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From: Giorgio F. <gi...@us...> - 2006-07-28 21:57:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21722/gensrc/metadata Modified Files: enumtypes.xml Log Message: Cionundrum enumeration Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** enumtypes.xml 14 Jul 2006 09:06:00 -0000 1.5 --- enumtypes.xml 28 Jul 2006 16:34:59 -0000 1.6 *************** *** 899,905 **** </EnumerationDefinitions> </Enumeration> ! </Enumerations> </root> --- 899,920 ---- </EnumerationDefinitions> </Enumeration> ! ! <Enumeration> ! <type>QuantLib::ConvexityAdjustmentPricer::Type</type> ! <constructor>true</constructor> ! <EnumerationDefinitions> ! <EnumerationDefinition> ! <string>ConundrumByBlack</string> ! <value>QuantLib::ConvexityAdjustmentPricer::ConundrumByBlack</value> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>ConundrumByNumericalIntegration</string> ! <value>QuantLib::ConvexityAdjustmentPricer::ConundrumByNumericalIntegration</value> ! </EnumerationDefinition> ! </EnumerationDefinitions> ! </Enumeration> </Enumerations> </root> + |
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From: Katiuscia M. <kma...@us...> - 2006-07-28 21:47:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2502/gensrc/metadata Modified Files: capletvolstructure.xml Log Message: exported method BlackVariance of class CapletVolatilityStructure Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** capletvolstructure.xml 27 Jul 2006 17:46:12 -0000 1.7 --- capletvolstructure.xml 28 Jul 2006 15:50:47 -0000 1.8 *************** *** 23,32 **** <type>long</type> <tensorRank>scalar</tensorRank> ! <description>swaption expiry date</description> </Parameter> <Parameter name='strike'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>swaption strike vector</description> </Parameter> <Parameter name='allowExtrapolation'> --- 23,32 ---- <type>long</type> <tensorRank>scalar</tensorRank> ! <description>cap/floor expiry date</description> </Parameter> <Parameter name='strike'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>cap/floor strike vector</description> </Parameter> <Parameter name='allowExtrapolation'> *************** *** 43,46 **** --- 43,74 ---- </Member> + <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' 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> + <ParameterList> + <Parameters> + <Parameter name='expiry' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>cap/floor expiry date</description> + </Parameter> + <Parameter name='strike'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>cap/floor 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='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> <description>Returns the minimum strike for which the term structure can return vols.</description> *************** *** 110,114 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>swaption constant volatilities </description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> --- 138,142 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatilities </description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> |
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From: Eric E. <eri...@us...> - 2006-07-28 21:39:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6721/gensrc Modified Files: .cvsignore Log Message: Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/.cvsignore,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** .cvsignore 27 Jul 2006 14:06:30 -0000 1.2 --- .cvsignore 27 Jul 2006 14:24:27 -0000 1.3 *************** *** 2,3 **** --- 2,6 ---- Makefile.in .time-stamp + build + *.user + *.pyc |
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From: Ferdinando A. <na...@us...> - 2006-07-28 21:26:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11446/qlo Modified Files: index.cpp index.hpp Log Message: 1) InterestRateIndex introduced 2) SwapRate renamed SwapIndex Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** index.cpp 28 Jul 2006 08:21:15 -0000 1.8 --- index.cpp 28 Jul 2006 16:10:55 -0000 1.9 *************** *** 25,29 **** #include <qlo/index.hpp> #include <qlo/typefactory.hpp> ! #include <ql/Indexes/indexmanager.hpp> namespace QuantLibAddin { --- 25,29 ---- #include <qlo/index.hpp> #include <qlo/typefactory.hpp> ! #include <ql/Indexes/swapindex.hpp> namespace QuantLibAddin { *************** *** 38,42 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { ! libraryObject_ = boost::shared_ptr<QuantLib::Index>( new QuantLib::Xibor(indexName, p, --- 38,42 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { ! libraryObject_ = boost::shared_ptr<QuantLib::InterestRateIndex>( new QuantLib::Xibor(indexName, p, *************** *** 46,61 **** } ! SwapRate::SwapRate(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::SwapRate(familyName, years, fixingDays, crr, calendar, fixedLegFreq, fixedLegBDC, --- 46,61 ---- } ! 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::InterestRateIndex>( ! new QuantLib::SwapIndex(familyName, years, fixingDays, crr, calendar, fixedLegFreq, fixedLegBDC, Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** index.hpp 27 Jul 2006 14:06:32 -0000 1.7 --- index.hpp 28 Jul 2006 16:10:55 -0000 1.8 *************** *** 23,31 **** #include <oh/objhandler.hpp> ! #include <ql/index.hpp> #include <ql/handle.hpp> #include <ql/yieldtermstructure.hpp> - #include <ql/Indexes/xibor.hpp> - //#include <ql/Indexes/swaprate.hpp> namespace QuantLibAddin { --- 23,29 ---- #include <oh/objhandler.hpp> ! #include <ql/Indexes/xibor.hpp> #include <ql/handle.hpp> #include <ql/yieldtermstructure.hpp> namespace QuantLibAddin { *************** *** 33,37 **** class Index : public ObjHandler::LibraryObject<QuantLib::Index> {}; ! class Xibor : public Index { public: Xibor(const std::string& indexName, --- 31,37 ---- class Index : public ObjHandler::LibraryObject<QuantLib::Index> {}; ! class InterestRateIndex : public Index {}; ! ! class Xibor : public InterestRateIndex { public: Xibor(const std::string& indexName, *************** *** 45,59 **** }; ! class SwapRate : public Index { public: ! SwapRate(const std::string& familyName, ! long years, ! long fixingDays, ! QuantLib::Currency& crr, ! const QuantLib::Calendar& calendar, ! QuantLib::Frequency fixedLegFreq, ! QuantLib::BusinessDayConvention fixedLegBDC, ! const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index); }; --- 45,59 ---- }; ! 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); }; |
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From: Ferdinando A. <na...@us...> - 2006-07-28 21:22:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11446/gensrc/metadata Modified Files: index.xml Log Message: 1) InterestRateIndex introduced 2) SwapRate renamed SwapIndex Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** index.xml 21 Jul 2006 18:19:17 -0000 1.16 --- index.xml 28 Jul 2006 16:10:55 -0000 1.17 *************** *** 16,19 **** --- 16,21 ---- <Functions> + <!-- Index interface --> + <Member name='qlIndexName' libraryClass='Index'> <description>retrive the name for the given Index object</description> *************** *** 74,126 **** </Member> ! <Constructor name='qlXibor'> ! <libraryFunction>Xibor</libraryFunction> ! <ParameterList> ! <Parameters> ! <Parameter name='FamilyName'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>index name</description> ! </Parameter> ! <Parameter name='tenor' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='Currency' enumeration='QuantLib::Currency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Currency</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='BDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual360)</description> ! </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure' default='""'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>forecasting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlIndexFamilyName' libraryClass='Xibor'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> --- 76,82 ---- </Member> ! <!-- InterestRateIndex interface --> ! <Member name='qlIndexFamilyName' libraryClass='InterestRateIndex'> <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> *************** *** 134,138 **** </Member> ! <Member name='qlIndexTenor' libraryClass='Xibor'> <description>retrieve the tenor for the given Index (e.g. 6m)</description> <libraryFunction>tenor</libraryFunction> --- 90,94 ---- </Member> ! <Member name='qlIndexTenor' libraryClass='InterestRateIndex'> <description>retrieve the tenor for the given Index (e.g. 6m)</description> <libraryFunction>tenor</libraryFunction> *************** *** 146,156 **** </Member> ! <Member name='qlIndexFrequency' libraryClass='Xibor'> ! <description>retrieve the frequency for the given Index (e.g. annual)</description> ! <libraryFunction>frequency</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> --- 102,112 ---- </Member> ! <Member name='qlIndexCalendar' libraryClass='InterestRateIndex'> ! <description>retrieve the calendar for the given Index (e.g. TARGET)</description> ! <libraryFunction>calendar</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 158,162 **** </Member> ! <Member name='qlIndexSettlementDays' libraryClass='Xibor'> <description>retrieve the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> --- 114,130 ---- </Member> ! <Member name='qlIndexCurrency' libraryClass='InterestRateIndex'> ! <description>retrieve the currency for the given Index (e.g. EUR)</description> ! <libraryFunction>currency</libraryFunction> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::Currency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlIndexSettlementDays' libraryClass='InterestRateIndex'> <description>retrieve the settlement days for the given Index (e.g. 2)</description> <libraryFunction>settlementDays</libraryFunction> *************** *** 170,180 **** </Member> ! <Member name='qlIndexCurrency' libraryClass='Xibor'> ! <description>retrieve the currency for the given Index (e.g. EUR)</description> ! <libraryFunction>currency</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Currency'> <type>string</type> <tensorRank>scalar</tensorRank> --- 138,148 ---- </Member> ! <Member name='qlIndexDayCounter' libraryClass='InterestRateIndex'> ! <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> ! <libraryFunction>dayCounter</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 182,192 **** </Member> ! <Member name='qlIndexCalendar' libraryClass='Xibor'> ! <description>retrieve the calendar for the given Index (e.g. TARGET)</description> ! <libraryFunction>calendar</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> --- 150,162 ---- </Member> ! <!