quantlibaddin-cvs Mailing List for QuantLibAddin (Page 41)
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From: Ferdinando A. <na...@us...> - 2006-08-02 19:16:16
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25540/qlo Modified Files: termstructures.cpp termstructures.hpp Log Message: exporting FlatForward Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** termstructures.hpp 24 Jul 2006 15:45:24 -0000 1.9 --- termstructures.hpp 2 Aug 2006 19:16:13 -0000 1.10 *************** *** 71,74 **** --- 71,84 ---- }; + class FlatForward : public YieldTermStructure { + public: + FlatForward(const long &nDays, + const QuantLib::Calendar &calendar, + QuantLib::Rate forward, + const QuantLib::DayCounter &dayCounter, + QuantLib::Compounding compounding, + QuantLib::Frequency frequency); + }; + class ForwardSpreadedTermStructure : public YieldTermStructure { public: Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** termstructures.cpp 24 Jul 2006 15:45:24 -0000 1.15 --- termstructures.cpp 2 Aug 2006 19:16:13 -0000 1.16 *************** *** 32,35 **** --- 32,36 ---- #include <ql/TermStructures/forwardcurve.hpp> #include <ql/TermStructures/impliedtermstructure.hpp> + #include <ql/TermStructures/flatforward.hpp> namespace QuantLibAddin { *************** *** 117,120 **** --- 118,133 ---- + FlatForward::FlatForward(const long &nDays, + const QuantLib::Calendar &calendar, + QuantLib::Rate forward, + const QuantLib::DayCounter &dayCounter, + QuantLib::Compounding compounding, + QuantLib::Frequency frequency) + { + libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( + new QuantLib::FlatForward(nDays, calendar, forward, dayCounter, + compounding, frequency)); + } + ForwardSpreadedTermStructure::ForwardSpreadedTermStructure( const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, |
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From: Ferdinando A. <na...@us...> - 2006-08-02 19:14:57
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24770/gensrc/metadata Modified Files: bonds.xml index.xml ratehelpers.xml schedule.xml Log Message: better description Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** index.xml 31 Jul 2006 16:10:02 -0000 1.22 --- index.xml 2 Aug 2006 19:14:53 -0000 1.23 *************** *** 422,426 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency of the underlying swap's fixed leg (e.g. annual)</description> </Parameter> <Parameter name='fixedLegBDC' enumeration='QuantLib::BusinessDayConvention'> --- 422,426 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency of the underlying swap's fixed leg (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> <Parameter name='fixedLegBDC' enumeration='QuantLib::BusinessDayConvention'> Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** schedule.xml 29 Jul 2006 15:32:32 -0000 1.6 --- schedule.xml 2 Aug 2006 19:14:53 -0000 1.7 *************** *** 33,37 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency</description> </Parameter> <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> --- 33,37 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** bonds.xml 1 Aug 2006 06:50:40 -0000 1.18 --- bonds.xml 2 Aug 2006 19:14:53 -0000 1.19 *************** *** 309,313 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency ID</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> --- 309,313 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> *************** *** 400,404 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency ID</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> --- 400,404 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** ratehelpers.xml 29 Jul 2006 15:32:32 -0000 1.14 --- ratehelpers.xml 2 Aug 2006 19:14:53 -0000 1.15 *************** *** 153,157 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg frequency (e.g. Annual)</description> </Parameter> <Parameter name='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'> --- 153,157 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> </Parameter> <Parameter name='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'> |
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From: Ferdinando A. <na...@us...> - 2006-08-02 18:14:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1523/qlo Modified Files: interpolation.hpp Log Message: Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** interpolation.hpp 19 Jul 2006 13:17:52 -0000 1.17 --- interpolation.hpp 2 Aug 2006 18:14:07 -0000 1.18 *************** *** 36,41 **** public: LinearInterpolation(const std::string &linearInterpolationType, ! const std::vector<double>& x, ! const std::vector<double>& y); private: std::vector<double> x_, y_; --- 36,41 ---- public: LinearInterpolation(const std::string &linearInterpolationType, ! const std::vector<double>& x, ! const std::vector<double>& y); private: std::vector<double> x_, y_; |
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From: Eric E. <eri...@us...> - 2006-08-02 13:04:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27601/qlo Modified Files: Tag: R000313f0-branch typefactory.hpp Log Message: Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.24.2.1 retrieving revision 1.24.2.2 diff -C2 -d -r1.24.2.1 -r1.24.2.2 *** typefactory.hpp 1 Aug 2006 11:54:06 -0000 1.24.2.1 --- typefactory.hpp 2 Aug 2006 13:04:41 -0000 1.24.2.2 *************** *** 91,95 **** if (uppercase(i->first) == idUpper) return static_cast<ConstructorSignature>(i->second); - //return reinterpret_cast<ConstructorSignature>(i->second); QL_FAIL("Unknown id for Type: " << id); } --- 91,94 ---- |
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From: Eric E. <eri...@us...> - 2006-08-02 13:03:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27038/gensrc Modified Files: Tag: R000313f0-branch Makefile.vc Log Message: upgrade Calc addin from OOo 1 to 2 Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.19.2.1 retrieving revision 1.19.2.2 diff -C2 -d -r1.19.2.1 -r1.19.2.2 *** Makefile.vc 1 Aug 2006 11:54:05 -0000 1.19.2.1 --- Makefile.vc 2 Aug 2006 13:03:46 -0000 1.19.2.2 *************** *** 6,9 **** --- 6,10 ---- BUILDFLAG=$(BUILD_DIR)\buildflag SCRIPT=scripts\gensrc.py + MAKEFILE=Makefile.vc METADATA= \ *************** *** 58,64 **** if not exist $(BUILD_DIR) mkdir $(BUILD_DIR) ! $(BUILDFLAG) : $(SCRIPT) $(INPUTS) $(BUILD_DIR) set PYTHONPATH=$(PYTHONPATH);$(GENSRC_DIR)\import ! $(SCRIPT) -eqvd echo flagged > $@ --- 59,65 ---- if not exist $(BUILD_DIR) mkdir $(BUILD_DIR) ! $(BUILDFLAG) : $(SCRIPT) $(INPUTS) $(BUILD_DIR) $(MAKEFILE) set PYTHONPATH=$(PYTHONPATH);$(GENSRC_DIR)\import ! $(SCRIPT) -eqvdo echo flagged > $@ |
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From: Eric E. <eri...@us...> - 2006-08-02 13:03:50
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27038 Modified Files: Tag: R000313f0-branch QuantLibAddin.sln Log Message: upgrade Calc addin from OOo 1 to 2 Index: QuantLibAddin.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.sln,v retrieving revision 1.11 retrieving revision 1.11.2.1 diff -C2 -d -r1.11 -r1.11.2.1 *** QuantLibAddin.sln 29 Jul 2006 15:32:31 -0000 1.11 --- QuantLibAddin.sln 2 Aug 2006 13:03:46 -0000 1.11.2.1 *************** *** 77,94 **** {FE5EE378-AD4E-4B32-8030-C089D7067336}.Release SingleThread.ActiveCfg = Release CRTDLL|Win32 {FE5EE378-AD4E-4B32-8030-C089D7067336}.Release SingleThread.Build.0 = Release CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.All.ActiveCfg = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.All.Build.0 = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug.ActiveCfg = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug.Build.0 = Debug|Win32 {D8B630DB-69ED-455C-AC79-22903E750175}.Debug CRTDLL.ActiveCfg = Debug CRTDLL|Win32 {D8B630DB-69ED-455C-AC79-22903E750175}.Debug CRTDLL.Build.0 = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug SingleThread.ActiveCfg = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug SingleThread.Build.0 = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release.ActiveCfg = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release.Build.0 = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release CRTDLL.ActiveCfg = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release CRTDLL.Build.0 = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release SingleThread.ActiveCfg = Debug|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release SingleThread.Build.0 = Debug|Win32 {5719B9B4-8566-4CD9-8F74-A3E98BCC55BD}.All.ActiveCfg = Debug CRTDLL|Win32 {5719B9B4-8566-4CD9-8F74-A3E98BCC55BD}.All.Build.0 = Debug CRTDLL|Win32 --- 77,94 ---- {FE5EE378-AD4E-4B32-8030-C089D7067336}.Release SingleThread.ActiveCfg = Release CRTDLL|Win32 {FE5EE378-AD4E-4B32-8030-C089D7067336}.Release SingleThread.Build.0 = Release CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.All.ActiveCfg = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.All.Build.0 = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug.ActiveCfg = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug.Build.0 = Debug CRTDLL|Win32 {D8B630DB-69ED-455C-AC79-22903E750175}.Debug CRTDLL.ActiveCfg = Debug CRTDLL|Win32 {D8B630DB-69ED-455C-AC79-22903E750175}.Debug CRTDLL.Build.0 = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug SingleThread.ActiveCfg = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Debug SingleThread.Build.0 = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release.ActiveCfg = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release.Build.0 = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release CRTDLL.ActiveCfg = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release CRTDLL.Build.0 = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release SingleThread.ActiveCfg = Debug CRTDLL|Win32 ! {D8B630DB-69ED-455C-AC79-22903E750175}.Release SingleThread.Build.0 = Debug CRTDLL|Win32 {5719B9B4-8566-4CD9-8F74-A3E98BCC55BD}.All.ActiveCfg = Debug CRTDLL|Win32 {5719B9B4-8566-4CD9-8F74-A3E98BCC55BD}.All.Build.0 = Debug CRTDLL|Win32 |
