll[i]); // Include all depos ! } else { if (rhsAll[i].latestDate <= frontFuturesEarliestDate) { ! rhs.push_back(rhsAll[i]); // Stop depos just after the front Futures } else { if (depoAfterFrontFuturesAlreadyIncluded == false) { *************** *** 222,226 **** } else if (rhsAll[i].isFutures) { // Check Futures conditions if (futuresCounter<nFutures && ! (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { futuresCounter++; rhs.push_back(rhsAll[i]); --- 226,230 ---- } else if (rhsAll[i].isFutures) { // Check Futures conditions if (futuresCounter<nFutures && ! (rhsAll[i].earliestDate-actualFrontFuturesRollingDays >= evalDate)) { futuresCounter++; rhs.push_back(rhsAll[i]); |
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From: Marco B. <mar...@us...> - 2006-12-19 14:35:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25354/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: Added "Include Depos after front Futures" parameter to qlRateHelperSelection Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** ratehelpers.hpp 14 Dec 2006 15:22:48 -0000 1.8 --- ratehelpers.hpp 19 Dec 2006 14:35:21 -0000 1.9 *************** *** 1,3 **** - /* Copyright (C) 2005, 2006 Eric Ehlers --- 1,2 ---- *************** *** 24,28 **** #include <ql/Indexes/iborindex.hpp> #include <ql/TermStructures/ratehelpers.hpp> - #include <oh/objhandler.hpp> --- 23,26 ---- Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** ratehelpers.cpp 14 Dec 2006 15:22:47 -0000 1.13 --- ratehelpers.cpp 19 Dec 2006 14:35:21 -0000 1.14 *************** *** 1,8 **** /* - Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 1,9 ---- /* Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Marco Bianchetti Copyright (C) 2005 Aurelien Chanudet + Copyright (C) 2005, 2006 Eric Ehlers + Copyright (C) 2005 Plamen Neykov This file is part of QuantLib, a free-software/open-source library *************** *** 38,42 **** { quoteHandle_ = quote; - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::DepositRateHelper(quoteHandle_, --- 39,42 ---- *************** *** 59,65 **** quoteHandle_ = price; convAdjHandle_= convAdj; - QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::FuturesRateHelper( --- 59,63 ---- *************** *** 85,89 **** { quoteHandle_ = quote; - libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::SwapRateHelper(quoteHandle_, --- 83,86 ---- *************** *** 103,106 **** --- 100,104 ---- struct RateHelperItem { bool isFutures; + bool isDepo; std::string objectID; bool includeFlag; *************** *** 109,112 **** --- 107,111 ---- QuantLib::Date latestDate; RateHelperItem(bool isFutures, + bool isDepo, const std::string& objectID, const bool includeFlag, *************** *** 114,118 **** const QuantLib::Date& earliestDate, const QuantLib::Date& latestDate) ! : isFutures(isFutures), objectID(objectID), includeFlag(includeFlag), priority(priority), earliestDate(earliestDate), latestDate(latestDate) {} --- 113,117 ---- const QuantLib::Date& earliestDate, const QuantLib::Date& latestDate) ! : isFutures(isFutures), isDepo(isDepo), objectID(objectID), includeFlag(includeFlag), priority(priority), earliestDate(earliestDate), latestDate(latestDate) {} *************** *** 124,131 **** bool operator()(const RateHelperItem& h1, const RateHelperItem& h2) const { - if (h1.latestDate > h2.latestDate) return false; - if (h1.latestDate == h2.latestDate) { if (h1.priority > h2.priority) { --- 123,128 ---- *************** *** 135,141 **** } } - return true; - } }; --- 132,136 ---- *************** *** 167,177 **** for (i=0; i<nInstruments; i++) { OH_GET_OBJECT(qlarh, instrumentIDs[i], RateHelper); ! bool isFutures; if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) isFutures = true; else isFutures = false; qlarh->getLibraryObject(qlrh); rhsAll.push_back(detail::RateHelperItem(isFutures, instrumentIDs[i], includeFlag[i], --- 162,177 ---- for (i=0; i<nInstruments; i++) { OH_GET_OBJECT(qlarh, instrumentIDs[i], RateHelper); ! bool