-- Xibor interface --> ! ! <Member name='qlIndexFrequency' libraryClass='Xibor'> ! <description>retrieve the frequency for the given Index (e.g. annual)</description> ! <libraryFunction>frequency</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 218,233 **** </Member> - <Member name='qlIndexDayCounter' libraryClass='Xibor'> - <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> - <libraryFunction>dayCounter</libraryFunction> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <!--<Member name='qlIndexTermStructure' libraryClass='Xibor'> <description>retrieve the term structure for the given Index (e.g. EURYC)</description> --- 188,191 ---- *************** *** 241,265 **** </ReturnValue> </Member>--> - - <Procedure name='qlSetEuriborTermStructure'> - <description>set the yield term structure which is linked to by the handle shared by all enumerated Euribor objects</description> - <alias>QuantLibAddin::EuriborHandle::instance().linkEuriborHandle</alias> - <ParameterList> - <Parameters> - <Parameter name='termStructureID' handleToLib='YieldTermStructure'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>yield term structure to be referenced by all enumerated Euribor objects</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>void</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Procedure> ! <Constructor name='qlSwapRate'> ! <libraryFunction>SwapRate</libraryFunction> <ParameterList> <Parameters> --- 199,207 ---- </ReturnValue> </Member>--> ! <!-- Xibor constructor --> ! ! <Constructor name='qlXibor'> ! <libraryFunction>Xibor</libraryFunction> <ParameterList> <Parameters> *************** *** 269,281 **** <description>index name</description> </Parameter> ! <Parameter name='tenor'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>swap tenor in years</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>swap rate fixing days (e.g. 2)</description> </Parameter> <Parameter name='Currency' enumeration='QuantLib::Currency'> --- 211,223 ---- <description>index name</description> </Parameter> ! <Parameter name='tenor' libraryType='QuantLib::Period'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='Currency' enumeration='QuantLib::Currency'> *************** *** 289,311 **** <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='fixedLegFrequency' enumeration='QuantLib::Frequency'> ! <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'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>business day convention of the underlying swap's fixed leg (e.g. ModifiedFollowing)</description> </Parameter> ! <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>swap's underlying index</description> </Parameter> </Parameters> --- 231,248 ---- <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='BDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>forecasting term structure</description> </Parameter> </Parameters> *************** *** 313,365 **** </Constructor> ! <Member name='qlSwapRateFamilyName' libraryClass='SwapRate'> ! <description>retrieve the family name for the given swap rate index (e.g. SWAP)</description> ! <libraryFunction>familyName</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwapRateTenor' libraryClass='SwapRate'> ! <description>retrieve the tenor for the given swap rate index (e.g. )</description> ! <libraryFunction>tenor</libraryFunction> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::Period'> ! <type>string</type> <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlSwapRateCalendar' libraryClass='SwapRate'> ! <description>retrieve the calendar for the given swap rate index (e.g. TARGET)</description> ! <libraryFunction>calendar</libraryFunction> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlSwapRateCurrency' libraryClass='SwapRate'> ! <description>retrieve the currency for the given swap rate index (e.g. EUR)</description> ! <libraryFunction>currency</libraryFunction> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::Currency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwapRateFixedLegFreq' libraryClass='SwapRate'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> <libraryFunction>fixedLegFrequency</libraryFunction> --- 250,274 ---- </Constructor> ! <Procedure name='qlSetEuriborTermStructure'> ! <description>set the yield term structure which is linked to by the handle shared by all enumerated Euribor objects</description> ! <alias>QuantLibAddin::EuriborHandle::instance().linkEuriborHandle</alias> <ParameterList> ! <Parameters> ! <Parameter name='termStructureID' handleToLib='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>yield term structure to be referenced by all enumerated Euribor objects</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> ! </Procedure> ! <!-- SwapIndex interface --> ! <Member name='qlSwapIndexFixedLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> <libraryFunction>fixedLegFrequency</libraryFunction> *************** *** 373,377 **** </Member> ! <Member name='qlSwapRateFixedLegBDC' libraryClass='SwapRate'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> <libraryFunction>fixedLegConvention</libraryFunction> --- 282,286 ---- </Member> ! <Member name='qlSwapIndexFixedLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> <libraryFunction>fixedLegConvention</libraryFunction> *************** *** 385,401 **** </Member> ! <Member name='qlSwapRateFixedLegDayCounter' libraryClass='SwapRate'> ! <description>retrieve the day count fraction for the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> ! <libraryFunction>fixedLegDayCounter</libraryFunction> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwapRateFloatingLegFreq' libraryClass='SwapRate'> <description>retrieve the frequency for the underlying swap's floating leg (e.g. semiannual)</description> <libraryFunction>floatingLegFrequency</libraryFunction> --- 294,298 ---- </Member> ! <Member name='qlSwapIndexFloatingLegFreq' libraryClass='SwapIndex'> <description>retrieve the frequency for the underlying swap's floating leg (e.g. semiannual)</description> <libraryFunction>floatingLegFrequency</libraryFunction> *************** *** 409,413 **** </Member> ! <Member name='qlSwapRateFloatingLegBDC' libraryClass='SwapRate'> <description>retrieve the business day convention for the underlying swap's floating leg (e.g. Modified Following)</description> <libraryFunction>floatingLegConvention</libraryFunction> --- 306,310 ---- </Member> ! <Member name='qlSwapIndexFloatingLegBDC' libraryClass='SwapIndex'> <description>retrieve the business day convention for the underlying swap's floating leg (e.g. Modified Following)</description> <libraryFunction>floatingLegConvention</libraryFunction> *************** *** 421,425 **** </Member> ! <!--<Member name='qlSwapRateUnderlyingIndex' libraryClass='SwapRate'> <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> <libraryFunction>libor</libraryFunction> --- 318,322 ---- </Member> ! <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> <libraryFunction>libor</libraryFunction> *************** *** 433,437 **** </Member>--> ! <Member name='qlSwapRateIndexFixingDays' libraryClass='SwapRate'> <description>retrieve the settlement days for the index underlying the swap (e.g. 2)</description> <libraryFunction>indexFixingDays</libraryFunction> --- 330,334 ---- </Member>--> ! <Member name='qlSwapIndexIndexFixingDays' libraryClass='SwapIndex'> <description>retrieve the settlement days for the index underlying the swap (e.g. 2)</description> <libraryFunction>indexFixingDays</libraryFunction> *************** *** 448,452 **** --- 345,405 ---- <!-- underlyingSwap --> + + <!-- SwapIndex constructor --> + <Constructor name='qlSwapIndex'> + <libraryFunction>SwapIndex</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='FamilyName'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>index name</description> + </Parameter> + <Parameter name='tenor'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swap tenor in years</description> + </Parameter> + <Parameter name='fixingDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swap rate fixing days (e.g. 2)</description> + </Parameter> + <Parameter name='Currency' enumeration='QuantLib::Currency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Index Currency</description> + </Parameter> + <Parameter name='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='fixedLegFrequency' enumeration='QuantLib::Frequency'> + <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'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>business day convention of the underlying swap's fixed leg (e.g. ModifiedFollowing)</description> + </Parameter> + <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> + </Parameter> + <Parameter name='indexID' libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's underlying index</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + </Functions> </Category> |