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From: Eric E. <eri...@us...> - 2006-08-02 13:03:50
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27038/Addins/Calc Modified Files: Tag: R000313f0-branch AddinCalc.vcproj AddinCalc_vc8.vcproj qladdin.cpp Added Files: Tag: R000313f0-branch Makefile.vc Removed Files: Tag: R000313f0-branch Makefile.vc.debug.crtdll Log Message: upgrade Calc addin from OOo 1 to 2 --- NEW FILE: Makefile.vc --- OFFICE_PROGRAM_PATH=C:\Program Files\OpenOffice.org 2.0\program OFFICE_SDK_PATH=C:\OpenOffice.org_2.0_SDK COMPONENT_NAME=QuantLibAddinCalc DLL_NAME=$(COMPONENT_NAME)-vc71-mt-gd-0_3_12 DLL_DIR=dll INT_DIR=build\vc71\DebugCRTDLL IDL_DIR="$(OFFICE_SDK_PATH)\idl" TYP_FILE="$(OFFICE_PROGRAM_PATH)\types.rdb" URD_FILE=$(COMPONENT_NAME).urd RDB_FILE=$(DLL_NAME).rdb DLL_FILE=$(DLL_NAME).dll FLAG1=$(INT_DIR)\$(COMPONENT_NAME).flag1 FLAG2=$(INT_DIR)\$(COMPONENT_NAME).flag2 FLAG3=$(INT_DIR)\$(COMPONENT_NAME).flag3 FLAG4=$(INT_DIR)\$(COMPONENT_NAME).flag4 FLAG5=$(INT_DIR)\$(COMPONENT_NAME).flag5 FLAG6=$(INT_DIR)\$(COMPONENT_NAME).flag6 CC_INCLUDES=-I. -I..\.. -I"$(QL_DIR)" -I"$(OBJECT_HANDLER_DIR)" \ -I"$(LOG4CXX_DIR)/include" -I"$(OFFICE_SDK_PATH)\include" CC_FLAGS=/c /nologo /MD /GX /GR \ /wd4251 /wd4275 /wd4290 /wd4675 /wd4786 /wd4800 \ /DWIN32 /DWNT /DCPPU_ENV=msci /Fo"$(INT_DIR)\\" # - CC_FLAGS that will be required for debug build #/Zi full debug info in pdb #/Od disable optimization #/GZ runtime error checks # - other defines that may be needed? #CC_DEFINES=/D_DEBUG /DWINDOWS /D_MBCS /D_USRDLL OBJECTS= \ "$(INT_DIR)\calcutils.obj" \ "$(INT_DIR)\conversions.obj" \ "$(INT_DIR)\exercise.obj" \ "$(INT_DIR)\funcdef.obj" \ "$(INT_DIR)\options.obj" \ "$(INT_DIR)\payoffs.obj" \ "$(INT_DIR)\pricingengines.obj" \ "$(INT_DIR)\processes.obj" \ "$(INT_DIR)\qladdin.obj" \ "$(INT_DIR)\session.obj" \ "$(INT_DIR)\utilities.obj" \ "$(INT_DIR)\volatilities.obj" LFLAGS=/nologo /dll /out:$(DLL_FILE) \ /def:.\$(COMPONENT_NAME).def \ /libpath:. /libpath:..\..\lib \ /libpath:"$(OFFICE_SDK_PATH)\windows\lib" \ /libpath:"$(QL_DIR)\lib" \ /libpath:"$(LOG4CXX_DIR)\msvc\lib" \ /libpath:"$(OBJECT_HANDLER_DIR)\lib" \ kernel32.lib wsock32.lib advapi32.lib \ oldnames.lib netapi32.lib advapi32.lib gdi32.lib comdlg32.lib \ comctl32.lib user32.lib winspool.lib shell32.lib ole32.lib \ oleaut32.lib uuid.lib odbc32.lib odbccp32.lib \ icppuhelper.lib icppu.lib isal.lib \ msvcrt.lib msvcprt.lib TYPES = -Tcom.sun.star.sheet.XAddIn \ -Tcom.sun.star.lang.XServiceName \ -Tcom.sun.star.lang.XServiceInfo \ -Tcom.sun.star.uno.XWeak \ -Tcom.sun.star.lang.XSingleServiceFactory \ -Tcom.sun.star.lang.XMultiServiceFactory \ -Tcom.sun.star.uno.XAggregation \ -Tcom.sun.star.lang.XTypeProvider \ -Tcom.sun.star.uno.XComponentContext \ -Tcom.sun.star.lang.XSingleComponentFactory \ -Tcom.sun.star.registry.XRegistryKey \ -Tcom.sun.star.sheet.addin.XQL ALL : $(FLAG6) $(URD_FILE) : $(COMPONENT_NAME).idl IDLC -I$(IDL_DIR) $(COMPONENT_NAME).idl "$(INT_DIR)" : if not exist "$(INT_DIR)" mkdir "$(INT_DIR)" "$(DLL_DIR)" : if not exist "$(DLL_DIR)" mkdir "$(DLL_DIR)" $(FLAG1) : $(URD_FILE) $(INT_DIR) REGMERGE $(RDB_FILE) /UCR $(URD_FILE) echo flagged > $@ $(FLAG2) : $(FLAG1) CPPUMAKER -BUCR $(TYPES) $(TYP_FILE) $(RDB_FILE) echo flagged > $@ $(OBJECTS) : $(FLAG2) .cpp{$(INT_DIR)}.obj: CL $(CC_FLAGS) $(CC_INCLUDES) $< $(FLAG3) : $(FLAG1) $(OBJECTS) LINK $(LFLAGS) $(OBJECTS) echo flagged > $@ $(FLAG4) : $(FLAG3) REGCOMP -register -r $(RDB_FILE) -c $(DLL_FILE) echo flagged > $@ $(FLAG5) : $(FLAG4) $(DLL_DIR) move $(DLL_NAME).* $(DLL_DIR) echo flagged > $@ $(FLAG6) : $(FLAG5) copy $(DLL_DIR)\$(RDB_FILE) "$(OFFICE_PROGRAM_PATH)" copy $(DLL_DIR)\$(DLL_FILE) "$(OFFICE_PROGRAM_PATH)" echo flagged > $@ CLEAN : -@ if EXIST "$(INT_DIR)\*" del /f /q "$(INT_DIR)\*" -@ if EXIST "$(DLL_DIR)\*" del /f /q "$(DLL_DIR)\*" -@ if EXIST "$(URD_FILE)" del /f /q "$(URD_FILE)" -@ if EXIST com rmdir /q /s com --- Makefile.vc.debug.crtdll DELETED --- Index: AddinCalc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/AddinCalc.vcproj,v retrieving revision 1.3 retrieving revision 1.3.2.1 diff -C2 -d -r1.3 -r1.3.2.1 *** AddinCalc.vcproj 29 Jul 2006 15:32:31 -0000 1.3 --- AddinCalc.vcproj 2 Aug 2006 13:03:46 -0000 1.3.2.1 *************** *** 14,33 **** <Configuration Name="Debug CRTDLL|Win32" ! OutputDirectory="$(ConfigurationName)" ! IntermediateDirectory="$(ConfigurationName)" ! ConfigurationType="0" ! UseOfMFC="0" ! ATLMinimizesCRunTimeLibraryUsage="FALSE"> ! <Tool ! Name="VCNMakeTool" ! BuildCommandLine="nmake /f "Makefile.vc.debug.crtdll"" ! ReBuildCommandLine="nmake /f "Makefile.vc.debug.crtdll" /a" ! CleanCommandLine="nmake /f "Makefile.vc.debug.crtdll" clean" ! Output="AddinCalc.exe"/> ! </Configuration> ! <Configuration ! Name="Debug|Win32" ! OutputDirectory="$(ConfigurationName)" ! IntermediateDirectory="$(ConfigurationName)" ConfigurationType="0" UseOfMFC="0" --- 14,19 ---- <Configuration Name="Debug CRTDLL|Win32" ! OutputDirectory="build\vc71\DebugCRTDLL" ! IntermediateDirectory="build\vc71\DebugCRTDLL" ConfigurationType="0" UseOfMFC="0" *************** *** 35,41 **** <Tool Name="VCNMakeTool" ! BuildCommandLine="nmake /f "Makefile.vc.debug.crtdll"" ! ReBuildCommandLine="nmake /f "Makefile.vc.debug.crtdll" /a" ! CleanCommandLine="nmake /f "Makefile.vc.debug.crtdll" clean" Output="AddinCalc.exe"/> </Configuration> --- 21,27 ---- <Tool Name="VCNMakeTool" ! BuildCommandLine="nmake /f "Makefile.vc"" ! ReBuildCommandLine="nmake /f "Makefile.vc" /a" ! CleanCommandLine="nmake /f "Makefile.vc" clean" Output="AddinCalc.exe"/> </Configuration> *************** *** 78,81 **** --- 64,70 ---- </File> <File + RelativePath=".\utilities.cpp"> + </File> + <File RelativePath=".\volatilities.cpp"> </File> *************** *** 115,118 **** --- 104,110 ---- </File> <File + RelativePath=".\utilities.hpp"> + </File> + <File RelativePath=".\volatilities.hpp"> </File> *************** *** 123,127 **** </Filter> <File ! RelativePath="Makefile.vc.debug.crtdll"> </File> <File --- 115,119 ---- </Filter> <File ! RelativePath="Makefile.vc"> </File> <File Index: AddinCalc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/AddinCalc_vc8.vcproj,v retrieving revision 1.3 retrieving revision 1.3.2.1 diff -C2 -d -r1.3 -r1.3.2.1 *** AddinCalc_vc8.vcproj 29 Jul 2006 15:32:31 -0000 1.3 --- AddinCalc_vc8.vcproj 2 Aug 2006 13:03:46 -0000 1.3.2.1 *************** *** 26,31 **** <Tool Name="VCNMakeTool" ! BuildCommandLine="nmake /f "Makefile.vc.debug.crtdll"" ! ReBuildCommandLine="nmake /f "Makefile.vc.debug.crtdll" /a" CleanCommandLine="" Output="AddinCalc.exe" --- 26,31 ---- <Tool Name="VCNMakeTool" ! BuildCommandLine="nmake /f "Makefile.vc"" ! ReBuildCommandLine="nmake /f "Makefile.vc" /a" CleanCommandLine="" Output="AddinCalc.exe" *************** *** 51,54 **** --- 51,58 ---- </File> <File + RelativePath=".\conversions.cpp" + > + </File> + <File RelativePath=".\exercise.cpp" > *************** *** 96,99 **** --- 100,107 ---- </File> <File + RelativePath=".\conversions.hpp" + > + </File> + <File RelativePath=".\exercise.hpp" > *************** *** 133,137 **** </Filter> <File ! RelativePath="Makefile.vc.debug.crtdll" > </File> --- 141,145 ---- </Filter> <File ! RelativePath="Makefile.vc" > </File> Index: qladdin.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/qladdin.cpp,v retrieving revision 1.2 retrieving revision 1.2.2.1 diff -C2 -d -r1.2 -r1.2.2.1 *** qladdin.cpp 29 Jul 2006 15:32:31 -0000 1.2 --- qladdin.cpp 2 Aug 2006 13:03:46 -0000 1.2.2.1 *************** *** 49,52 **** --- 49,55 ---- using namespace ::com::sun::star; + // instantiate the objecthandler singleton + ObjHandler::ObjectHandler oh; + REF( uno::XInterface ) SAL_CALL QL_CreateInstance( REF( uno::XComponentContext ) const & xContext ) SAL_THROW( () ) { |
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From: Eric E. <eri...@us...> - 2006-08-02 13:03:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27038/gensrc/metadata Modified Files: Tag: R000313f0-branch utilities.xml Log Message: upgrade Calc addin from OOo 1 to 2 Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.7 retrieving revision 1.7.2.1 diff -C2 -d -r1.7 -r1.7.2.1 *** utilities.xml 29 Jul 2006 15:32:32 -0000 1.7 --- utilities.xml 2 Aug 2006 13:03:46 -0000 1.7.2.1 *************** *** 13,16 **** --- 13,17 ---- <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> + <supportedPlatform>calc</supportedPlatform> </supportedPlatforms> <ParameterList> |