isFutures, isDepo; if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) isFutures = true; else isFutures = false; + if (boost::dynamic_pointer_cast<DepositRateHelper>(qlarh)) + isDepo = true; + else + isDepo = false; qlarh->getLibraryObject(qlrh); rhsAll.push_back(detail::RateHelperItem(isFutures, + isDepo, instrumentIDs[i], includeFlag[i], *************** *** 190,206 **** long futuresCounter = 0; QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); ! std::vector<detail::RateHelperItem> rhs; for (i=0; i<nInstruments; i++) { ! if (rhsAll[i].includeFlag) { ! if (!rhsAll[i].isFutures && (rhsAll[i].earliestDate >= evalDate)) { ! rhs.push_back(rhsAll[i]); ! } else if (futuresCounter<nFutures && (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { ! futuresCounter++; rhs.push_back(rhsAll[i]); } } } - std::vector<std::string> result; --- 190,234 ---- long futuresCounter = 0; QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); ! std::vector<detail::RateHelperItem> rhs, rhsDepo; ! // Look for the front Futures ! QuantLib::Date frontFuturesEarliestDate; ! bool thereAreFutures = false; ! i = 0; ! while (i<nInstruments) { ! if (rhsAll[i].isFutures && ! (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { ! thereAreFutures = true; ! frontFuturesEarliestDate = rhsAll[i].earliestDate; ! break; ! } ! i++; ! } ! // Start selection ! bool depoAfterFrontFuturesAlreadyIncluded = false; for (i=0; i<nInstruments; i++) { ! if (rhsAll[i].includeFlag && rhsAll[i].earliestDate >= evalDate) { ! if (rhsAll[i].isDepo) { // Check Depo conditions ! if (depoIncludeFlag) rhs.push_back(rhsAll[i]); ! if (!depoIncludeFlag && thereAreFutures) { ! if (rhsAll[i].latestDate <= frontFuturesEarliestDate) { ! rhs.push_back(rhsAll[i]); ! } else { ! if (depoAfterFrontFuturesAlreadyIncluded == false) { ! rhs.push_back(rhsAll[i]); ! depoAfterFrontFuturesAlreadyIncluded = true; ! } ! } ! } ! } else if (rhsAll[i].isFutures) { // Check Futures conditions ! if (futuresCounter<nFutures && (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) { ! futuresCounter++; ! rhs.push_back(rhsAll[i]); ! } ! } else { // No conditions for other instruments rhs.push_back(rhsAll[i]); } } } std::vector<std::string> result; |
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From: Ferdinando A. <na...@us...> - 2006-12-19 11:42:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27758/gensrc/metadata Modified Files: enumtypes.xml prices.xml Log Message: MidRobust renamed as MidSafe Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** enumtypes.xml 4 Dec 2006 10:04:43 -0000 1.30 --- enumtypes.xml 19 Dec 2006 11:42:08 -0000 1.31 *************** *** 328,333 **** </EnumerationDefinition> <EnumerationDefinition> ! <string>Mid Robust</string> ! <value>QuantLib::MidRobust</value> </EnumerationDefinition> </EnumerationDefinitions> --- 328,333 ---- </EnumerationDefinition> <EnumerationDefinition> ! <string>Mid Safe</string> ! <value>QuantLib::MidSafe</value> </EnumerationDefinition> </EnumerationDefinitions> Index: prices.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/prices.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** prices.xml 26 Oct 2006 08:49:28 -0000 1.12 --- prices.xml 19 Dec 2006 11:42:08 -0000 1.13 *************** *** 47,53 **** </Procedure> ! <Procedure name='qlMidRobust' > ! <description>returns the mid price if both bid and ask are available.</description> ! <alias>QuantLib::midRobust</alias> <SupportedPlatforms> <Excel/> --- 47,53 ---- </Procedure> ! <Procedure name='qlMidSafe' > ! <description>returns the mid price only if both bid and ask are available.</description> ! <alias>QuantLib::midSafe</alias> <SupportedPlatforms> <Excel/> |
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From: Ferdinando A. <na...@us...> - 2006-12-15 19:31:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13920 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.67 retrieving revision 1.68 diff -C2 -d -r1.67 -r1.68 *** todonando.txt 15 Dec 2006 10:20:11 -0000 1.67 --- todonando.txt 15 Dec 2006 19:31:07 -0000 1.68 *************** *** 1,4 **** --- 1,8 ---- coerce from Frequency to Period + coerce from Period->Date to double/int + coerce from IMMcode ro date + + interpolation with boolean exclusion - GREEKS |
