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From: Eric E. <eri...@us...> - 2006-07-27 14:07:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31056/gensrc/scripts 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 = \ gensrc.py |
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From: Ferdinando A. <na...@us...> - 2006-07-25 16:38:39
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13127 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** todonando.txt 24 Jul 2006 08:13:10 -0000 1.26 --- todonando.txt 25 Jul 2006 16:38:35 -0000 1.27 *************** *** 1,4 **** --- 1,7 ---- QuantLib + - static Period Period::fromFrequency(Frequency freq) + - vola model, corr model + - cap bug - corregere OneAssetOption impliedVol - spreaded swaption vol matrix *************** *** 41,44 **** --- 44,56 ---- LUIGI + - refactor market model test suite: + 1 test per Forward e Caplet + OneStep (Full-Factor), Multi-Step (different number of factors: full,1,2,3,4) + evolutionDescription (diversi numerari: suggested, terminal, moneymarket) + diversi modelli di correlazione + diversi modelli volatilità + diversi BrownianGenerator + diversi Evolver (ogni evolver diversi fattori) + - introduce Sobol BrowianGenerator - Weekly CHANGELOG update - make BlackSwaptionEngine accept a SwaptionVolStructure input parameter *************** *** 49,57 **** discount grid - InterpolatedYieldTermStructure<Discount,LogLinear>::gridDates() - - static Period Period::fromFrequency(Frequency freq) - generic ForwardSpreadedYieldCurve (spread term structure) - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve - - why DayCounter::method is not static? (because they're virtual?) - --- 61,66 ---- |
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From: Ferdinando A. <na...@us...> - 2006-07-25 16:38:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13103/qlo Modified Files: enumclassctors.cpp Log Message: bug fix Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** enumclassctors.cpp 24 Jul 2006 15:45:24 -0000 1.8 --- enumclassctors.cpp 25 Jul 2006 16:38:26 -0000 1.9 *************** *** 452,456 **** return boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, ! QuantLib::Linear>( nDays, calendar, rateHelpers, --- 452,456 ---- return boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, ! QuantLib::Cubic>( nDays, calendar, rateHelpers, *************** *** 492,496 **** return boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, ! QuantLib::Linear>( nDays, calendar, rateHelpers, --- 492,496 ---- return boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, ! QuantLib::Cubic>( nDays, calendar, rateHelpers, |
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From: Eric E. <eri...@us...> - 2006-07-25 16:33:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11058/qlo Modified Files: conversions.hpp Log Message: additional support for IDs which may be Enumerations or Objects Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** conversions.hpp 21 Jul 2006 11:24:27 -0000 1.11 --- conversions.hpp 25 Jul 2006 16:33:34 -0000 1.12 *************** *** 98,117 **** } ! // Accept a string which is the ID of either ! // 1) A Euribor Enumerated Class ! // 2) An Object of class Index (or its derived classes e.g. Xibor, Euribor) ! template <class qlClass, class qloClass> ! inline boost::shared_ptr<qlClass> convertEuribor( const std::string &id, bool failIfEmpty = false) { if (id.empty()) { if (failIfEmpty) ! QL_FAIL("attempt to retrieve euribor object with null string as ID"); else return boost::shared_ptr<qlClass>(); } ! if (QuantLibAddin::Create<boost::shared_ptr<QuantLib::Euribor> >().checkType(id)) { ! boost::shared_ptr<QuantLib::Euribor> ret = ! QuantLibAddin::Create<boost::shared_ptr<QuantLib::Euribor> >()(id); boost::shared_ptr<qlClass> ret2 = boost::dynamic_pointer_cast<qlClass>(ret); --- 98,117 ---- } ! // enumOrObject - accept a string which is the ID of either ! // and Enumerated Class or an object in the repository, ! // and return the appropriate object ! template <class enumClass, class qlClass, class qloClass> ! inline boost::shared_ptr<qlClass> enumOrObject( const std::string &id, bool failIfEmpty = false) { if (id.empty()) { if (failIfEmpty) ! QL_FAIL("attempt to retrieve object with null string as ID"); else return boost::shared_ptr<qlClass>(); } ! if (QuantLibAddin::Create<boost::shared_ptr<enumClass> >().checkType(id)) { ! boost::shared_ptr<enumClass> ret = ! QuantLibAddin::Create<boost::shared_ptr<enumClass> >()(id); boost::shared_ptr<qlClass> ret2 = boost::dynamic_pointer_cast<qlClass>(ret); |
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From: Katiuscia M. <kma...@us...> - 2006-07-25 14:18:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19359/qlo Modified Files: typefactory.hpp Log Message: added instance of class Create in file typefactory.hpp for swap rate indices Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** typefactory.hpp 21 Jul 2006 18:19:17 -0000 1.19 --- typefactory.hpp 25 Jul 2006 14:18:11 -0000 1.20 *************** *** 209,212 **** --- 209,228 ---- }; + /* *** EuriborSwapFixA *** */ + typedef boost::shared_ptr<QuantLib::EuriborSwapFixA>(*EuriborSwapFixAConstructor)(); + + template<> + class Create<boost::shared_ptr<QuantLib::EuriborSwapFixA> > : + private RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry> { + public: + boost::shared_ptr<QuantLib::EuriborSwapFixA> operator() ( + const std::string& euriborSwapFixAID) { + EuriborSwapFixAConstructor euriborSwapFixAConstructor = + getType<std::string, EuriborSwapFixAConstructor>(euriborSwapFixAID); + return euriborSwapFixAConstructor(); + } + using RegistryManager<QuantLib::EuriborSwapFixA, EnumClassRegistry>::checkType; + }; + // a singleton to store the Handle<YieldTermStructure> // shared by all enumerated Euribor classes |