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From: Eric E. <eri...@us...> - 2006-08-02 13:03:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27038/Clients/Calc Modified Files: Tag: R000313f0-branch Makefile.am Added Files: Tag: R000313f0-branch options.ods Log Message: upgrade Calc addin from OOo 1 to 2 --- NEW FILE: options.ods --- (This appears to be a binary file; contents omitted.) Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Calc/Makefile.am,v retrieving revision 1.1 retrieving revision 1.1.2.1 diff -C2 -d -r1.1 -r1.1.2.1 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 2 Aug 2006 13:03:46 -0000 1.1.2.1 *************** *** 3,6 **** --- 3,7 ---- capfloors.sxc \ instruments.sxc \ + options.ods \ options.sxc \ QLADemo.sxc |
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From: Eric E. <eri...@us...> - 2006-08-02 12:56:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23348 Modified Files: Tag: R000313f0-branch QuantLibObjects.vcproj Log Message: remove marketmodels from VC7 workspace Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.24 retrieving revision 1.24.2.1 diff -C2 -d -r1.24 -r1.24.2.1 *** QuantLibObjects.vcproj 18 Jul 2006 14:05:06 -0000 1.24 --- QuantLibObjects.vcproj 2 Aug 2006 12:56:01 -0000 1.24.2.1 *************** *** 411,420 **** </File> <File - RelativePath="qlo\vo_marketmodels.cpp"> - </File> - <File - RelativePath="qlo\vo_marketmodels.hpp"> - </File> - <File RelativePath="qlo\vo_mathf.cpp"> </File> --- 411,414 ---- *************** *** 744,757 **** </File> </Filter> - <Filter - Name="MarketModels" - Filter=""> - <File - RelativePath="qlo\marketmodels.cpp"> - </File> - <File - RelativePath="qlo\marketmodels.hpp"> - </File> - </Filter> <File RelativePath="qlo\auto_link.hpp"> --- 738,741 ---- |
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From: Giorgio F. <gi...@us...> - 2006-08-02 07:08:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2235/qlo Modified Files: couponvectors.cpp Log Message: bug fixed Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** couponvectors.cpp 1 Aug 2006 18:36:07 -0000 1.19 --- couponvectors.cpp 2 Aug 2006 07:08:00 -0000 1.20 *************** *** 46,50 **** headings[3]=std::string("Accrual Start Date"); headings[4]=std::string("Accrual End Date"); ! headings[5]=std::tring("Accrual Days"); headings[6]=std::string("Day Counter"); headings[7]=std::string("Accrual Period"); --- 46,50 ---- headings[3]=std::string("Accrual Start Date"); headings[4]=std::string("Accrual End Date"); ! headings[5]=std::string("Accrual Days"); headings[6]=std::string("Day Counter"); headings[7]=std::string("Accrual Period"); |
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From: Katiuscia M. <kma...@us...> - 2006-08-01 18:37:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27269/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: exported method blackVariance Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** swaptionvolstructure.xml 29 Jul 2006 15:32:32 -0000 1.25 --- swaptionvolstructure.xml 1 Aug 2006 18:37:07 -0000 1.26 *************** *** 53,56 **** --- 53,92 ---- </Member> + <Member name='qlSwaptionVTSBlackVariance' libraryClass='SwaptionVolatilityStructure' loopParameter='strike' dependencyTrigger='true'> + <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> + <libraryFunction>blackVariance</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='expiry' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swaption expiry date</description> + </Parameter> + <Parameter name='length' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>underlying swap tenor</description> + </Parameter> + <Parameter name='strike'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>swaption strike vector</description> + </Parameter> + <Parameter name='allowExtrapolation'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>Extrapolation Flag (TRUE allows extrapolation)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <Member name='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> <description>Returns the latest start date for which the term structure can return vols.</description> |
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From: Katiuscia M. <kma...@us...> - 2006-08-01 18:36:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26941/qlo Modified Files: couponvectors.cpp Log Message: bug fixed Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** couponvectors.cpp 1 Aug 2006 07:37:00 -0000 1.18 --- couponvectors.cpp 1 Aug 2006 18:36:07 -0000 1.19 *************** *** 46,50 **** headings[3]=std::string("Accrual Start Date"); headings[4]=std::string("Accrual End Date"); ! headings[5]=std::string("Accrual Days"); headings[6]=std::string("Day Counter"); headings[7]=std::string("Accrual Period"); --- 46,50 ---- headings[3]=std::string("Accrual Start Date"); headings[4]=std::string("Accrual End Date"); ! headings[5]=std::tring("Accrual Days"); headings[6]=std::string("Day Counter"); headings[7]=std::string("Accrual Period"); *************** *** 96,101 **** cf[13]=floatingCoupon->gearing(); cf[14]=floatingCoupon->indexFixing(); ! cf[15]=floatingCoupon->convexityAdjustment( ! floatingCoupon->indexFixing()); cf[16]=floatingCoupon->spread(); cf[17]=std::string("N/A"); --- 96,100 ---- cf[13]=floatingCoupon->gearing(); cf[14]=floatingCoupon->indexFixing(); ! cf[15]=floatingCoupon->convexityAdjustment(); cf[16]=floatingCoupon->spread(); cf[17]=std::string("N/A"); *************** *** 107,112 **** cf[13]=cmsCoupon->gearing(); cf[14]=cmsCoupon->indexFixing(); ! cf[15]=cmsCoupon->convexityAdjustment( ! cmsCoupon->indexFixing()); cf[16]=cmsCoupon->spread(); cf[17]=cmsCoupon->cap(); --- 106,110 ---- cf[13]=cmsCoupon->gearing(); cf[14]=cmsCoupon->indexFixing(); ! cf[15]=cmsCoupon->convexityAdjustment(); cf[16]=cmsCoupon->spread(); cf[17]=cmsCoupon->cap(); |
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From: Ferdinando A. <na...@us...> - 2006-08-01 12:00:42
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27905/gensrc/metadata Modified Files: Tag: R000313f0-branch interpolation.xml Log Message: commenting out features not available in QuantLib 0.3.13 Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.26 retrieving revision 1.26.2.1 diff -C2 -d -r1.26 -r1.26.2.1 *** interpolation.xml 31 Jul 2006 11:21:15 -0000 1.26 --- interpolation.xml 1 Aug 2006 12:00:39 -0000 1.26.2.1 *************** *** 460,463 **** --- 460,464 ---- </Member> + <!-- <Member name='qlSABRInterpolationEndCriteria' libraryClass='SABRInterpolation'> <description>Returns the optimization end criteria of the SABR fit</description> *************** *** 474,477 **** --- 475,479 ---- </ReturnValue> </Member> + --> <!-- Interpolation2D interface --> |
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From: Ferdinando A. <na...@us...> - 2006-08-01 11:54:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25073/qlo Modified Files: Tag: R000313f0-branch couponvectors.cpp couponvectors.hpp enumclassctors.cpp enumclassctors.hpp index.cpp index.hpp optimization.cpp optimization.hpp typefactory.hpp Log Message: commenting out features not available in QuantLib 0.3.13 Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.12 retrieving revision 1.12.2.1 diff -C2 -d -r1.12 -r1.12.2.1 *** couponvectors.hpp 31 Jul 2006 11:21:16 -0000 1.12 --- couponvectors.hpp 1 Aug 2006 11:54:06 -0000 1.12.2.1 *************** *** 24,28 **** #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> ! #include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/analysis.hpp> --- 24,28 ---- #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> ! //#include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/analysis.hpp> *************** *** 68,88 **** }; ! class CMSCouponVector : public CouponVector { ! public: ! CMSCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! QuantLib::BusinessDayConvention paymentAdjustment, ! const std::vector<QuantLib::Real>& nominals, ! const boost::shared_ptr<QuantLib::SwapIndex>& index, ! QuantLib::Integer fixingDays, ! const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Real>& baseRates, ! const std::vector<QuantLib::Real>& fractions, ! const std::vector<QuantLib::Real>& caps, ! const std::vector<QuantLib::Real>& floors, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment); ! virtual std::vector<std::vector<double> > getLeg(); ! }; } --- 68,88 ---- }; ! //class CMSCouponVector : public CouponVector { ! // public: ! // CMSCouponVector( ! // const boost::shared_ptr<QuantLib::Schedule>& schedule, ! // QuantLib::BusinessDayConvention paymentAdjustment, ! // const std::vector<QuantLib::Real>& nominals, ! // const boost::shared_ptr<QuantLib::SwapIndex>& index, ! // QuantLib::Integer fixingDays, ! // const QuantLib::DayCounter& dayCounter, ! // const std::vector<QuantLib::Real>& baseRates, ! // const std::vector<QuantLib::Real>& fractions, ! // const std::vector<QuantLib::Real>& caps, ! // const std::vector<QuantLib::Real>& floors, ! // const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! // QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment); ! // virtual std::vector<std::vector<double> > getLeg(); ! //}; } Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.13 retrieving revision 1.13.2.1 diff -C2 -d -r1.13 -r1.13.2.1 *** couponvectors.cpp 31 Jul 2006 11:21:16 -0000 1.13 --- couponvectors.cpp 1 Aug 2006 11:54:06 -0000 1.13.2.1 *************** *** 167,217 **** } ! CMSCouponVector::CMSCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! QuantLib::BusinessDayConvention paymentAdjustment, ! const std::vector<QuantLib::Real>& nominals, ! const boost::shared_ptr<QuantLib::SwapIndex>& index, ! QuantLib::Integer fixingDays, ! const QuantLib::DayCounter& dayCounter, ! const std::vector<QuantLib::Rate>& baseRates, ! const std::vector<QuantLib::Real>& fractions, ! const std::vector<QuantLib::Rate>& caps, ! const std::vector<QuantLib::Rate>& floors, ! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment) ! { ! cashFlowVector_ = QuantLib::CMSCouponVector(*schedule, ! paymentAdjustment, ! nominals, ! index, ! fixingDays, ! dayCounter, ! baseRates, ! fractions, ! caps, ! floors, ! vol, ! typeOfConvexityAdjustment); ! } ! std::vector<std::vector<double> > CMSCouponVector::getLeg() ! { ! std::vector<std::vector<double> > leg; ! for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) { ! std::vector<double> cf; ! QuantLib::ParCoupon& c = ! (QuantLib::ParCoupon&) *(cashFlowVector_[i]); ! cf.push_back(c.accrualStartDate().serialNumber()); ! cf.push_back(c.accrualEndDate().serialNumber()); ! cf.push_back(c.date().serialNumber()); ! cf.push_back(c.fixingDate().serialNumber()); ! cf.push_back(c.accrualPeriod()); ! cf.push_back(c.accrualDays()); ! cf.push_back(c.amount()); ! cf.push_back(c.indexFixing()); ! leg.push_back(cf); ! } ! return leg; ! } } --- 167,217 ---- } ! //CMSCouponVector::CMSCouponVector( ! // const boost::shared_ptr<QuantLib::Schedule>& schedule, ! // QuantLib::BusinessDayConvention paymentAdjustment, ! // const std::vector<QuantLib::Real>& nominals, ! // const boost::shared_ptr<QuantLib::SwapIndex>& index, ! // QuantLib::Integer fixingDays, ! // const QuantLib::DayCounter& dayCounter, ! // const std::vector<QuantLib::Rate>& baseRates, ! // const std::vector<QuantLib::Real>& fractions, ! // const std::vector<QuantLib::Rate>& caps, ! // const std::vector<QuantLib::Rate>& floors, ! // const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol, ! // QuantLib::ConvexityAdjustmentPricer::Type typeOfConvexityAdjustment) ! //{ ! // cashFlowVector_ = QuantLib::CMSCouponVector(*schedule, ! // paymentAdjustment, ! // nominals, ! // index, ! // fixingDays, ! // dayCounter, ! // baseRates, ! // fractions, ! // caps, ! // floors, ! // vol, ! // typeOfConvexityAdjustment); ! //} ! //std::vector<std::vector<double> > CMSCouponVector::getLeg() ! //{ ! // std::vector<std::vector<double> > leg; ! // for (std::size_t i=0 ; i < cashFlowVector_.size() ; i++) { ! // std::vector<double> cf; ! // QuantLib::ParCoupon& c = ! // (QuantLib::ParCoupon&) *(cashFlowVector_[i]); ! // cf.push_back(c.accrualStartDate().serialNumber()); ! // cf.push_back(c.accrualEndDate().serialNumber()); ! // cf.push_back(c.date().serialNumber()); ! // cf.push_back(c.fixingDate().serialNumber()); ! // cf.push_back(c.accrualPeriod()); ! // cf.push_back(c.accrualDays()); ! // cf.push_back(c.amount()); ! // cf.push_back(c.indexFixing()); ! // leg.push_back(cf); ! // } ! // return leg; ! //} } Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.12 retrieving revision 1.12.2.1 diff -C2 -d -r1.12 -r1.12.2.1 *** index.cpp 31 Jul 2006 11:21:16 -0000 1.12 --- index.cpp 1 Aug 2006 11:54:06 -0000 1.12.2.1 *************** *** 25,29 **** #include <qlo/index.hpp> #include <qlo/typefactory.hpp> ! #include <ql/Indexes/swapindex.hpp> namespace QuantLibAddin { --- 25,29 ---- #include <qlo/index.hpp> #include <qlo/typefactory.hpp> ! //#include <ql/Indexes/swapindex.hpp> namespace QuantLibAddin { *************** *** 46,65 **** } ! SwapIndex::SwapIndex(const std::string& familyName, ! long years, ! long fixingDays, ! QuantLib::Currency& crr, ! const QuantLib::Calendar& calendar, ! QuantLib::Frequency fixedLegFreq, ! QuantLib::BusinessDayConvention fixedLegBDC, ! const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Index>( ! new QuantLib::SwapIndex(familyName, years, ! fixingDays, crr, calendar, ! fixedLegFreq, fixedLegBDC, ! fixedLegDayCounter, index)); ! } } --- 46,65 ---- } ! //SwapIndex::SwapIndex(const std::string& familyName, ! // long years, ! // long fixingDays, ! // QuantLib::Currency& crr, ! // const QuantLib::Calendar& calendar, ! // QuantLib::Frequency fixedLegFreq, ! // QuantLib::BusinessDayConvention fixedLegBDC, ! // const QuantLib::DayCounter& fixedLegDayCounter, ! // const boost::shared_ptr<QuantLib::Xibor>& index) ! //{ ! // libraryObject_ = boost::shared_ptr<QuantLib::Index>( ! // new QuantLib::SwapIndex(familyName, years, ! // fixingDays, crr, calendar, ! // fixedLegFreq, fixedLegBDC, ! // fixedLegDayCounter, index)); ! //} } Index: optimization.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.hpp,v retrieving revision 1.2 retrieving revision 1.2.2.1 diff -C2 -d -r1.2 -r1.2.2.1 *** optimization.hpp 18 Jul 2006 16:01:08 -0000 1.2 --- optimization.hpp 1 Aug 2006 11:54:06 -0000 1.2.2.1 *************** *** 36,46 **** QuantLib::OptimizationMethod> {}; ! class ConjugateGradient : public OptimizationMethod ! { ! public: ! ConjugateGradient(const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch); ! }; class LevenbergMarquardt : public OptimizationMethod --- 36,46 ---- QuantLib::OptimizationMethod> {}; ! //class ConjugateGradient : public OptimizationMethod ! //{ ! // public: ! // ConjugateGradient(const QuantLib::EndCriteria& endCriteria, ! // const QuantLib::Array& initialValue, ! // const boost::shared_ptr<QuantLib::LineSearch>& lineSearch); ! //}; class LevenbergMarquardt : public OptimizationMethod Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.10 retrieving revision 1.10.2.1 diff -C2 -d -r1.10 -r1.10.2.1 *** enumclassctors.hpp 31 Jul 2006 11:21:16 -0000 1.10 --- enumclassctors.hpp 1 Aug 2006 11:54:06 -0000 1.10.2.1 *************** *** 122,140 **** /* *** EuriborSwapFixA *** */ ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y(); ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y(); /* *** YieldTermStructure *** */ --- 122,140 ---- /* *** EuriborSwapFixA *** */ ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y(); ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y(); /* *** YieldTermStructure *** */ Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.24 retrieving revision 1.24.2.1 diff -C2 -d -r1.24 -r1.24.2.1 *** typefactory.hpp 31 Jul 2006 11:21:16 -0000 1.24 --- typefactory.hpp 1 Aug 2006 11:54:06 -0000 1.24.2.1 *************** *** 26,30 **** #include <ql/Math/interpolation2D.hpp> #include <ql/Indexes/euribor.hpp> ! #include <ql/Indexes/euriborswapfixa.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <oh/exception.hpp> --- 26,30 ---- #include <ql/Math/interpolation2D.hpp> #include <ql/Indexes/euribor.hpp> ! //#include <ql/Indexes/euriborswapfixa.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <oh/exception.hpp> *************** *** 210,227 **** /* *** EuriborSwapFixA *** */ ! typedef boost::shared_ptr<QuantLib::EuriborSwapFixA>(*EuriborSwapFixAConstructor)(); ! template<> ! class Create<boost::shared_ptr<QuantLib::EuriborSwapFixA> > : ! private RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry> { ! public: ! boost::shared_ptr<QuantLib::EuriborSwapFixA> operator() ( ! const std::string& euriborSwapFixAID) { ! EuriborSwapFixAConstructor euriborSwapFixAConstructor = ! getType<std::string, EuriborSwapFixAConstructor>(euriborSwapFixAID); ! return euriborSwapFixAConstructor(); ! } ! using RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry>::checkType; ! }; // a singleton to store the Handle<YieldTermStructure> --- 210,227 ---- /* *** EuriborSwapFixA *** */ ! //typedef boost::shared_ptr<QuantLib::EuriborSwapFixA>(*EuriborSwapFixAConstructor)(); ! //template<> ! //class Create<boost::shared_ptr<QuantLib::EuriborSwapFixA> > : ! // private RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry> { ! //public: ! // boost::shared_ptr<QuantLib::EuriborSwapFixA> operator() ( ! // const std::string& euriborSwapFixAID) { ! // EuriborSwapFixAConstructor euriborSwapFixAConstructor = ! // getType<std::string, EuriborSwapFixAConstructor>(euriborSwapFixAID); ! // return euriborSwapFixAConstructor(); ! // } ! // using RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry>::checkType; ! //}; // a singleton to store the Handle<YieldTermStructure> Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.8 retrieving revision 1.8.2.1 diff -C2 -d -r1.8 -r1.8.2.1 *** index.hpp 28 Jul 2006 16:10:55 -0000 1.8 --- index.hpp 1 Aug 2006 11:54:06 -0000 1.8.2.1 *************** *** 31,37 **** class Index : public ObjHandler::LibraryObject<QuantLib::Index> {}; ! class InterestRateIndex : public Index {}; ! class Xibor : public InterestRateIndex { public: Xibor(const std::string& indexName, --- 31,38 ---- class Index : public ObjHandler::LibraryObject<QuantLib::Index> {}; ! //class InterestRateIndex : public Index {}; ! //class Xibor : public InterestRateIndex { ! class Xibor : public Index { public: Xibor(const std::string& indexName, *************** *** 45,60 **** }; ! class SwapIndex : public InterestRateIndex { ! public: ! SwapIndex(const std::string& familyName, ! long years, ! long fixingDays, ! QuantLib::Currency& crr, ! const QuantLib::Calendar& calendar, ! QuantLib::Frequency fixedLegFreq, ! QuantLib::BusinessDayConvention fixedLegBDC, ! const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index); ! }; } --- 46,61 ---- }; ! //class SwapIndex : public InterestRateIndex { ! //public: ! // SwapIndex(const std::string& familyName, ! // long years, ! // long fixingDays, ! // QuantLib::Currency& crr, ! // const QuantLib::Calendar& calendar, ! // QuantLib::Frequency fixedLegFreq, ! // QuantLib::BusinessDayConvention fixedLegBDC, ! // const QuantLib::DayCounter& fixedLegDayCounter, ! // const boost::shared_ptr<QuantLib::Xibor>& index); ! //}; } Index: optimization.