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From: Giorgio F. <gi...@us...> - 2006-12-15 13:32:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3208/qlo Modified Files: quotes.cpp quotes.hpp Log Message: Index: quotes.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** quotes.cpp 14 Dec 2006 16:01:21 -0000 1.5 --- quotes.cpp 15 Dec 2006 13:32:35 -0000 1.6 *************** *** 62,66 **** } FuturesConvAdjustmentQuote::FuturesConvAdjustmentQuote( ! const boost::shared_ptr<QuantLib::InterestRateIndex>& index, const QuantLib::Date& futuresDate, const QuantLib::Handle<QuantLib::Quote>& futuresQuote, --- 62,66 ---- } FuturesConvAdjustmentQuote::FuturesConvAdjustmentQuote( ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Date& futuresDate, const QuantLib::Handle<QuantLib::Quote>& futuresQuote, Index: quotes.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** quotes.hpp 14 Dec 2006 16:01:21 -0000 1.5 --- quotes.hpp 15 Dec 2006 13:32:35 -0000 1.6 *************** *** 24,27 **** --- 24,29 ---- #include <qlo/termstructures.hpp> #include <ql/Quotes/derivedquote.hpp> + #include <ql/Quotes/futuresconvadjustmentquote.hpp> + namespace QuantLibAddin { *************** *** 64,68 **** public: FuturesConvAdjustmentQuote( ! const boost::shared_ptr<QuantLib::InterestRateIndex>& index, const QuantLib::Date& futuresDate, const QuantLib::Handle<QuantLib::Quote>& futuresQuote, --- 66,70 ---- public: FuturesConvAdjustmentQuote( ! const boost::shared_ptr<QuantLib::IborIndex>& index, const QuantLib::Date& futuresDate, const QuantLib::Handle<QuantLib::Quote>& futuresQuote, |
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From: Eric E. <eri...@us...> - 2006-12-15 12:23:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14010 Modified Files: README.txt Log Message: Index: README.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/README.txt,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** README.txt 19 May 2006 16:56:16 -0000 1.1 --- README.txt 15 Dec 2006 12:23:24 -0000 1.2 *************** *** 1,5 **** QuantLibAddin ! <http://quantlib.org/quantlibaddin> QuantLibAddin is a subproject of the QuantLib open source C++ analytics library. --- 1,5 ---- QuantLibAddin ! <http://www.quantlibaddin.org> QuantLibAddin is a subproject of the QuantLib open source C++ analytics library. *************** *** 27,36 **** Installation instructions are available at ! <http://quantlib.org/quantlibaddin/installation.html>. Information on troubleshooting common QuantLibAddin problems is available at ! <http://quantlib.org/quantlibaddin/troubleshooting.html>. A list of changes since the previous release is available in NEWS.txt (included in this distribution) while a list of past changes can be ! browsed at <http://quantlib.org/quantlibaddin/history.html>. --- 27,37 ---- Installation instructions are available at ! <http://www.quantlibaddin.org/installation.html>. Information on troubleshooting common QuantLibAddin problems is available at ! <http://www.quantlibaddin.org/troubleshooting.html>. A list of changes since the previous release is available in NEWS.txt (included in this distribution) while a list of past changes can be ! browsed at <http://www.quantlibaddin.org/history.html>. ! |
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From: Ferdinando A. <na...@us...> - 2006-12-15 10:20:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1111 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.66 retrieving revision 1.67 diff -C2 -d -r1.66 -r1.67 *** todonando.txt 14 Dec 2006 09:21:45 -0000 1.66 --- todonando.txt 15 Dec 2006 10:20:11 -0000 1.67 *************** *** 1,5 **** coerce from Frequency to Period - conv bias implied quote - GREEKS --- 1,4 ---- *************** *** 56,59 **** --- 55,59 ---- Giorgio + - conv bias implied quote D manual import of BGM book D RtUpdate and FormulaArray in Reuters QuoteFeed xls |