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From: Giorgio F. <gi...@us...> - 2006-07-28 21:18:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10488/gensrc/metadata Modified Files: couponvectors.xml Log Message: exported CMSCouponVector Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** couponvectors.xml 19 Jul 2006 16:39:46 -0000 1.12 --- couponvectors.xml 28 Jul 2006 16:08:35 -0000 1.13 *************** *** 80,83 **** --- 80,151 ---- </Constructor> + <Constructor name='qlCMSCouponVector'> + <libraryFunction>CMSCouponVector</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='scheduleID' libraryClass='Schedule'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>schedule</description> + </Parameter> + <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>payment adjustment</description> + </Parameter> + <Parameter name='nominals'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>coupon nominals</description> + </Parameter> + <Parameter name='indexID' libraryClass='SwapRate'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>underlying swap index</description> + </Parameter> + <Parameter name='fixingDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>fixingDays</description> + </Parameter> + <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter</description> + </Parameter> + <Parameter name='spreads'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>spreads</description> + </Parameter> + <Parameter name='gearings'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>gearings</description> + </Parameter> + <Parameter name='caps'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>caps</description> + </Parameter> + <Parameter name='floors'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floors</description> + </Parameter> + <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Swaption Volatility Structure</description> + </Parameter> + <Parameter name='typeOfConvexityAdjustment' enumeration='QuantLib::ConvexityAdjustmentPricer::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>type Of Convexity Adjustment</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> <description>return coupon details</description> |
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From: Eric E. <eri...@us...> - 2006-07-28 20:39:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/gensrc/config Modified Files: config.xml Added Files: .cvsignore Makefile.am Log Message: changes for linux/gcc4.1.0 --- NEW FILE: .cvsignore --- Makefile Makefile.in Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** config.xml 19 Jul 2006 16:39:45 -0000 1.15 --- config.xml 27 Jul 2006 14:06:31 -0000 1.16 *************** *** 22,26 **** <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> ! <categoryName>marketmodels</categoryName> <categoryName>mathf</categoryName> <categoryName>optimization</categoryName> --- 22,26 ---- <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> ! <!--categoryName>marketmodels</categoryName--> <categoryName>mathf</categoryName> <categoryName>optimization</categoryName> --- NEW FILE: Makefile.am --- EXTRA_DIST = \ config.xml \ excel.xml |
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From: Eric E. <eri...@us...> - 2006-07-28 19:48:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/Clients/C Modified Files: Makefile.am Log Message: changes for linux/gcc4.1.0 Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 27 Jul 2006 14:06:30 -0000 1.2 *************** *** 5,11 **** EXTRA_DIST = \ ! ClientCDemo.dsp \ ! ClientCDemo.vcproj \ ! ClientCDemo_vc8.vcproj QLADemo_SOURCES = qlademo.c --- 5,10 ---- EXTRA_DIST = \ ! ClientCDemo_vc8.vcproj \ ! ClientCDemo.vcproj QLADemo_SOURCES = qlademo.c |
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From: Giorgio F. <gi...@us...> - 2006-07-28 19:22:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22102/gensrc/metadata Modified Files: couponvectors.xml Log Message: in synch with QuantLib Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** couponvectors.xml 28 Jul 2006 16:08:35 -0000 1.13 --- couponvectors.xml 28 Jul 2006 16:35:23 -0000 1.14 *************** *** 7,10 **** --- 7,11 ---- <include>qlo/vo_couponvectors.hpp</include> <include>qlo/termstructures.hpp</include> + <include>qlo/swaptionvolstructure.hpp</include> </includes> <copyright> *************** *** 99,103 **** <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapRate'> <type>string</type> <tensorRank>scalar</tensorRank> --- 100,104 ---- <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Giorgio F. <gi...@us...> - 2006-07-28 19:16:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10488/qlo Modified Files: couponvectors.cpp couponvectors.hpp Log Message: exported CMSCouponVector Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** couponvectors.hpp 22 Jun 2006 10:18:48 -0000 1.8 --- couponvectors.hpp 28 Jul 2006 16:08:35 -0000 1.9 *************** *** 24,27 **** --- 24,28 ---- #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> + #include <ql/CashFlows/cmscoupon.hpp> #include <ql/CashFlows/analysis.hpp> *************** *** 76,79 **** --- 77,97 ---- }; + 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::SwapRate>& 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 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** couponvectors.cpp 24 Jul 2006 09:28:50 -0000 1.9 --- couponvectors.cpp 28 Jul 2006 16:08:35 -0000 1.10 *************** *** 30,33 **** --- 30,34 ---- #include <ql/CashFlows/parcoupon.hpp> + namespace QuantLibAddin { *************** *** 153,155 **** --- 154,205 ---- } + CMSCouponVector::CMSCouponVector( + const boost::shared_ptr<QuantLib::Schedule>& schedule, + QuantLib::BusinessDayConvention paymentAdjustment, + const std::vector<QuantLib::Real>& nominals, + const boost::shared_ptr<QuantLib::SwapRate>& 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; + } + } |
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From: Cristina D. <cdu...@us...> - 2006-07-28 19:12:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24462/gensrc/config Modified Files: config.xml Log Message: Added generalstatistics and incrementalstatistics Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** config.xml 27 Jul 2006 14:06:31 -0000 1.16 --- config.xml 28 Jul 2006 13:04:20 -0000 1.17 *************** *** 19,23 **** --- 19,25 ---- <categoryName>exercise</categoryName> <categoryName>forwardrateagreement</categoryName> + <categoryName>generalstatistics</categoryName> <categoryName>index</categoryName> + <categoryName>incrementalstatistics</categoryName> <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> |
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From: Ferdinando A. <na...@us...> - 2006-07-28 18:03:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13116/gensrc/metadata Modified Files: index.xml Log Message: redundant methods removed Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** index.xml 28 Jul 2006 16:10:55 -0000 1.17 --- index.xml 28 Jul 2006 17:30:21 -0000 1.18 *************** *** 102,113 **** </Member> ! <Member name='qlIndexCalendar' libraryClass='InterestRateIndex'> ! <description>retrieve the calendar for the given Index (e.g. TARGET)</description> ! <libraryFunction>calendar</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Calendar'> ! <type>string</type> <tensorRank>scalar</tensorRank> </ReturnValue> --- 102,113 ---- </Member> ! <Member name='qlIndexSettlementDays' libraryClass='InterestRateIndex'> ! <description>retrieve the settlement days for the given Index (e.g. 2)</description> ! <libraryFunction>settlementDays</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue> ! <type>long</type> <tensorRank>scalar</tensorRank> </ReturnValue> *************** *** 126,137 **** </Member> ! <Member name='qlIndexSettlementDays' libraryClass='InterestRateIndex'> ! <description>retrieve the settlement days for the given Index (e.g. 2)</description> ! <libraryFunction>settlementDays</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue> ! <type>long</type> <tensorRank>scalar</tensorRank> </ReturnValue> --- 126,137 ---- </Member> ! <Member name='qlIndexCalendar' libraryClass='InterestRateIndex'> ! <description>retrieve the calendar for the given Index (e.g. TARGET)</description> ! <libraryFunction>calendar</libraryFunction> <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Calendar'> ! <type>string</type> <tensorRank>scalar</tensorRank> </ReturnValue> *************** *** 150,153 **** --- 150,171 ---- </Member> + <Member name='qlIndexForecastFixing' libraryClass='InterestRateIndex' loopParameter='fixingDate'> + <description>retrive the fixing for the given Index object</description> + <libraryFunction>fixing</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='fixingDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>vector</tensorRank> + <description>fixing date(s)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Rate'> + <type>any</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <!-- Xibor interface --> *************** *** 294,321 **** </Member> - <Member name='qlSwapIndexFloatingLegFreq' libraryClass='SwapIndex'> - <description>retrieve the frequency for the underlying swap's floating leg (e.g. semiannual)</description> - <libraryFunction>floatingLegFrequency</libraryFunction> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue enumeration='QuantLib::Frequency'> - <type>string</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - - <Member name='qlSwapIndexFloatingLegBDC' libraryClass='SwapIndex'> - <description>retrieve the business day convention for the underlying swap's floating leg (e.g. Modified Following)</description> - <libraryFunction>floatingLegConvention</libraryFunction> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <!--<Member name='qlSwapIndexUnderlyingIndex' libraryClass='SwapIndex'> <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> --- 312,315 ---- *************** *** 330,345 **** </Member>--> - <Member name='qlSwapIndexIndexFixingDays' libraryClass='SwapIndex'> - <description>retrieve the settlement days for the index underlying the swap (e.g. 2)</description> - <libraryFunction>indexFixingDays</libraryFunction> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>long</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <!-- fixedRateSchedule --> --- 324,327 ---- *************** *** 401,405 **** </Constructor> - </Functions> </Category> --- 383,386 ---- |