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.cpp,v retrieving revision 1.4 retrieving revision 1.4.2.1 diff -C2 -d -r1.4 -r1.4.2.1 *** optimization.cpp 31 Jul 2006 11:21:16 -0000 1.4 --- optimization.cpp 1 Aug 2006 11:54:06 -0000 1.4.2.1 *************** *** 36,49 **** ! ConjugateGradient::ConjugateGradient( ! const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::ConjugateGradient(endCriteria, ! initialValue, ! lineSearch)); ! } LevenbergMarquardt::LevenbergMarquardt() --- 36,49 ---- ! //ConjugateGradient::ConjugateGradient( ! // const QuantLib::EndCriteria& endCriteria, ! // const QuantLib::Array& initialValue, ! // const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) ! //{ ! // libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! // new QuantLib::ConjugateGradient(endCriteria, ! // initialValue, ! // lineSearch)); ! //} LevenbergMarquardt::LevenbergMarquardt() Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.12 retrieving revision 1.12.2.1 diff -C2 -d -r1.12 -r1.12.2.1 *** enumclassctors.cpp 31 Jul 2006 11:21:16 -0000 1.12 --- enumclassctors.cpp 1 Aug 2006 11:54:06 -0000 1.12.2.1 *************** *** 302,379 **** /* *** EuriborSwapFixA *** */ ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA1Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA2Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA3Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA4Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA5Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA6Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA7Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA8Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA9Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA10Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA12Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA15Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA20Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA25Y()); ! } ! boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y() { ! return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! new QuantLib::EuriborSwapFixA30Y()); ! } /* *** YieldTermStructure *** */ --- 302,379 ---- /* *** EuriborSwapFixA *** */ ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA1Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA2Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA3Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA4Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA5Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA6Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA7Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA8Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA9Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA10Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA12Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA15Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA20Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA25Y()); ! //} ! //boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y() { ! // return boost::shared_ptr<QuantLib::EuriborSwapFixA>( ! // new QuantLib::EuriborSwapFixA30Y()); ! //} /* *** YieldTermStructure *** */ |
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From: Ferdinando A. <na...@us...> - 2006-08-01 11:54:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25073/gensrc Modified Files: Tag: R000313f0-branch Makefile.vc gensrc_vc8.vcproj Log Message: commenting out features not available in QuantLib 0.3.13 Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.19 retrieving revision 1.19.2.1 diff -C2 -d -r1.19 -r1.19.2.1 *** Makefile.vc 29 Jul 2006 15:32:31 -0000 1.19 --- Makefile.vc 1 Aug 2006 11:54:05 -0000 1.19.2.1 *************** *** 26,30 **** metadata\interpolation.xml \ metadata\mathf.xml \ ! metadata\marketmodels.xml \ metadata\optimization.xml \ metadata\options.xml \ --- 26,30 ---- metadata\interpolation.xml \ metadata\mathf.xml \ ! # metadata\marketmodels.xml \ metadata\optimization.xml \ metadata\options.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.19 retrieving revision 1.19.2.1 diff -C2 -d -r1.19 -r1.19.2.1 *** gensrc_vc8.vcproj 29 Jul 2006 15:32:31 -0000 1.19 --- gensrc_vc8.vcproj 1 Aug 2006 11:54:05 -0000 1.19.2.1 *************** *** 124,131 **** </File> <File - RelativePath="metadata\marketmodels.xml" - > - </File> - <File RelativePath="metadata\mathf.xml" > --- 124,127 ---- |
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From: Ferdinando A. <na...@us...> - 2006-08-01 11:54:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25073/gensrc/metadata Modified Files: Tag: R000313f0-branch couponvectors.xml enumtypes.xml index.xml optimization.xml Log Message: commenting out features not available in QuantLib 0.3.13 Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.21 retrieving revision 1.21.2.1 diff -C2 -d -r1.21 -r1.21.2.1 *** index.xml 31 Jul 2006 11:21:15 -0000 1.21 --- index.xml 1 Aug 2006 11:54:05 -0000 1.21.2.1 *************** *** 87,91 **** <!-- InterestRateIndex interface --> ! <Member name='qlIndexFamilyName' libraryClass='InterestRateIndex'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> --- 87,91 ---- <!-- InterestRateIndex interface --> ! <!--Member name='qlIndexFamilyName' libraryClass='InterestRateIndex'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> *************** *** 196,200 **** <tensorRank>vector</tensorRank> </ReturnValue> ! </Member> <!-- Xibor interface --> --- 196,200 ---- <tensorRank>vector</tensorRank> </ReturnValue> ! </Member--> <!-- Xibor interface --> *************** *** 335,339 **** <!-- SwapIndex interface --> ! <Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> --- 335,339 ---- <!-- SwapIndex interface --> ! <!-- <Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> *************** *** 365,369 **** </ReturnValue> </Member> ! <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> --- 365,369 ---- </ReturnValue> </Member> ! --> <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> *************** *** 386,390 **** <!-- SwapIndex constructor --> ! <Constructor name='qlSwapIndex'> <libraryFunction>SwapIndex</libraryFunction> --- 386,390 ---- <!-- SwapIndex constructor --> ! <!-- <Constructor name='qlSwapIndex'> <libraryFunction>SwapIndex</libraryFunction> *************** *** 442,446 **** </ParameterList> </Constructor> ! </Functions> </Category> --- 442,447 ---- </ParameterList> </Constructor> ! --> ! </Functions> </Category> Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.8 retrieving revision 1.8.2.1 diff -C2 -d -r1.8 -r1.8.2.1 *** enumtypes.xml 31 Jul 2006 11:21:15 -0000 1.8 --- enumtypes.xml 1 Aug 2006 11:54:05 -0000 1.8.2.1 *************** *** 901,904 **** --- 901,905 ---- </Enumeration> + <!-- <Enumeration> <type>QuantLib::ConvexityAdjustmentPricer::Type</type> *************** *** 915,918 **** --- 916,920 ---- </EnumerationDefinitions> </Enumeration> + --> </Enumerations> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.17 retrieving revision 1.17.2.1 diff -C2 -d -r1.17 -r1.17.2.1 *** couponvectors.xml 31 Jul 2006 11:21:15 -0000 1.17 --- couponvectors.xml 1 Aug 2006 11:54:05 -0000 1.17.2.1 *************** *** 87,91 **** </Constructor> ! <Constructor name='qlCMSCouponVector'> <libraryFunction>CMSCouponVector</libraryFunction> <supportedPlatforms> --- 87,91 ---- </Constructor> ! <!--Constructor name='qlCMSCouponVector'> <libraryFunction>CMSCouponVector</libraryFunction> <supportedPlatforms> *************** *** 156,160 **** </Parameters> </ParameterList> ! </Constructor> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> --- 156,160 ---- </Parameters> </ParameterList> ! </Constructor--> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.6 retrieving revision 1.6.2.1 diff -C2 -d -r1.6 -r1.6.2.1 *** optimization.xml 31 Jul 2006 11:21:15 -0000 1.6 --- optimization.xml 1 Aug 2006 11:54:05 -0000 1.6.2.1 *************** *** 44,47 **** --- 44,48 ---- <ParameterList> <Parameters> + <!-- <Parameter name="isPositive"> <type>bool</type> *************** *** 49,52 **** --- 50,54 ---- <description>TRUE for positive optimization</description> </Parameter> + --> </Parameters> </ParameterList> *************** *** 118,121 **** --- 120,124 ---- <!-- OptimizationMethod derived classes' constructors --> + <!-- <Constructor name='qlConjugateGradient'> <libraryFunction>ConjugateGradient</libraryFunction> *************** *** 143,146 **** --- 146,150 ---- </ParameterList> </Constructor> + --> <Constructor name='qlLevenbergMarquardt'> |