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From: Ferdinando A. <na...@us...> - 2006-12-14 16:19:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7184/gensrc/metadata Modified Files: bonds.xml Log Message: Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** bonds.xml 11 Dec 2006 09:40:03 -0000 1.43 --- bonds.xml 14 Dec 2006 16:19:43 -0000 1.44 *************** *** 207,211 **** <!--<Member name='qlBondCleanPrice2' libraryClass='Bond' loopParameter='yield'>--> ! <!--<Member name='qlBondCleanPrice2' libraryClass='Bond'> <description>Returns the clean price for the given bond corresponding to the given yield and settlement date. The default bond settlement is used if no date is given.</description> <libraryFunction>cleanPrice</libraryFunction> --- 207,211 ---- <!--<Member name='qlBondCleanPrice2' libraryClass='Bond' loopParameter='yield'>--> ! <Member name='qlBondCleanPrice2' libraryClass='Bond'> <description>Returns the clean price for the given bond corresponding to the given yield and settlement date. The default bond settlement is used if no date is given.</description> <libraryFunction>cleanPrice</libraryFunction> *************** *** 225,229 **** <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>scalar</tensorRank> --- 225,229 ---- <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' const='False' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 236,240 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member>--> <Member name='qlBondDirtyPrice2' libraryClass='Bond' loopParameter='yield'> --- 236,240 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Member name='qlBondDirtyPrice2' libraryClass='Bond' loopParameter='yield'> *************** *** 256,260 **** <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>scalar</tensorRank> --- 256,260 ---- <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' const='False' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 269,273 **** </Member> ! <!--<Member name='qlBondYield2' libraryClass='Bond' loopParameter='cleanPrice'> <description>Returns the yield for the given bond corresponding to the given clean price and settlement date. The default bond settlement is used if no date is given.</description> <libraryFunction>yield</libraryFunction> --- 269,274 ---- </Member> ! <!--<Member name='qlBondYield2' libraryClass='Bond' loopParameter='cleanPrice'>--> ! <Member name='qlBondYield2' libraryClass='Bond'> <description>Returns the yield for the given bond corresponding to the given clean price and settlement date. The default bond settlement is used if no date is given.</description> <libraryFunction>yield</libraryFunction> *************** *** 279,283 **** <Parameter name='cleanPrice'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>Clean price</description> </Parameter> --- 280,284 ---- <Parameter name='cleanPrice'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>Clean price</description> </Parameter> *************** *** 287,291 **** <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>scalar</tensorRank> --- 288,292 ---- <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' const='False' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 296,300 **** <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member>--> --- 297,301 ---- <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member>--> *************** *** 308,312 **** <ParameterList> <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>vector</tensorRank> --- 309,313 ---- <ParameterList> <Parameters> ! <Parameter name='settlementDate' const='False' libraryType='QuantLib::Date' default='QuantLib::Date()'> <type>long</type> <tensorRank>vector</tensorRank> |