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From: Ferdinando A. <na...@us...> - 2006-07-28 18:02:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13116/qlo Modified Files: index.cpp Log Message: redundant methods removed Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** index.cpp 28 Jul 2006 16:10:55 -0000 1.9 --- index.cpp 28 Jul 2006 17:30:21 -0000 1.10 *************** *** 38,42 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { ! libraryObject_ = boost::shared_ptr<QuantLib::InterestRateIndex>( new QuantLib::Xibor(indexName, p, --- 38,42 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { ! libraryObject_ = boost::shared_ptr<QuantLib::Index>( new QuantLib::Xibor(indexName, p, *************** *** 56,60 **** const boost::shared_ptr<QuantLib::Xibor>& index) { ! libraryObject_ = boost::shared_ptr<QuantLib::InterestRateIndex>( new QuantLib::SwapIndex(familyName, years, fixingDays, crr, calendar, --- 56,60 ---- const boost::shared_ptr<QuantLib::Xibor>& index) { ! libraryObject_ = boost::shared_ptr<QuantLib::Index>( new QuantLib::SwapIndex(familyName, years, fixingDays, crr, calendar, |
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From: Cristina D. <cdu...@us...> - 2006-07-28 17:47:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25385/qlo Added Files: vo_generalstatistics.cpp vo_generalstatistics.hpp vo_incrementalstatistics.cpp vo_incrementalstatistics.hpp Log Message: --- NEW FILE: vo_incrementalstatistics.cpp --- /* Copyright (C) 2005, 2006 Plamen Neykov This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> #include <qlo/conversions.hpp> #include <qlo/incrementalstatistics.hpp> #include <qlo/vo_incrementalstatistics.hpp> namespace QuantLibAddin { namespace ValueObjects { const char* qlIncrementalStatistics::mPropertyNames[] = { "objectID", "values", "weights"}; std::vector<std::string> qlIncrementalStatistics::getPropertyNames() const { return std::vector<std::string>( mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*)); } boost::any qlIncrementalStatistics::getProperty(const std::string& name) const { if(name == "objectID") return objectID_; else if(name == "values") return values_; else if(name == "weights") return weights_; else throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'"); return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */ } qlIncrementalStatistics::qlIncrementalStatistics( const std::string& objectID, const std::vector<double>& values, const std::vector<double>& weights) : objectID_(objectID), values_(values), weights_(weights) {} const char* qlIncrementalStatistics2::mPropertyNames[] = { "objectID"}; std::vector<std::string> qlIncrementalStatistics2::getPropertyNames() const { return std::vector<std::string>( mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*)); } boost::any qlIncrementalStatistics2::getProperty(const std::string& name) const { if(name == "objectID") return objectID_; else throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'"); return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */ } qlIncrementalStatistics2::qlIncrementalStatistics2( const std::string& objectID) : objectID_(objectID) {} } } --- NEW FILE: vo_incrementalstatistics.hpp --- /* Copyright (C) 2005, 2006 Plamen Neykov This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #ifndef qla_vo_incrementalstatistics_hpp #define qla_vo_incrementalstatistics_hpp #include <oh/valueobject.hpp> #include <string> #include <vector> #include <boost/any.hpp> namespace QuantLibAddin { namespace ValueObjects { class qlIncrementalStatistics : public ObjHandler::ValueObject { public: qlIncrementalStatistics( const std::string& objectID, const std::vector<double>& values, const std::vector<double>& weights); std::vector<std::string> getPropertyNames() const; boost::any getProperty(const std::string& name) const; protected: static const char* mPropertyNames[]; std::string objectID_; std::vector<double> values_; std::vector<double> weights_; }; class qlIncrementalStatistics2 : public ObjHandler::ValueObject { public: qlIncrementalStatistics2( const std::string& objectID); std::vector<std::string> getPropertyNames() const; boost::any getProperty(const std::string& name) const; protected: static const char* mPropertyNames[]; std::string objectID_; }; } } #endif --- NEW FILE: vo_generalstatistics.cpp --- /* Copyright (C) 2005, 2006 Plamen Neykov This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> #include <qlo/conversions.hpp> #include <qlo/generalstatistics.hpp> #include <qlo/vo_generalstatistics.hpp> namespace QuantLibAddin { namespace ValueObjects { const char* qlGeneralStatistics::mPropertyNames[] = { "objectID", "values", "weights"}; std::vector<std::string> qlGeneralStatistics::getPropertyNames() const { return std::vector<std::string>( mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*)); } boost::any qlGeneralStatistics::getProperty(const std::string& name) const { if(name == "objectID") return objectID_; else if(name == "values") return values_; else if(name == "weights") return weights_; else throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'"); return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */ } qlGeneralStatistics::qlGeneralStatistics( const std::string& objectID, const std::vector<double>& values, const std::vector<double>& weights) : objectID_(objectID), values_(values), weights_(weights) {} const char* qlGeneralStatistics2::mPropertyNames[] = { "objectID"}; std::vector<std::string> qlGeneralStatistics2::getPropertyNames() const { return std::vector<std::string>( mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*)); } boost::any qlGeneralStatistics2::getProperty(const std::string& name) const { if(name == "objectID") return objectID_; else throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'"); return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */ } qlGeneralStatistics2::qlGeneralStatistics2( const std::string& objectID) : objectID_(objectID) {} } } --- NEW FILE: vo_generalstatistics.hpp --- /* Copyright (C) 2005, 2006 Plamen Neykov This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ // this file generated automatically by gensrc.py // editing this file manually is not recommended #ifndef qla_vo_generalstatistics_hpp #define qla_vo_generalstatistics_hpp #include <oh/valueobject.hpp> #include <string> #include <vector> #include <boost/any.hpp> namespace QuantLibAddin { namespace ValueObjects { class qlGeneralStatistics : public ObjHandler::ValueObject { public: qlGeneralStatistics( const std::string& objectID, const std::vector<double>& values, const std::vector<double>& weights); std::vector<std::string> getPropertyNames() const; boost::any getProperty(const std::string& name) const; protected: static const char* mPropertyNames[]; std::string objectID_; std::vector<double> values_; std::vector<double> weights_; }; class qlGeneralStatistics2 : public ObjHandler::ValueObject { public: qlGeneralStatistics2( const std::string& objectID); std::vector<std::string> getPropertyNames() const; boost::any getProperty(const std::string& name) const; protected: static const char* mPropertyNames[]; std::string objectID_; }; } } #endif |
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From: Ferdinando A. <na...@us...> - 2006-07-28 08:21:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28994/qlo Modified Files: index.cpp Log Message: fixed glitch Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** index.cpp 27 Jul 2006 14:06:31 -0000 1.7 --- index.cpp 28 Jul 2006 08:21:15 -0000 1.8 *************** *** 38,42 **** const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { ! libraryObject_ = boost::shared_ptr<QuantLib::Xibor>( new QuantLib::Xibor(indexName, p, --- 38,42 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { ! libraryObject_ = boost::shared_ptr<QuantLib::Index>( new QuantLib::Xibor(indexName, p, *************** *** 56,60 **** const boost::shared_ptr<QuantLib::Xibor>& index) { ! libraryObject_ = boost::shared_ptr<QuantLib::SwapRate>( new QuantLib::SwapRate(familyName, years, fixingDays, crr, calendar, --- 56,60 ---- const boost::shared_ptr<QuantLib::Xibor>& index) { ! libraryObject_ = boost::shared_ptr<QuantLib::Index>( new QuantLib::SwapRate(familyName, years, fixingDays, crr, calendar, |