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From: Ferdinando A. <na...@us...> - 2006-08-01 11:54:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25073 Modified Files: Tag: R000313f0-branch QuantLibObjects_vc8.vcproj Log Message: commenting out features not available in QuantLib 0.3.13 Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.31 retrieving revision 1.31.2.1 diff -C2 -d -r1.31 -r1.31.2.1 *** QuantLibObjects_vc8.vcproj 14 Jul 2006 17:35:30 -0000 1.31 --- QuantLibObjects_vc8.vcproj 1 Aug 2006 11:54:04 -0000 1.31.2.1 *************** *** 327,342 **** <Files> <Filter - Name="MarketModels" - > - <File - RelativePath="qlo\marketmodels.cpp" - > - </File> - <File - RelativePath="qlo\marketmodels.hpp" - > - </File> - </Filter> - <Filter Name="Enumerations" > --- 327,330 ---- *************** *** 442,453 **** </File> <File - RelativePath="qlo\vo_marketmodels.cpp" - > - </File> - <File - RelativePath="qlo\vo_marketmodels.hpp" - > - </File> - <File RelativePath="qlo\vo_mathf.cpp" > --- 430,433 ---- |
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From: Ferdinando A. <na...@us...> - 2006-08-01 07:37:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3460/qlo Modified Files: couponvectors.cpp Log Message: bug fix Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** couponvectors.cpp 1 Aug 2006 07:29:17 -0000 1.17 --- couponvectors.cpp 1 Aug 2006 07:37:00 -0000 1.18 *************** *** 37,41 **** std::vector<std::vector<boost::any> > flowAnalysis_; ! std::vector<boost::any> headings(18); headings[0]=std::string("Date"); headings[1]=std::string("Amount"); --- 37,43 ---- std::vector<std::vector<boost::any> > flowAnalysis_; ! QuantLib::Size numberOfColumn = 20; ! ! std::vector<boost::any> headings(numberOfColumn); headings[0]=std::string("Date"); headings[1]=std::string("Amount"); *************** *** 65,69 **** for(QuantLib::Size i=0; i<cashflows.size(); i++) { ! std::vector<boost::any> cf(20, std::string("N/A")); cf[0]=cashflows[i]->date().serialNumber(); cf[1]=cashflows[i]->amount(); --- 67,71 ---- for(QuantLib::Size i=0; i<cashflows.size(); i++) { ! std::vector<boost::any> cf(numberOfColumn, std::string("N/A")); cf[0]=cashflows[i]->date().serialNumber(); cf[1]=cashflows[i]->amount(); |
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From: Ferdinando A. <na...@us...> - 2006-08-01 07:29:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32394/qlo Modified Files: couponvectors.cpp Log Message: richer flow analysis Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** couponvectors.cpp 31 Jul 2006 18:17:37 -0000 1.16 --- couponvectors.cpp 1 Aug 2006 07:29:17 -0000 1.17 *************** *** 36,69 **** { std::vector<std::vector<boost::any> > flowAnalysis_; - std::vector<boost::any> headings; - headings.push_back(std::string("Date")); - headings.push_back(std::string("Amount")); ! headings.push_back(std::string("Nominal")); ! headings.push_back(std::string("Accrual Start Date")); ! headings.push_back(std::string("Accrual End Date")); ! headings.push_back(std::string("Accrual Days")); ! headings.push_back(std::string("Day Counter")); ! headings.push_back(std::string("Accrual Period")); ! headings.push_back(std::string("Effective Rate")); ! headings.push_back(std::string("Accrued Amount")); - headings.push_back(std::string("Fixing Days")); - headings.push_back(std::string("Fixing Dates")); - //headings.push_back(std::string("Index")); - headings.push_back(std::string("Floor")); - headings.push_back(std::string("Gearing")); - headings.push_back(std::string("Index Fixing")); - headings.push_back(std::string("Conv. Adj.")); - headings.push_back(std::string("Spread")); - headings.push_back(std::string("Cap")); flowAnalysis_.push_back(headings); for(QuantLib::Size i=0; i<cashflows.size(); i++) { ! std::vector<boost::any> cf; ! ! cf.push_back(cashflows[i]->date().serialNumber()); ! cf.push_back(cashflows[i]->amount()); boost::shared_ptr<QuantLib::Coupon> c = --- 36,71 ---- { std::vector<std::vector<boost::any> > flowAnalysis_; ! std::vector<boost::any> headings(18); ! headings[0]=std::string("Date"); ! headings[1]=std::string("Amount"); ! ! headings[2]=std::string("Nominal"); ! headings[3]=std::string("Accrual Start Date"); ! headings[4]=std::string("Accrual End Date"); ! headings[5]=std::string("Accrual Days"); ! headings[6]=std::string("Day Counter"); ! headings[7]=std::string("Accrual Period"); ! headings[8]=std::string("Effective Rate"); ! ! headings[ 9]=std::string("Fixing Days"); ! headings[10]=std::string("Fixing Dates"); ! headings[11]=std::string("Index"); ! headings[12]=std::string("Floor"); ! headings[13]=std::string("Gearing"); ! headings[14]=std::string("Index Fixing"); ! headings[15]=std::string("Conv. Adj."); ! headings[16]=std::string("Spread"); ! headings[17]=std::string("Cap"); ! headings[18]=std::string("---"); ! headings[19]=std::string("---"); flowAnalysis_.push_back(headings); for(QuantLib::Size i=0; i<cashflows.size(); i++) { ! std::vector<boost::any> cf(20, std::string("N/A")); ! cf[0]=cashflows[i]->date().serialNumber(); ! cf[1]=cashflows[i]->amount(); boost::shared_ptr<QuantLib::Coupon> c = *************** *** 71,82 **** QL_REQUIRE(c, "error processing cash flow vector - unable to convert item #" << i << " to an object of class QuantLib::Coupon") ! cf.push_back(c->nominal()); ! cf.push_back(c->accrualStartDate().serialNumber()); ! cf.push_back(c->accrualEndDate().serialNumber()); ! cf.push_back(c->accrualDays()); ! cf.push_back(c->dayCounter().name()); ! cf.push_back(c->accrualPeriod()); ! cf.push_back(c->rate()); ! cf.push_back(c->accruedAmount(QuantLib::Settings::instance().evaluationDate())); boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = --- 73,83 ---- QL_REQUIRE(c, "error processing cash flow vector - unable to convert item #" << i << " to an object of class QuantLib::Coupon") ! cf[2]=c->nominal(); ! cf[3]=c->accrualStartDate().serialNumber(); ! cf[4]=c->accrualEndDate().serialNumber(); ! cf[5]=c->accrualDays(); ! cf[6]=c->dayCounter().name(); ! cf[7]=c->accrualPeriod(); ! cf[8]=c->rate(); boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = *************** *** 87,122 **** cashflows[i]); if (floatingCoupon!=0) { ! cf.push_back(floatingCoupon->fixingDays()); ! cf.push_back(floatingCoupon->fixingDate().serialNumber()); ! //cf.push_back(floatingCoupon->index()); ! cf.push_back(std::string("N/A")); ! cf.push_back(floatingCoupon->gearing()); ! cf.push_back(floatingCoupon->indexFixing()); ! cf.push_back(floatingCoupon->convexityAdjustment( ! floatingCoupon->indexFixing())); ! cf.push_back(floatingCoupon->spread()); ! cf.push_back(std::string("N/A")); } else if (cmsCoupon!=0) { ! cf.push_back(cmsCoupon->fixingDays()); ! cf.push_back(cmsCoupon->fixingDate().serialNumber()); ! //cf.push_back(cmsCoupon->index()); ! cf.push_back(cmsCoupon->floor()); ! cf.push_back(cmsCoupon->gearing()); ! cf.push_back(cmsCoupon->indexFixing()); ! cf.push_back(cmsCoupon->convexityAdjustment( ! cmsCoupon->indexFixing())); ! cf.push_back(cmsCoupon->spread()); ! cf.push_back(cmsCoupon->cap()); ! } else { ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); } - flowAnalysis_.push_back(cf); } --- 88,113 ---- cashflows[i]); if (floatingCoupon!=0) { ! cf[ 9]=floatingCoupon->fixingDays(); ! cf[10]=floatingCoupon->fixingDate().serialNumber(); ! cf[11]=std::string("N/A"); ! cf[12]=std::string("N/A"); ! cf[13]=floatingCoupon->gearing(); ! cf[14]=floatingCoupon->indexFixing(); ! cf[15]=floatingCoupon->convexityAdjustment( ! floatingCoupon->indexFixing()); ! cf[16]=floatingCoupon->spread(); ! cf[17]=std::string("N/A"); } else if (cmsCoupon!=0) { ! cf[ 9]=cmsCoupon->fixingDays(); ! cf[10]=cmsCoupon->fixingDate().serialNumber(); ! cf[11]=cmsCoupon->index()->name(); ! cf[12]=cmsCoupon->floor(); ! cf[13]=cmsCoupon->gearing(); ! cf[14]=cmsCoupon->indexFixing(); ! cf[15]=cmsCoupon->convexityAdjustment( ! cmsCoupon->indexFixing()); ! cf[16]=cmsCoupon->spread(); ! cf[17]=cmsCoupon->cap(); } flowAnalysis_.push_back(cf); } |