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From: Giorgio F. <gi...@us...> - 2006-12-14 16:12:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32293/gensrc/metadata Modified Files: quotes.xml Log Message: Index: quotes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/quotes.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** quotes.xml 14 Dec 2006 16:01:21 -0000 1.6 --- quotes.xml 14 Dec 2006 16:12:43 -0000 1.7 *************** *** 9,12 **** --- 9,13 ---- <copyright> Copyright (C) 2006 Francois du Vignaud + Copyright (C) 2006 Giorgio Facchinetti </copyright> <Functions> |
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From: Giorgio F. <gi...@us...> - 2006-12-14 16:02:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20984/gensrc/metadata Modified Files: quotes.xml Log Message: Added FuturesConvAdjustmentQuote Index: quotes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/quotes.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** quotes.xml 13 Dec 2006 20:16:02 -0000 1.5 --- quotes.xml 14 Dec 2006 16:01:21 -0000 1.6 *************** *** 204,207 **** --- 204,244 ---- </ParameterList> </Constructor> + + <Constructor name='qlFuturesConvAdjustmentQuote'> + <libraryFunction>FuturesConvAdjustmentQuote</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='index' libraryClass='IborIndex'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>floating IborIndex object ID</description> + </Parameter> + <Parameter name='futuresDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>futures Date</description> + </Parameter> + <Parameter name='futuresQuote' libToHandle='Quote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>futures quote</description> + </Parameter> + <Parameter name='volatility' libToHandle='Quote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>HullWhite volatility</description> + </Parameter> + <Parameter name='meanReversion' libToHandle='Quote'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>HullWhite mean reversion</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + </Functions> </Category> |
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From: Giorgio F. <gi...@us...> - 2006-12-14 16:01:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20984/qlo Modified Files: quotes.cpp quotes.hpp Log Message: Added FuturesConvAdjustmentQuote Index: quotes.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** quotes.cpp 13 Dec 2006 16:10:30 -0000 1.4 --- quotes.cpp 14 Dec 2006 16:01:21 -0000 1.5 *************** *** 2,5 **** --- 2,6 ---- /* Copyright (C) 2006 Francois du Vignaud + Copyright (C) 2006 Giorgio Facchinetti This file is part of QuantLib, a free-software/open-source library *************** *** 60,63 **** --- 61,75 ---- callPrice, putPrice, strike, guess, accuracy)); } + FuturesConvAdjustmentQuote::FuturesConvAdjustmentQuote( + const boost::shared_ptr<QuantLib::InterestRateIndex>& index, + const QuantLib::Date& futuresDate, + const QuantLib::Handle<QuantLib::Quote>& futuresQuote, + const QuantLib::Handle<QuantLib::Quote>& volatility, + const QuantLib::Handle<QuantLib::Quote>& meanReversion) + { + libraryObject_ = boost::shared_ptr<QuantLib::Quote>(new + QuantLib::FuturesConvAdjustmentQuote(index, futuresDate, + futuresQuote, volatility, meanReversion)); + } } Index: quotes.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quotes.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** quotes.hpp 13 Dec 2006 16:10:30 -0000 1.4 --- quotes.hpp 14 Dec 2006 16:01:21 -0000 1.5 *************** *** 2,5 **** --- 2,6 ---- /* Copyright (C) 2006 Francois du Vignaud + Copyright (C) 2006 Giorgio Facchinetti This file is part of QuantLib, a free-software/open-source library *************** *** 59,62 **** --- 60,74 ---- QuantLib::Real accuracy); }; + + class FuturesConvAdjustmentQuote : public Quote { + public: + FuturesConvAdjustmentQuote( + const boost::shared_ptr<QuantLib::InterestRateIndex>& index, + const QuantLib::Date& futuresDate, + const QuantLib::Handle<QuantLib::Quote>& futuresQuote, + const QuantLib::Handle<QuantLib::Quote>& volatility, + const QuantLib::Handle<QuantLib::Quote>& meanReversion); + }; + } |