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From: Eric E. <eri...@us...> - 2006-07-28 07:07:42
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10257/qlo Modified Files: bonds.cpp capfloor.cpp conversions.hpp ratehelpers.cpp swap.cpp Log Message: fix for gcc4.1.0 - use overloaded functions instead of template specializations Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** conversions.hpp 25 Jul 2006 16:33:34 -0000 1.12 --- conversions.hpp 27 Jul 2006 09:37:46 -0000 1.13 *************** *** 53,60 **** boost::dynamic_pointer_cast<qloClass>(objectPointer); ! if (qloPointer) ! return QuantLib::Handle<qlClass>( ! qloPointer->getLibraryObject<qlClass>()); ! else { std::ostringstream msg; msg << "error retrieving object with id '" << id --- 53,61 ---- boost::dynamic_pointer_cast<qloClass>(objectPointer); ! if (qloPointer) { ! boost::shared_ptr<qlClass> ret; ! qloPointer->getLibraryObject(ret); ! return QuantLib::Handle<qlClass>(ret); ! } else { std::ostringstream msg; msg << "error retrieving object with id '" << id *************** *** 85,91 **** boost::dynamic_pointer_cast<qloClass>(objectPointer); ! if (qloPointer) ! return qloPointer->getLibraryObject<qlClass>(); ! else { std::ostringstream msg; msg << "error retrieving object with id '" << id --- 86,94 ---- boost::dynamic_pointer_cast<qloClass>(objectPointer); ! if (qloPointer) { ! boost::shared_ptr<qlClass> ret; ! qloPointer->getLibraryObject(ret); ! return ret; ! } else { std::ostringstream msg; msg << "error retrieving object with id '" << id Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** capfloor.cpp 26 Jun 2006 21:31:03 -0000 1.5 --- capfloor.cpp 27 Jul 2006 09:37:46 -0000 1.6 *************** *** 46,51 **** std::vector<std::vector<double> > CapFloor::legAnalysis() { ! const boost::shared_ptr<QuantLib::CapFloor> temp = ! getLibraryObject<QuantLib::CapFloor>(); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->floatingLeg(); --- 46,51 ---- std::vector<std::vector<double> > CapFloor::legAnalysis() { ! boost::shared_ptr<QuantLib::CapFloor> temp; ! getLibraryObject(temp); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->floatingLeg(); Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** swap.cpp 26 Jun 2006 21:31:03 -0000 1.11 --- swap.cpp 27 Jul 2006 09:37:46 -0000 1.12 *************** *** 42,47 **** std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i) { ! const boost::shared_ptr<QuantLib::Swap> temp = ! getLibraryObject<QuantLib::Swap>(); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->leg(i); --- 42,47 ---- std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i) { ! boost::shared_ptr<QuantLib::Swap> temp; ! getLibraryObject(temp); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->leg(i); Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** bonds.cpp 20 Jun 2006 09:44:18 -0000 1.6 --- bonds.cpp 27 Jul 2006 09:37:46 -0000 1.7 *************** *** 34,39 **** std::vector<std::vector<double> > Bond::flowAnalysis() { ! const boost::shared_ptr<QuantLib::Bond> temp = ! getLibraryObject<QuantLib::Bond>(); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->cashflows(); --- 34,39 ---- std::vector<std::vector<double> > Bond::flowAnalysis() { ! boost::shared_ptr<QuantLib::Bond> temp; ! getLibraryObject(temp); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->cashflows(); Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** ratehelpers.cpp 16 Jul 2006 10:42:41 -0000 1.6 --- ratehelpers.cpp 27 Jul 2006 09:37:46 -0000 1.7 *************** *** 198,202 **** isFutures = false; ! qlrh = qlarh->getLibraryObject<QuantLib::RateHelper>(); rhsAll.push_back(detail::RateHelperItem(isFutures, instrumentID[i], --- 198,202 ---- isFutures = false; ! qlarh->getLibraryObject(qlrh); rhsAll.push_back(detail::RateHelperItem(isFutures, instrumentID[i], |
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From: Eric E. <eri...@us...> - 2006-07-27 20:56:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/gensrc/stubs Added Files: .cvsignore Makefile.am Log Message: changes for linux/gcc4.1.0 --- NEW FILE: .cvsignore --- Makefile Makefile.in --- NEW FILE: Makefile.am --- EXTRA_DIST = \ stub.copyright \ stub.excel.includes \ stub.excel.register |
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From: Eric E. <eri...@us...> - 2006-07-27 19:37:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/gensrc/metadata Modified Files: enumclasses.xml Added Files: .cvsignore Makefile.am Log Message: changes for linux/gcc4.1.0 --- NEW FILE: .cvsignore --- Makefile Makefile.in --- NEW FILE: Makefile.am --- EXTRA_DIST = \ bonds.xml \ calendar.xml \ capfloor.xml \ capletvolstructure.xml \ couponvectors.xml \ date.xml \ daycounter.xml \ enumclasses.xml \ enumcurves.xml \ enumtypes.xml \ exercise.xml \ forwardrateagreement.xml \ index.xml \ instruments.xml \ interpolation.xml \ marketmodels.xml \ mathf.xml \ optimization.xml \ options.xml \ payoffs.xml \ prices.xml \ pricingengines.xml \ processes.xml \ randomsequencegenerator.xml \ ratehelpers.xml \ schedule.xml \ shortratemodels.xml \ swaptionvolstructure.xml \ swaption.xml \ swap.xml \ termstructures.xml \ utilities.xml \ vanillaswap.xml \ volatilities.xml Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** enumclasses.xml 21 Jul 2006 18:19:17 -0000 1.4 --- enumclasses.xml 27 Jul 2006 14:06:31 -0000 1.5 *************** *** 298,302 **** </Enumeration> ! <Enumeration> <type>QuantLib::EuriborSwapFixA</type> <EnumerationDefinitions> --- 298,302 ---- </Enumeration> ! <!--Enumeration> <type>QuantLib::EuriborSwapFixA</type> <EnumerationDefinitions> *************** *** 377,382 **** </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration> ! </Enumerations> </root> --- 377,382 ---- </EnumerationDefinition> </EnumerationDefinitions> ! </Enumeration--> ! </Enumerations> </root> |
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From: Eric E. <eri...@us...> - 2006-07-27 17:46:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31977/gensrc/metadata Modified Files: capletvolstructure.xml swaptionvolstructure.xml termstructures.xml Log Message: remove redundant platform tags Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** capletvolstructure.xml 13 Jul 2006 09:41:01 -0000 1.6 --- capletvolstructure.xml 27 Jul 2006 17:46:12 -0000 1.7 *************** *** 18,22 **** <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>volatility</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters> --- 18,21 ---- *************** *** 47,51 **** <description>Returns the minimum strike for which the term structure can return vols.</description> <libraryFunction>minStrike</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 46,49 ---- *************** *** 60,64 **** <description>Returns the maximum strike for which the term structure can return vols.</description> <libraryFunction>maxStrike</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 58,61 ---- *************** *** 108,112 **** <Constructor name='qlCapletVTSConstant' dependencyTrigger='true'> <libraryFunction>CapletConstantVolatility</libraryFunction> - <platforms>EGO</platforms> <ParameterList> <Parameters> --- 105,108 ---- Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** swaptionvolstructure.xml 19 Jul 2006 16:39:46 -0000 1.23 --- swaptionvolstructure.xml 27 Jul 2006 17:46:12 -0000 1.24 *************** *** 20,24 **** <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters> --- 20,23 ---- *************** *** 54,58 **** <description>Returns the latest start date for which the term structure can return vols.</description> <libraryFunction>maxStartDate</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 53,56 ---- *************** *** 66,72 **** <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxLength</libraryFunction> ! <platforms>EO</platforms> ! <ParameterList> <Parameters/> </ParameterList> --- 64,68 ---- <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxLength</libraryFunction> <ParameterList> <Parameters/> </ParameterList> *************** *** 80,84 **** <description>Returns the minimum strike for which the term structure can return vols.</description> <libraryFunction>minStrike</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 76,79 ---- *************** *** 93,97 **** <description>Returns the maximum strike for which the term structure can return vols.</description> <libraryFunction>maxStrike</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 88,91 ---- *************** *** 141,145 **** <Constructor name='qlSwaptionVTSConstant' dependencyTrigger='true'> <libraryFunction>SwaptionConstantVolatility</libraryFunction> - <platforms>EGO</platforms> <ParameterList> <Parameters> --- 135,138 ---- *************** *** 165,169 **** <Constructor name='qlSwaptionVTSMatrix' dependencyTrigger='true'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> - <platforms>EGO</platforms> <ParameterList> <Parameters> --- 158,161 ---- *************** *** 204,208 **** <Constructor name='qlSwaptionVTSMatrix2' dependencyTrigger='true'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> - <platforms>EGO</platforms> <ParameterList> <Parameters> --- 196,199 ---- *************** *** 236,240 **** <description>Returns the underlying swap day counter.</description> <libraryFunction>dayCounter</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 227,230 ---- *************** *** 249,253 **** <description>Returns the vector of swaption exercise dates.