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From: Ferdinando A. <na...@us...> - 2006-08-01 06:50:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11447/gensrc/metadata Modified Files: bonds.xml capfloor.xml couponvectors.xml swap.xml vanillaswap.xml Log Message: datatype conversion for vector/matrix of any Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** vanillaswap.xml 31 Jul 2006 19:18:13 -0000 1.15 --- vanillaswap.xml 1 Aug 2006 06:50:40 -0000 1.16 *************** *** 152,156 **** </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 152,156 ---- </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** bonds.xml 31 Jul 2006 18:17:37 -0000 1.17 --- bonds.xml 1 Aug 2006 06:50:40 -0000 1.18 *************** *** 30,34 **** </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 30,34 ---- </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** swap.xml 31 Jul 2006 18:17:37 -0000 1.17 --- swap.xml 1 Aug 2006 06:50:40 -0000 1.18 *************** *** 59,63 **** </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 59,63 ---- </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** couponvectors.xml 31 Jul 2006 18:17:37 -0000 1.18 --- couponvectors.xml 1 Aug 2006 06:50:40 -0000 1.19 *************** *** 168,172 **** </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 168,172 ---- </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** capfloor.xml 31 Jul 2006 18:17:37 -0000 1.12 --- capfloor.xml 1 Aug 2006 06:50:40 -0000 1.13 *************** *** 132,136 **** </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 132,136 ---- </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>matrix</tensorRank> </ReturnValue> |
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From: Eric E. <eri...@us...> - 2006-07-31 19:18:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8347/gensrc/metadata Modified Files: vanillaswap.xml Log Message: datatype conversion for vector/matrix of any Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** vanillaswap.xml 31 Jul 2006 18:17:37 -0000 1.14 --- vanillaswap.xml 31 Jul 2006 19:18:13 -0000 1.15 *************** *** 122,126 **** </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 122,126 ---- </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>matrix</tensorRank> </ReturnValue> |
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From: Ferdinando A. <na...@us...> - 2006-07-31 18:59:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv720/gensrc/metadata Modified Files: enumtypes.xml Log Message: (almost always) ISDA compliant strings Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** enumtypes.xml 31 Jul 2006 18:17:37 -0000 1.9 --- enumtypes.xml 31 Jul 2006 18:59:37 -0000 1.10 *************** *** 729,737 **** <!-- (e) --> <EnumerationDefinition> ! <string>30/360 (BondBasis)</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::BondBasis)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>BondBasis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::BondBasis)</value> </EnumerationDefinition> --- 729,737 ---- <!-- (e) --> <EnumerationDefinition> ! <string>30/360 (Bond Basis)</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::BondBasis)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Bond Basis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::BondBasis)</value> </EnumerationDefinition> *************** *** 747,755 **** <!-- (f) --> <EnumerationDefinition> ! <string>30/360 (EurobondBasis)</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>EurobondBasis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> --- 747,755 ---- <!-- (f) --> <EnumerationDefinition> ! <string>30/360 (Eurobond Basis)</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Eurobond Basis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> |
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From: Ferdinando A. <na...@us...> - 2006-07-31 18:17:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16449/qlo Modified Files: bonds.cpp bonds.hpp capfloor.cpp capfloor.hpp couponvectors.cpp couponvectors.hpp swap.cpp swap.hpp vanillaswap.hpp Log Message: richer flow analysis Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** couponvectors.hpp 31 Jul 2006 15:48:10 -0000 1.13 --- couponvectors.hpp 31 Jul 2006 18:17:37 -0000 1.14 *************** *** 31,37 **** typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > CashFlowVector; ! // std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector); ! std::vector<std::vector<double> > flowAnalysis(CashFlowVector); ! class CouponVector : public ObjHandler::Object { --- 31,35 ---- typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > CashFlowVector; ! std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector); class CouponVector : public ObjHandler::Object { *************** *** 40,45 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const; const CashFlowVector& getVector(); ! const std::vector<std::vector<double> > getLeg() ! //const std::vector<std::vector<boost::any> > getLeg() { return flowAnalysis(cashFlowVector_); --- 38,42 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& h) const; const CashFlowVector& getVector(); ! const std::vector<std::vector<boost::any> > getLeg() { return flowAnalysis(cashFlowVector_); Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** couponvectors.cpp 31 Jul 2006 17:09:19 -0000 1.15 --- couponvectors.cpp 31 Jul 2006 18:17:37 -0000 1.16 *************** *** 33,62 **** namespace QuantLibAddin { ! std::vector<std::vector<double> > flowAnalysis(CashFlowVector cashflows) ! //std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector cashflows) { ! std::vector<std::vector<double> > flowAnalysis_; ! //std::vector<std::vector<boost::any> > flowAnalysis_; ! //std::vector<boost::any> headings; ! //headings.push_back(std::string("Date")); ! //headings.push_back(std::string("Amount")); ! //headings.push_back(std::string("Nominal")); ! //headings.push_back(std::string("Accrual Start Date")); ! //headings.push_back(std::string("Accrual End Date")); ! //headings.push_back(std::string("Accrual Days")); ! //headings.push_back(std::string("Day Counter")); ! //headings.push_back(std::string("Accrual Period")); ! //headings.push_back(std::string("Effective Rate")); ! //headings.push_back(std::string("Fixing Days")); ! //headings.push_back(std::string("Fixing Dates")); ! //headings.push_back(std::string("Gearing")); ! //headings.push_back(std::string("Index Fixing")); ! //headings.push_back(std::string("Conv. Adj.")); ! //headingspush_back(std::string("Spread")); ! //flowAnalysis_.push_back(headings); for(QuantLib::Size i=0; i<cashflows.size(); i++) { ! std::vector<double> cf; cf.push_back(cashflows[i]->date().serialNumber()); --- 33,66 ---- namespace QuantLibAddin { ! std::vector<std::vector<boost::any> > flowAnalysis(CashFlowVector cashflows) { ! std::vector<std::vector<boost::any> > flowAnalysis_; ! std::vector<boost::any> headings; ! headings.push_back(std::string("Date")); ! headings.push_back(std::string("Amount")); ! ! headings.push_back(std::string("Nominal")); ! headings.push_back(std::string("Accrual Start Date")); ! headings.push_back(std::string("Accrual End Date")); ! headings.push_back(std::string("Accrual Days")); ! headings.push_back(std::string("Day Counter")); ! headings.push_back(std::string("Accrual Period")); ! headings.push_back(std::string("Effective Rate")); ! headings.push_back(std::string("Accrued Amount")); ! ! headings.push_back(std::string("Fixing Days")); ! headings.push_back(std::string("Fixing Dates")); ! //headings.push_back(std::string("Index")); ! headings.push_back(std::string("Floor")); ! headings.push_back(std::string("Gearing")); ! headings.push_back(std::string("Index Fixing")); ! headings.push_back(std::string("Conv. Adj.")); ! headings.push_back(std::string("Spread")); ! headings.push_back(std::string("Cap")); ! flowAnalysis_.push_back(headings); for(QuantLib::Size i=0; i<cashflows.size(); i++) { ! std::vector<boost::any> cf; cf.push_back(cashflows[i]->date().serialNumber()); *************** *** 71,100 **** cf.push_back(c->accrualEndDate().serialNumber()); cf.push_back(c->accrualDays()); ! //cf.push_back(c->dayCounter().name()); cf.push_back(c->accrualPeriod()); cf.push_back(c->rate()); boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>( cashflows[i]); if (floatingCoupon!=0) { cf.push_back(floatingCoupon->fixingDays()); cf.push_back(floatingCoupon->fixingDate().serialNumber()); cf.push_back(floatingCoupon->gearing()); cf.push_back(floatingCoupon->indexFixing()); ! QuantLib::Rate convAdj = floatingCoupon->rate()- floatingCoupon->spread(); ! convAdj -= floatingCoupon->gearing()* ! floatingCoupon->indexFixing(); ! if (floatingCoupon->gearing()!=0) ! convAdj /= floatingCoupon->gearing(); ! cf.push_back(convAdj); cf.push_back(floatingCoupon->spread()); } else { ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); } --- 75,120 ---- cf.push_back(c->accrualEndDate().serialNumber()); cf.push_back(c->accrualDays()); ! cf.push_back(c->dayCounter().name()); cf.push_back(c->accrualPeriod()); cf.push_back(c->rate()); + cf.push_back(c->accruedAmount(QuantLib::Settings::instance().evaluationDate())); boost::shared_ptr<QuantLib::FloatingRateCoupon> floatingCoupon = boost::dynamic_pointer_cast<QuantLib::FloatingRateCoupon>( cashflows[i]); + boost::shared_ptr<QuantLib::CMSCoupon> cmsCoupon = + boost::dynamic_pointer_cast<QuantLib::CMSCoupon>( + cashflows[i]); if (floatingCoupon!=0) { cf.push_back(floatingCoupon->fixingDays()); cf.push_back(floatingCoupon->fixingDate().serialNumber()); + //cf.push_back(floatingCoupon->index()); + cf.push_back(std::string("N/A")); cf.push_back(floatingCoupon->gearing()); cf.push_back(floatingCoupon->indexFixing()); ! cf.push_back(floatingCoupon->convexityAdjustment( ! floatingCoupon->indexFixing())); cf.push_back(floatingCoupon->spread()); + cf.push_back(std::string("N/A")); + } else if (cmsCoupon!