</description> <libraryFunction>exerciseDates</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 239,242 ---- *************** *** 262,266 **** <description>Returns the vector of underlying swap lengths.</description> <libraryFunction>lengths</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 251,254 ---- Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** termstructures.xml 24 Jul 2006 15:45:24 -0000 1.25 --- termstructures.xml 27 Jul 2006 17:46:12 -0000 1.26 *************** *** 14,18 **** <description>Returns the reference date for the given TermStructure object</description> <libraryFunction>referenceDate</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 14,17 ---- *************** *** 27,31 **** <description>Returns the calendar used by the given TermStructure object</description> <libraryFunction>calendar</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 26,29 ---- *************** *** 40,44 **** <description>Returns the max date for the given TermStructure object</description> <libraryFunction>maxDate</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 38,41 ---- *************** *** 53,57 **** <description>Returns the DayCounter used by the given TermStructure object</description> <libraryFunction>dayCounter</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters/> --- 50,53 ---- *************** *** 66,70 **** <description>Returns a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> <libraryFunction>discount</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters> --- 62,65 ---- *************** *** 90,94 **** <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters> --- 85,88 ---- *************** *** 134,138 **** <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters> --- 128,131 ---- *************** *** 173,177 **** <description>return a vector of implied par rates corresponding to input vector of tenors for given date/payment frequency</description> <libraryFunction>parRate</libraryFunction> - <platforms>EO</platforms> <ParameterList> <Parameters> --- 166,169 ---- *************** *** 261,265 **** <Constructor name='qlPiecewiseYieldCurve' dependencyTrigger='true'> <libraryFunction>PiecewiseYieldCurve</libraryFunction> - <platforms>EGO</platforms> <ParameterList> <Parameters> --- 253,256 ---- |
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From: Eric E. <eri...@us...> - 2006-07-27 16:18:00
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18550/qlo Modified Files: typefactory.hpp Log Message: undo linux changes which break on Windows Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** typefactory.hpp 27 Jul 2006 14:06:32 -0000 1.21 --- typefactory.hpp 27 Jul 2006 14:50:17 -0000 1.22 *************** *** 90,95 **** for (i = type_map->begin(); i != type_map->end(); i++) if (uppercase(i->first) == idUpper) ! //return static_cast<ConstructorSignature>(i->second); ! return reinterpret_cast<ConstructorSignature>(i->second); QL_FAIL("Unknown id for Type: " << id); } --- 90,95 ---- for (i = type_map->begin(); i != type_map->end(); i++) if (uppercase(i->first) == idUpper) ! return static_cast<ConstructorSignature>(i->second); ! //return reinterpret_cast<ConstructorSignature>(i->second); QL_FAIL("Unknown id for Type: " << id); } *************** *** 100,105 **** public: T operator()(const std::string& id) { ! //return *(getType<std::string, T*>(id)); ! return *(this->getType(id)); } using RegistryManager<T, EnumTypeRegistry>::checkType; --- 100,105 ---- public: T operator()(const std::string& id) { ! return *(getType<std::string, T*>(id)); ! //return *(this->getType(id)); } using RegistryManager<T, EnumTypeRegistry>::checkType; |
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From: Eric E. <eri...@us...> - 2006-07-27 14:56:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/qlo Modified Files: Makefile.am conversions.hpp enumclassctors.cpp getcovariance.hpp index.cpp index.hpp quantovanillaoption.hpp symmetricschurdecomposition.hpp typefactory.hpp Log Message: changes for linux/gcc4.1.0 Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** conversions.hpp 27 Jul 2006 09:37:46 -0000 1.13 --- conversions.hpp 27 Jul 2006 14:06:31 -0000 1.14 *************** *** 28,32 **** --- 28,35 ---- #include <ql/calendar.hpp> #include <ql/interestrate.hpp> + #include <ql/handle.hpp> + #include <oh/objecthandler.hpp> #include <qlo/handle.hpp> + #include <qlo/typefactory.hpp> #include <vector> Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** index.cpp 21 Jul 2006 18:19:17 -0000 1.6 --- index.cpp 27 Jul 2006 14:06:31 -0000 1.7 *************** *** 62,64 **** --- 62,65 ---- fixedLegDayCounter, index)); } + } Index: symmetricschurdecomposition.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/symmetricschurdecomposition.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** symmetricschurdecomposition.hpp 23 Jun 2006 17:20:55 -0000 1.1 --- symmetricschurdecomposition.hpp 27 Jul 2006 14:06:32 -0000 1.2 *************** *** 28,32 **** { public: ! SymmetricSchurDecomposition::SymmetricSchurDecomposition( const QuantLib::Matrix & s); }; --- 28,32 ---- { public: ! SymmetricSchurDecomposition( const QuantLib::Matrix & s); }; Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** typefactory.hpp 25 Jul 2006 14:18:11 -0000 1.20 --- typefactory.hpp 27 Jul 2006 14:06:32 -0000 1.21 *************** *** 48,69 **** class RegistryManager { protected: - //template<typename ConstructorSignature> - //ConstructorSignature getType(const std::string& id) { - // typename RegistryClass::TypeMapPtr type_map = getTypeMap(); - // std::string idUpper = QuantLib::uppercase(id); - // for (typename RegistryClass::TypeMap::iterator i = type_map->begin(); i != type_map->end(); i++) - // if (QuantLib::uppercase(i->first) == idUpper) - // return static_cast<ConstructorSignature>(i->second); - // QL_FAIL("Unknown id for Type: " << id); - //} template<typename KeyClass, typename ConstructorSignature> ! ConstructorSignature getType(const KeyClass& id) { ! typename RegistryClass::TypeMapPtr type_map = getTypeMap(); ! KeyClass idUpper = uppercase(id); ! for (typename RegistryClass::TypeMap::iterator i = type_map->begin(); i != type_map->end(); i++) ! if (uppercase(i->first) == idUpper) ! return static_cast<ConstructorSignature>(i->second); ! QL_FAIL("Unknown id for Type: " << id); ! } bool checkType(const std::string& id) { --- 48,53 ---- class RegistryManager { protected: template<typename KeyClass, typename ConstructorSignature> ! ConstructorSignature getType(const KeyClass& id); bool checkType(const std::string& id) { *************** *** 97,100 **** --- 81,98 ---- }; + template<typename T, typename RegistryClass> + template<typename KeyClass, typename ConstructorSignature> + ConstructorSignature + RegistryManager<T, RegistryClass>::getType(const KeyClass& id) { + typename RegistryClass::TypeMapPtr type_map = getTypeMap(); + KeyClass idUpper = uppercase(id); + typename RegistryClass::TypeMap::iterator i; + for (i = type_map->begin(); i != type_map->end(); i++) + if (uppercase(i->first) == idUpper) + //return static_cast<ConstructorSignature>(i->second); + return reinterpret_cast<ConstructorSignature>(i->second); + QL_FAIL("Unknown id for Type: " << id); + } + /* *** Enumerated Types *** */ template<typename T> *************** *** 102,106 **** public: T operator()(const std::string& id) { ! return *(getType<std::string, T*>(id)); } using RegistryManager<T, EnumTypeRegistry>::checkType; --- 100,105 ---- public: T operator()(const std::string& id) { ! //return *(getType<std::string, T*>(id)); ! return *(this->getType(id)); } using RegistryManager<T, EnumTypeRegistry>::checkType; *************** *** 148,152 **** boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID, const long& timeSteps) { ! QL_REQUIRE(timeSteps>0, "timeSteps must be positive"); // FIXME move this validation into QL PricingEngineConstructor pricingEngineConstructor = getType<std::string, PricingEngineConstructor>(engineID); --- 147,152 ---- boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID, const long& timeSteps) { ! // FIXME move this validation into QL ! QL_REQUIRE(timeSteps>0, "timeSteps must be positive"); PricingEngineConstructor pricingEngineConstructor = getType<std::string, PricingEngineConstructor>(engineID); Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 27 Jul 2006 14:06:31 -0000 1.2 *************** *** 2,11 **** AM_CPPFLAGS = -I${top_srcdir} AM_LDFLAGS = -release $(PACKAGE_VERSION) ! includedir = $(prefix)/include/qla lib_LTLIBRARIES = libQuantLibAddin.la EXTRA_DIST = \ ! autolink.hpp include_HEADERS = \ --- 2,11 ---- AM_CPPFLAGS = -I${top_srcdir} AM_LDFLAGS = -release $(PACKAGE_VERSION) ! includedir = $(prefix)/include/qlo lib_LTLIBRARIES = libQuantLibAddin.la EXTRA_DIST = \ ! auto_link.hpp include_HEADERS = \ *************** *** 13,31 **** barrieroption.hpp \ baseinstruments.hpp \ calendar.hpp \ capfloor.hpp \ ! clientutils.hpp \ cliquetoption.hpp \ ! config.hpp \ couponvectors.hpp \ dividendvanillaoption.hpp \ europeanoption.hpp \ exercise.hpp \ ! fixedcouponbond.hpp \ forwardvanillaoption.hpp \ ! generalutils.hpp \ ! instruments.hpp \ interpolation.hpp \ options.hpp \ processes.hpp \ qladdindefines.hpp \ --- 13,39 ---- barrieroption.hpp \ baseinstruments.hpp \ + bonds.hpp \ calendar.hpp \ capfloor.hpp \ ! capletvolstructure.hpp \ cliquetoption.hpp \ ! conversions.hpp \ couponvectors.hpp \ dividendvanillaoption.hpp \ + enumclassctors.hpp \ europeanoption.hpp \ exercise.hpp \ ! forwardrateagreement.hpp \ forwardvanillaoption.hpp \ ! getcovariance.hpp \ ! handle.hpp \ ! index.hpp \ ! interpolation2D.hpp \ interpolation.hpp \ + mathf.hpp \ + optimization.hpp \ options.hpp \ + payoffs.hpp \ + pricingengines.hpp \ processes.hpp \ qladdindefines.hpp \ *************** *** 34,41 **** quantovanillaoption.hpp \ randomsequencegenerator.hpp \ schedule.hpp \ shortratemodels.hpp \ - simpleswap.hpp \ swap.hpp \ termstructures.hpp \ typefactory.hpp \ --- 42,52 ---- quantovanillaoption.hpp \ randomsequencegenerator.hpp \ + ratehelpers.hpp \ schedule.hpp \ shortratemodels.hpp \ swap.hpp \ + swaption.hpp \ + swaptionvolstructure.hpp \ + symmetricschurdecomposition.hpp \ termstructures.hpp \ typefactory.hpp \ *************** *** 43,110 **** utilities.hpp \ vanillaoption.hpp \ vo_capfloor.hpp \ vo_couponvectors.hpp \ vo_exercise.hpp \ ! vo_instruments.hpp \ vo_interpolation.hpp \ volatilities.hpp \ vo_options.hpp \ vo_processes.hpp \ vo_randomsequencegenerator.hpp \ vo_schedule.hpp \ vo_shortratemodels.hpp \ - vo_simpleswap.hpp \ vo_swap.hpp \ vo_termstructures.hpp \ ! vo_volatilities.hpp \ ! vo_xibor.hpp \ ! xibor.hpp \ ! zerocouponbond.hpp libQuantLibAddin_la_SOURCES = \ asianoption.cpp \ barrieroption.cpp \ calendar.cpp \ capfloor.cpp \ ! clientutils.cpp \ cliquetoption.cpp \ ! complextyperegistry.cpp \ couponvectors.cpp \ dividendvanillaoption.cpp \ ! enumregistry.cpp \ europeanoption.cpp \ exercise.cpp \ ! fixedcouponbond.cpp \ forwardvanillaoption.cpp \ ! generalutils.cpp \ interpolation.cpp \ processes.cpp \ quantoforwardvanillaoption.cpp \ quantovanillaoption.cpp \ randomsequencegenerator.cpp \ schedule.cpp \ shortratemodels.cpp \ - simpleswap.cpp \ swap.cpp \ termstructures.cpp \ utilities.cpp \ vanillaoption.cpp \ vo_capfloor.cpp \ vo_couponvectors.cpp \ vo_exercise.cpp \ ! vo_instruments.cpp \ vo_interpolation.cpp \ volatilities.cpp \ vo_options.cpp \ vo_processes.cpp \ vo_randomsequencegenerator.cpp \ vo_schedule.cpp \ vo_shortratemodels.cpp \ - vo_simpleswap.cpp \ vo_swap.cpp \ vo_termstructures.cpp \ ! vo_volatilities.cpp \ ! vo_xibor.cpp \ ! xibor.cpp \ ! zerocouponbond.cpp --- 54,152 ---- utilities.hpp \ vanillaoption.hpp \ + vanillaswap.hpp \ + vcconfig.hpp \ + vo_bonds.hpp \ + vo_calendar.hpp \ vo_capfloor.hpp \ + vo_capletvolstructure.hpp \ vo_couponvectors.hpp \ vo_exercise.hpp \ ! vo_forwardrateagreement.hpp \ ! vo_index.hpp \ vo_interpolation.hpp \ volatilities.hpp \ + vo_mathf.hpp \ + vo_optimization.hpp \ vo_options.hpp \ + vo_payoffs.hpp \ + vo_pricingengines.hpp \ vo_processes.hpp \ vo_randomsequencegenerator.hpp \ + vo_ratehelpers.hpp \ vo_schedule.hpp \ vo_shortratemodels.hpp \ vo_swap.hpp \ + vo_swaption.hpp \ + vo_swaptionvolstructure.hpp \ vo_termstructures.hpp \ ! vo_vanillaswap.hpp \ ! vo_volatilities.hpp libQuantLibAddin_la_SOURCES = \ asianoption.cpp \ barrieroption.cpp \ + bonds.cpp \ calendar.cpp \ capfloor.cpp \ ! capletvolstructure.cpp \ cliquetoption.cpp \ ! conversions.cpp \ couponvectors.cpp \ dividendvanillaoption.cpp \ ! enumclassctors.cpp \ ! enumclassregistry.cpp \ ! enumtyperegistry.cpp \ europeanoption.cpp \ exercise.cpp \ ! forwardrateagreement.cpp \ forwardvanillaoption.cpp \ ! getcovariance.cpp \ ! index.cpp \ ! interpolation2D.cpp \ interpolation.cpp \ + optimization.cpp \ + payoffs.cpp \ + pricingengines.cpp \ processes.cpp \ quantoforwardvanillaoption.cpp \ quantovanillaoption.cpp \ randomsequencegenerator.cpp \ + ratehelpers.cpp \ schedule.cpp \ shortratemodels.cpp \ swap.cpp \ + swaption.cpp \ + swaptionvolstructure.cpp \ + symmetricschurdecomposition.cpp \ termstructures.cpp \ utilities.cpp \ vanillaoption.cpp \ + vanillaswap.cpp \ + vo_bonds.cpp \ + vo_calendar.cpp \ vo_capfloor.cpp \ + vo_capletvolstructure.cpp \ vo_couponvectors.cpp \ vo_exercise.cpp \ ! vo_forwardrateagreement.cpp \ ! vo_index.cpp \ vo_interpolation.cpp \ volatilities.cpp \ + vo_mathf.cpp \ + vo_optimization.cpp \ vo_options.cpp \ + vo_payoffs.cpp \ + vo_pricingengines.cpp \ vo_processes.cpp \ vo_randomsequencegenerator.cpp \ + vo_ratehelpers.cpp \ vo_schedule.cpp \ vo_shortratemodels.cpp \ vo_swap.cpp \ + vo_swaption.cpp \ + vo_swaptionvolstructure.cpp \ vo_termstructures.cpp \ ! vo_vanillaswap.cpp \ ! vo_volatilities.cpp ! Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** index.hpp 21 Jul 2006 18:19:17 -0000 1.6 --- index.hpp 27 Jul 2006 14:06:32 -0000 1.7 *************** *** 27,31 **** #include <ql/yieldtermstructure.hpp> #include <ql/Indexes/xibor.hpp> ! #include <ql/Indexes/swaprate.hpp> namespace QuantLibAddin { --- 27,31 ---- #include <ql/yieldtermstructure.hpp> #include <ql/Indexes/xibor.hpp> ! //#include <ql/Indexes/swaprate.hpp> namespace QuantLibAddin { *************** *** 57,60 **** --- 57,61 ---- const boost::shared_ptr<QuantLib::Xibor>& index); }; + } Index: getcovariance.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/getcovariance.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** getcovariance.hpp 12 Jul 2006 14:03:39 -0000 1.1 --- getcovariance.hpp 27 Jul 2006 14:06:31 -0000 1.2 *************** *** 35,39 **** { public: ! CovarianceDecomposition::CovarianceDecomposition( const QuantLib::Matrix& cov, double tol); --- 35,39 ---- { public: ! CovarianceDecomposition( const QuantLib::Matrix& cov, double tol); Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** enumclassctors.cpp 25 Jul 2006 16:38:26 -0000 1.9 --- enumclassctors.cpp 27 Jul 2006 14:06:31 -0000 1.10 *************** *** 301,305 **** } ! /* *** EuriborSwapFixA *** */ boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( --- 301,305 ---- } ! /* *** EuriborSwapFixA *** */ boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { return boost::shared_ptr<QuantLib::EuriborSwapFixA>( Index: quantovanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** quantovanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.6 --- quantovanillaoption.hpp 27 Jul 2006 14:06:32 -0000 1.7 *************** *** 27,37 **** class QuantoVanillaOption : public OneAssetOption { public: ! QuantoVanillaOption::QuantoVanillaOption( const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); }; --- 27,37 ---- class QuantoVanillaOption : public OneAssetOption { public: ! QuantoVanillaOption( const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr<QuantLib::BlackVolTermStructure> &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> &blackScholesProcess, const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff, ! const boost::shared_ptr<QuantLib::Exercise> &exercise, const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); }; |
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From: Eric E. <eri...@us...> - 2006-07-27 14:53:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056 Modified Files: Makefile.am configure.ac Log Message: changes for linux/gcc4.1.0 Index: configure.ac =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/configure.ac,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** configure.ac 19 May 2006 16:56:16 -0000 1.1 --- configure.ac 27 Jul 2006 14:06:30 -0000 1.2 *************** *** 4,10 **** [QuantLibAddin]) AC_PREREQ(2.50) ! AC_CONFIG_SRCDIR([qla/qladdin.hpp]) AC_CONFIG_AUX_DIR([config]) ! AC_CONFIG_HEADERS([qla/config.hpp]) AM_INIT_AUTOMAKE([foreign]) --- 4,10 ---- [QuantLibAddin]) AC_PREREQ(2.50) ! AC_CONFIG_SRCDIR([qlo/qladdin.hpp]) AC_CONFIG_AUX_DIR([config]) ! AC_CONFIG_HEADERS([qlo/config.hpp]) AM_INIT_AUTOMAKE([foreign]) *************** *** 83,99 **** # done, output the configured files AC_CONFIG_FILES([ - Makefile - srcgen/Makefile - qla/Makefile - Addins/C/Makefile Addins/Calc/Makefile ! Addins/Excel/Makefile Addins/Guile/Makefile Clients/C/Makefile Clients/C++/Makefile - Clients/Calc/Makefile - Clients/Excel/Makefile Clients/Guile/Makefile ! Docs/Makefile]) AC_OUTPUT --- 83,102 ---- # done, output the configured files AC_CONFIG_FILES([ Addins/Calc/Makefile ! Addins/C/Makefile Addins/Guile/Makefile + Clients/Calc/Makefile Clients/C/Makefile Clients/C++/Makefile Clients/Guile/Makefile ! Docs/Makefile ! gensrc/config/Makefile ! gensrc/Makefile ! gensrc/metadata/Makefile ! gensrc/scripts/Makefile ! gensrc/stubs/Makefile ! Makefile ! qlo/Makefile]) ! AC_OUTPUT Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 27 Jul 2006 14:06:30 -0000 1.2 *************** *** 1,14 **** SUBDIRS = \ ! srcgen \ ! qla \ Addins/C \ Addins/Calc \ - Addins/Excel \ Addins/Guile \ Clients/C \ Clients/C++ \ Clients/Calc \ - Clients/Excel \ Clients/Guile \ Docs --- 1,16 ---- SUBDIRS = \ ! gensrc \ ! gensrc/config \ ! gensrc/metadata \ ! gensrc/scripts \ ! gensrc/stubs \ ! qlo \ Addins/C \ Addins/Calc \ Addins/Guile \ Clients/C \ Clients/C++ \ Clients/Calc \ Clients/Guile \ Docs *************** *** 22,35 **** LICENSE.TXT \ NEWS.txt \ - QuantLibAddin.dsp \ - QuantLibAddin.dsw \ QuantLibAddin.nsi \ - QuantLibAddin-bin.nsi \ QuantLibAddin.sln \ - QuantLibAddin.vcproj \ QuantLibAddin_vc8.sln \ ! QuantLibAddin_vc8.vcproj \ README.txt \ ! TODO.txt .PHONY: docs docs-online docs-dist docs-clean --- 24,36 ---- LICENSE.TXT \ NEWS.txt \ QuantLibAddin.nsi \ QuantLibAddin.sln \ QuantLibAddin_vc8.sln \ ! QuantLibObjects_vc8.vcproj \ ! QuantLibObjects.vcproj \ README.txt \ ! todo.csv \ ! todonando.txt \ ! todo.txt .PHONY: docs docs-online docs-dist docs-clean |
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From: Eric E. <eri...@us...> - 2006-07-27 14:52:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/Addins/C Modified Files: Makefile.am Log Message: changes for linux/gcc4.1.0 Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 27 Jul 2006 14:06:30 -0000 1.2 *************** *** 3,7 **** EXTRA_DIST = \ - AddinC.dsp \ AddinC.vcproj \ AddinC_vc8.vcproj --- 3,6 ---- |
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From: Eric E. <eri...@us...> - 2006-07-27 14:37:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/gensrc Modified Files: .cvsignore Added Files: Makefile.am Log Message: changes for linux/gcc4.1.0 Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/.cvsignore,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** .cvsignore 23 May 2006 16:41:17 -0000 1.1 --- .cvsignore 27 Jul 2006 14:06:30 -0000 1.2 *************** *** 1,2 **** ! *.user ! build --- 1,3 ---- ! Makefile ! Makefile.in ! .time-stamp --- NEW FILE: Makefile.am --- # gensrc.py probably needs to be re-executed if any of these change #GENSRC_INPUT := addincalc.xml \ # addinc.xml \ # addindoxygen.xml \ # addinexcel.xml \ # addinguile.xml \ # addinqla.xml \ # basic.xml \ # capfloor.xml \ # config.xml \ # couponvectors.xml \ # enumerations.xml \ # instruments.xml \ # interpolation.xml \ # ohfunctions.xml \ # options.xml \ # processes.xml \ # schedule.xml \ # shortratemodels.xml \ # simpleswap.xml \ # swap.xml \ # termstructures.xml \ # utilities.xml \ # volatilities.xml \ # xibor.xml #gensrc_pys := addincalc.py \ # addinc.py \ # addindoxygen.py \ # addinexcel.py \ # addinguile.py \ # addin.py \ # addinqla.py \ # buffer.py \ # category.py \ # common.py \ # config.py \ # enumeration.py \ # factory.py \ # function.py \ # log.py \ # outputfile.py \ # parameter.py \ # rule.py \ # serializable.py \ # serializer.py \ # singleton.py \ # gensrc.py \ # xmlreader.py #GENSRC_STUBS := stub.calc.function \ # stub.calc.idlfoot \ # stub.calc.idlfunc \ # stub.calc.idlhead \ # stub.calc.includes \ # stub.calc.map \ # stub.c.function \ # stub.c.includes \ # stub.copyright \ # stub.doxygen.categories \ # stub.doxygen.enums \ # stub.doxygen.header \ # stub.excel.function \ # stub.excel.includes \ # stub.excel.register \ # stub.guile.function \ # stub.guile.includes \ # stub.guile.initfunc \ # stub.qla.includes # this should prevent running from a distributed tarball #EXTRA_DIST = .time-stamp \ # Makefile.vc \ # gensrc.dsp \ # gensrc.vcproj \ # gensrc_vc8.vcproj \ # $(GENSRC_INPUT) \ # $(GENSRC_PYS) \ # $(GENSRC_STUBS) EXTRA_DIST = .time-stamp \ gensrc_vc8.vcproj \ gensrc.vcproj \ Makefile.vc # command line arguments GENSRC_ARGS = -dqv if BUILD_C GENSRC_ARGS += -c endif if BUILD_CALC GENSRC_ARGS += -o endif if BUILD_EXCEL GENSRC_ARGS += -e endif if BUILD_GUILE GENSRC_ARGS += -g endif all-local: .time-stamp .time-stamp: $(GENSRC_INPUT) $(GENSRC_PYS) $(GENSRC_STUBS) python scripts/gensrc.py $(GENSRC_ARGS) touch .time-stamp |
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From: Eric E. <eri...@us...> - 2006-07-27 14:37:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++ In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/Clients/C++ Modified Files: Makefile.am qlademo.cpp Log Message: changes for linux/gcc4.1.0 Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 27 Jul 2006 14:06:30 -0000 1.2 *************** *** 1,8 **** AM_CPPFLAGS = -I${top_srcdir} ! LDADD = ../../qla/libQuantLibAddin.la LDFLAGS = -lObjectHandler -lQuantLib -lQuantLibFunctions ! noinst_PROGRAMS = QLADemo Options Instruments CapFloors EXTRA_DIST = \ --- 1,8 ---- AM_CPPFLAGS = -I${top_srcdir} ! LDADD = ../../qlo/libQuantLibAddin.la LDFLAGS = -lObjectHandler -lQuantLib -lQuantLibFunctions ! noinst_PROGRAMS = QLADemo #Options Instruments CapFloors EXTRA_DIST = \ *************** *** 12,17 **** QLADemo_SOURCES = qlademo.cpp ! Options_SOURCES = options.cpp ! Instruments_SOURCES = instruments.cpp ! CapFloors_SOURCES = capfloor.cpp --- 12,17 ---- QLADemo_SOURCES = qlademo.cpp ! #Options_SOURCES = options.cpp ! #Instruments_SOURCES = instruments.cpp ! #CapFloors_SOURCES = capfloor.cpp Index: qlademo.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++/qlademo.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** qlademo.cpp 16 Jul 2006 10:42:41 -0000 1.2 --- qlademo.cpp 27 Jul 2006 14:06:30 -0000 1.3 *************** *** 16,19 **** --- 16,20 ---- */ + #include <ql/quantlib.hpp> #include <qlo/qladdin.hpp> #include <sstream> *************** *** 39,42 **** --- 40,46 ---- try { + // instantiate the objecthandler singleton + ObjHandler::ObjectHandler oh; + logMessage(qlVersion()); logMessage(OBJHANDLER_VERSION); *************** *** 47,109 **** double underlying = 36; double strike = 40; ! long timeSteps = 801; Date exerciseDate(13, March, 2020); Date settlementDate(13, March, 2019); ! obj_ptr blackConstantVol(new QuantLibAddin::BlackConstantVol( ! settlementDate, // settlement date as long ! volatility, // volatility ! Actual360())); // daycount convention ! storeObject("my_blackconstantvol", blackConstantVol); ! obj_ptr blackScholesProcess(new QuantLibAddin::GeneralizedBlackScholesProcess( ! "my_blackconstantvol", // black constant vol object ID ! underlying, // underlying ! Actual360(), // daycount convention ! settlementDate, // settlement date as long ! riskFreeRate, // risk free rate ! dividendYield)); // dividend yield ! storeObject("my_blackscholes", blackScholesProcess); ! obj_ptr exercise(new QuantLibAddin::AmericanExercise( ! settlementDate, // settlement date ! exerciseDate, // exercise date ! false)); // payoff at expiry ! storeObject("my_exercise", exercise); - obj_ptr vanillaOption(new QuantLibAddin::VanillaOption( - "my_blackscholes", // stochastic process object ID - "Put", // option type - "Vanilla", // payoff type - strike, // strike price - "my_exercise", // exercise object ID - "JR", // engine type (jarrow rudd) - timeSteps)); // time steps - storeObject("my_option", vanillaOption); vanillaOption->setProperties(boost::shared_ptr<ObjHandler::ValueObject>(new QuantLibAddin::ValueObjects::qlVanillaOption( ! "my_option", // object ID ! "my_blackscholes", // stochastic process object ID ! "Put", // option type ! "Vanilla", // payoff type ! strike, // strike price ! "my_exercise", // exercise object ID ! "JR", // engine type (jarrow rudd) ! timeSteps))); // time steps logMessage("High-level interrogation of VanillaOption"); logObject("my_option"); - OH_GET_OBJECT(vanillaOptionQLA, "my_option", QuantLibAddin::VanillaOption) - - vanillaOptionQLA->setEngine( - "AEQPB", // AdditiveEQPBinomialTree - timeSteps); - logMessage("Low-level interrogation: NPV of underlying option object"); ! const boost::shared_ptr< QuantLib::VanillaOption > vanillaOptionQL = ! boost::static_pointer_cast< QuantLib::VanillaOption > ! (vanillaOptionQLA->getReference()); ostringstream s; ! s << "underlying option NPV() = " << vanillaOptionQL->NPV(); logMessage(s.str()); --- 51,137 ---- double underlying = 36; double strike = 40; ! //long timeSteps = 801; Date exerciseDate(13, March, 2020); Date settlementDate(13, March, 2019); ! boost::shared_ptr<Object> blackConstantVol( ! new QuantLibAddin::BlackConstantVol( ! settlementDate, // settlement date as long ! volatility, // volatility ! Actual360())); // daycount convention ! ObjHandler::ObjectHandler::instance().storeObject( ! "my_blackconstantvol", blackConstantVol); ! OH_GET_REFERENCE(blackvolRef, "my_blackconstantvol", ! QuantLibAddin::BlackVolTermStructure, QuantLib::BlackVolTermStructure) ! boost::shared_ptr<Object> blackScholesProcess( ! new QuantLibAddin::GeneralizedBlackScholesProcess( ! blackvolRef, // black constant vol object ID ! underlying, // underlying ! Actual360(), // daycount convention ! settlementDate, // settlement date as long ! riskFreeRate, // risk free rate ! dividendYield)); // dividend yield ! ObjHandler::ObjectHandler::instance().storeObject( ! "my_blackscholes", blackScholesProcess); ! ! boost::shared_ptr<ObjHandler::Object> payoff( ! new QuantLibAddin::StrikedTypePayoff( ! "vanilla", ! Option::Put, ! strike)); ! ObjHandler::ObjectHandler::instance().storeObject( ! "my_payoff", payoff); ! ! boost::shared_ptr<Object> exercise( ! new QuantLibAddin::AmericanExercise( ! settlementDate, // settlement date ! exerciseDate, // exercise date ! false)); // payoff at expiry ! ObjHandler::ObjectHandler::instance().storeObject( ! "my_exercise", exercise); ! ! boost::shared_ptr<Object> engine( ! new QuantLibAddin::PricingEngine( ! "JR")); // engine ID ! ObjHandler::ObjectHandler::instance().storeObject( ! "my_engine", engine); ! ! OH_GET_REFERENCE(blackscholesRef, "my_blackscholes", ! QuantLibAddin::GeneralizedBlackScholesProcess, ! QuantLib::GeneralizedBlackScholesProcess) ! ! OH_GET_REFERENCE(payoffRef, "my_payoff", ! QuantLibAddin::StrikedTypePayoff, QuantLib::StrikedTypePayoff) ! ! OH_GET_REFERENCE(exerciseRef, "my_exercise", ! QuantLibAddin::AmericanExercise, QuantLib::Exercise) ! ! OH_GET_REFERENCE(engineRef, "my_engine", ! QuantLibAddin::PricingEngine, QuantLib::PricingEngine) ! ! boost::shared_ptr<Object> vanillaOption(new QuantLibAddin::VanillaOption( ! blackscholesRef, // black scholes object ! payoffRef, // payoff object ! exerciseRef, // exercise object ! engineRef)); // engine object ! ObjHandler::ObjectHandler::instance().storeObject("my_option", vanillaOption); vanillaOption->setProperties(boost::shared_ptr<ObjHandler::ValueObject>(new QuantLibAddin::ValueObjects::qlVanillaOption( ! "my_option", // object ID ! "my_blackscholes", // stochastic process object ID ! "my_payoff", // option type ! "my_exercise", // payoff type ! "my_engine"))); // time steps logMessage("High-level interrogation of VanillaOption"); logObject("my_option"); logMessage("Low-level interrogation: NPV of underlying option object"); ! OH_GET_REFERENCE(optionRef, "my_option", ! QuantLibAddin::VanillaOption, QuantLib::VanillaOption) ostringstream s; ! s << "underlying option NPV() = " << optionRef->NPV(); logMessage(s.str()); |