=0) { + cf.push_back(cmsCoupon->fixingDays()); + cf.push_back(cmsCoupon->fixingDate().serialNumber()); + //cf.push_back(cmsCoupon->index()); + cf.push_back(cmsCoupon->floor()); + cf.push_back(cmsCoupon->gearing()); + cf.push_back(cmsCoupon->indexFixing()); + cf.push_back(cmsCoupon->convexityAdjustment( + cmsCoupon->indexFixing())); + cf.push_back(cmsCoupon->spread()); + cf.push_back(cmsCoupon->cap()); } else { ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); ! cf.push_back(std::string("N/A")); } Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** capfloor.cpp 31 Jul 2006 15:48:10 -0000 1.7 --- capfloor.cpp 31 Jul 2006 18:17:37 -0000 1.8 *************** *** 44,49 **** } ! std::vector<std::vector<double> > CapFloor::legAnalysis() ! //std::vector<std::vector<boost::any> > CapFloor::legAnalysis() { boost::shared_ptr<QuantLib::CapFloor> temp; --- 44,48 ---- } ! std::vector<std::vector<boost::any> > CapFloor::legAnalysis() { boost::shared_ptr<QuantLib::CapFloor> temp; Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** vanillaswap.hpp 31 Jul 2006 15:48:11 -0000 1.10 --- vanillaswap.hpp 31 Jul 2006 18:17:37 -0000 1.11 *************** *** 40,51 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! //std::vector<std::vector<boost::any> > fixedLeg() ! std::vector<std::vector<double> > fixedLeg() { return Swap::legAnalysis(0); } ! //std::vector<std::vector<boost::any> > floatingLeg() ! std::vector<std::vector<double> > floatingLeg() { return Swap::legAnalysis(1); --- 40,49 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! std::vector<std::vector<boost::any> > fixedLeg() { return Swap::legAnalysis(0); } ! std::vector<std::vector<boost::any> > floatingLeg() { return Swap::legAnalysis(1); Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** capfloor.hpp 31 Jul 2006 15:48:10 -0000 1.6 --- capfloor.hpp 31 Jul 2006 18:17:37 -0000 1.7 *************** *** 35,40 **** const boost::shared_ptr<QuantLib::PricingEngine>& engine); ! //std::vector<std::vector<boost::any> > legAnalysis(); ! std::vector<std::vector<double> > legAnalysis(); }; --- 35,39 ---- const boost::shared_ptr<QuantLib::PricingEngine>& engine); ! std::vector<std::vector<boost::any> > legAnalysis(); }; Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** bonds.hpp 31 Jul 2006 15:48:10 -0000 1.8 --- bonds.hpp 31 Jul 2006 18:17:37 -0000 1.9 *************** *** 31,36 **** { public: ! std::vector<std::vector<double> > flowAnalysis(); ! //std::vector<std::vector<boost::any> > flowAnalysis(); }; --- 31,35 ---- { public: ! std::vector<std::vector<boost::any> > flowAnalysis(); }; Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** bonds.cpp 31 Jul 2006 15:48:10 -0000 1.8 --- bonds.cpp 31 Jul 2006 18:17:37 -0000 1.9 *************** *** 33,38 **** namespace QuantLibAddin { ! //std::vector<std::vector<boost::any> > Bond::flowAnalysis() ! std::vector<std::vector<double> > Bond::flowAnalysis() { boost::shared_ptr<QuantLib::Bond> temp; --- 33,37 ---- namespace QuantLibAddin { ! std::vector<std::vector<boost::any> > Bond::flowAnalysis() { boost::shared_ptr<QuantLib::Bond> temp; Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** swap.cpp 31 Jul 2006 15:48:11 -0000 1.13 --- swap.cpp 31 Jul 2006 18:17:37 -0000 1.14 *************** *** 39,44 **** } ! //std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i) ! std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i) { boost::shared_ptr<QuantLib::Swap> temp; --- 39,43 ---- } ! std::vector<std::vector<boost::any> > Swap::legAnalysis(QuantLib::Size i) { boost::shared_ptr<QuantLib::Swap> temp; Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** swap.hpp 31 Jul 2006 15:48:11 -0000 1.10 --- swap.hpp 31 Jul 2006 18:17:37 -0000 1.11 *************** *** 34,39 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! //std::vector<std::vector<boost::any> > legAnalysis(QuantLib::Size i); ! std::vector<std::vector<double> > legAnalysis(QuantLib::Size i); protected: --- 34,38 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); ! std::vector<std::vector<boost::any> > legAnalysis(QuantLib::Size i); protected: |
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From: Ferdinando A. <na...@us...> - 2006-07-31 18:17:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16449/gensrc/metadata Modified Files: bonds.xml capfloor.xml couponvectors.xml enumtypes.xml swap.xml vanillaswap.xml Log Message: richer flow analysis Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** vanillaswap.xml 29 Jul 2006 15:32:32 -0000 1.13 --- vanillaswap.xml 31 Jul 2006 18:17:37 -0000 1.14 *************** *** 122,126 **** </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 122,126 ---- </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> *************** *** 152,156 **** </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 152,156 ---- </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** swap.xml 29 Jul 2006 15:32:32 -0000 1.16 --- swap.xml 31 Jul 2006 18:17:37 -0000 1.17 *************** *** 59,63 **** </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 59,63 ---- </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** enumtypes.xml 31 Jul 2006 11:21:15 -0000 1.8 --- enumtypes.xml 31 Jul 2006 18:17:37 -0000 1.9 *************** *** 671,675 **** <!-- (b) --> <EnumerationDefinition> ! <string>Actual/Actual::ISDA</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::ISDA)</value> </EnumerationDefinition> --- 671,675 ---- <!-- (b) --> <EnumerationDefinition> ! <string>Actual/Actual (ISDA)</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::ISDA)</value> </EnumerationDefinition> *************** *** 729,733 **** <!-- (e) --> <EnumerationDefinition> ! <string>30/360::BondBasis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::BondBasis)</value> </EnumerationDefinition> --- 729,737 ---- <!-- (e) --> <EnumerationDefinition> ! <string>30/360 (BondBasis)</string> ! <value>QuantLib::Thirty360(QuantLib::Thirty360::BondBasis)</value> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>BondBasis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::BondBasis)</value> </EnumerationDefinition> *************** *** 743,751 **** <!-- (f) --> <EnumerationDefinition> ! <string>30/360::EurobondBasis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Thirty360::EurobondBasis</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> --- 747,759 ---- <!-- (f) --> <EnumerationDefinition> ! <string>30/360 (EurobondBasis)</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>EurobondBasis</string> ! <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>30E/360</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis)</value> </EnumerationDefinition> *************** *** 753,761 **** <!-- NON-ISDA --> <EnumerationDefinition> ! <string>Actual/Actual::ISMA</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::ISMA)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Actual/Actual::Bond</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::ISMA)</value> </EnumerationDefinition> --- 761,769 ---- <!-- NON-ISDA --> <EnumerationDefinition> ! <string>Actual/Actual (ISMA)</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::ISMA)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Actual/Actual (Bond)</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::ISMA)</value> </EnumerationDefinition> *************** *** 763,771 **** <!-- NON-ISDA --> <EnumerationDefinition> ! <string>Actual/Actual::AFB</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::AFB)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Actual/Actual::Euro</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::AFB)</value> </EnumerationDefinition> --- 771,779 ---- <!-- NON-ISDA --> <EnumerationDefinition> ! <string>Actual/Actual (AFB)</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::AFB)</value> </EnumerationDefinition> <EnumerationDefinition> ! <string>Actual/Actual (Euro)</string> <value>QuantLib::ActualActual(QuantLib::ActualActual::AFB)</value> </EnumerationDefinition> *************** *** 773,777 **** <!-- NON-ISDA --> <EnumerationDefinition> ! <string>30/360::Italian</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::Italian)</value> </EnumerationDefinition> --- 781,785 ---- <!-- NON-ISDA --> <EnumerationDefinition> ! <string>30/360 (Italian)</string> <value>QuantLib::Thirty360(QuantLib::Thirty360::Italian)</value> </EnumerationDefinition> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** bonds.xml 29 Jul 2006 15:32:32 -0000 1.16 --- bonds.xml 31 Jul 2006 18:17:37 -0000 1.17 *************** *** 30,34 **** </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 30,34 ---- </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** couponvectors.xml 31 Jul 2006 11:21:15 -0000 1.17 --- couponvectors.xml 31 Jul 2006 18:17:37 -0000 1.18 *************** *** 168,172 **** </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 168,172 ---- </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** capfloor.xml 29 Jul 2006 15:32:32 -0000 1.11 --- capfloor.xml 31 Jul 2006 18:17:37 -0000 1.12 *************** *** 132,136 **** </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>matrix</tensorRank> </ReturnValue> --- 132,136 ---- </ParameterList> <ReturnValue> ! <type>boost::any</type> <tensorRank>matrix</tensorRank> </ReturnValue> |