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From: Eric E. <eri...@us...> - 2006-07-24 20:35:38
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15999 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.40 retrieving revision 1.41 diff -C2 -d -r1.40 -r1.41 *** todo.csv 24 Jul 2006 14:38:16 -0000 1.40 --- todo.csv 24 Jul 2006 18:20:19 -0000 1.41 *************** *** 14,21 **** "QLA","Design","support vector iterators as parameters to QL functions","done",0,21/07/2006, ,,,,,, - "QLA","Docs","port workstation document into QLA documentation","done",1,24/07/2006, "OH","Design","ohDummyObject() to create an empty object for demo purposes",,1,, "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter",,1,, - "QLA","Enumerations","autogenerate Enumerated Classes for curves (std::pair<std::string, std::string>",,1,, "OH","Design","update design doc",,2,, "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics",,2,, --- 14,19 ---- *************** *** 59,62 **** --- 57,62 ---- "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","done",1,16/07/2006, "QLA","Design","add support for QLA methods which construct other QLA objects","done",1,16/07/2006, + "QLA","Docs","port workstation document into QLA documentation","done",1,24/07/2006, + "QLA","Enumerations","autogenerate Enumerated Classes for curves (std::pair<std::string, std::string>","done",1,24/07/2006, ,,,,,, "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",,07/04/2006, |
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From: Eric E. <eri...@us...> - 2006-07-24 18:06:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9922/gensrc Modified Files: Makefile.vc gensrc.vcproj gensrc_vc8.vcproj Log Message: autogenerate source code for yield curve factory Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** Makefile.vc 14 Jul 2006 17:35:30 -0000 1.17 --- Makefile.vc 24 Jul 2006 18:06:01 -0000 1.18 *************** *** 16,19 **** --- 16,20 ---- metadata\daycounter.xml \ metadata\enumclasses.xml \ + metadata\enumcurves.xml \ metadata\enumtypes.xml \ metadata\exercise.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** gensrc_vc8.vcproj 14 Jul 2006 17:35:30 -0000 1.17 --- gensrc_vc8.vcproj 24 Jul 2006 18:06:01 -0000 1.18 *************** *** 88,91 **** --- 88,95 ---- </File> <File + RelativePath="metadata\enumcurves.xml" + > + </File> + <File RelativePath="metadata\enumtypes.xml" > Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** gensrc.vcproj 18 Jul 2006 14:05:06 -0000 1.12 --- gensrc.vcproj 24 Jul 2006 18:06:01 -0000 1.13 *************** *** 61,64 **** --- 61,67 ---- </File> <File + RelativePath="metadata\enumcurves.xml"> + </File> + <File RelativePath="metadata\enumtypes.xml"> </File> |
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From: Eric E. <eri...@us...> - 2006-07-24 18:06:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9922/gensrc/metadata Added Files: enumcurves.xml Log Message: autogenerate source code for yield curve factory --- NEW FILE: enumcurves.xml --- <root> <Enumerations> <Enumeration> <type>QuantLib::YieldTermStructure</type> <EnumerationDefinitions> <!-- Discount based yield term structures --> <EnumerationDefinition> <key1>Discount</key1> <key2>Linear</key2> <value>DISCOUNT_LINEAR_PiecewiseYieldCurve</value> </EnumerationDefinition> <EnumerationDefinition> <key1>Discount</key1> <key2>LogLinear</key2> <value>DISCOUNT_LOGLINEAR_PiecewiseYieldCurve</value> </EnumerationDefinition> <EnumerationDefinition> <key1>Discount</key1> <key2>Cubic</key2> <value>DISCOUNT_CUBIC_PiecewiseYieldCurve</value> </EnumerationDefinition> <!-- ZeroYield based yield term structures --> <EnumerationDefinition> <key1>ZeroYield</key1> <key2>Linear</key2> <value>ZEROYIELD_LINEAR_PiecewiseYieldCurve</value> </EnumerationDefinition> <EnumerationDefinition> <key1>ZeroYield</key1> <key2>LogLinear</key2> <value>ZEROYIELD_LOGLINEAR_PiecewiseYieldCurve</value> </EnumerationDefinition> <EnumerationDefinition> <key1>ZeroYield</key1> <key2>Cubic</key2> <value>ZEROYIELD_CUBIC_PiecewiseYieldCurve</value> </EnumerationDefinition> <!--ForwardRate based yield term structures--> <EnumerationDefinition> <key1>ForwardRate</key1> <key2>Linear</key2> <value>FORWARDRATE_LINEAR_PiecewiseYieldCurve</value> </EnumerationDefinition> <EnumerationDefinition> <key1>ForwardRate</key1> <key2>LogLinear</key2> <value>FORWARDRATE_LOGLINEAR_PiecewiseYieldCurve</value> </EnumerationDefinition> <EnumerationDefinition> <key1>ForwardRate</key1> <key2>Cubic</key2> <value>FORWARDRATE_CUBIC_PiecewiseYieldCurve</value> </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> </Enumerations> </root> |
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From: Ferdinando A. <na...@us...> - 2006-07-24 15:45:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16039/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp termstructures.cpp termstructures.hpp Log Message: exporting PiecewiseYield alternatives Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** termstructures.hpp 27 Jun 2006 09:54:19 -0000 1.8 --- termstructures.hpp 24 Jul 2006 15:45:24 -0000 1.9 *************** *** 42,46 **** const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter); }; --- 42,48 ---- const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter, ! const std::string& traitsID, ! const std::string& interpolatorID); }; Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** termstructures.cpp 4 Jul 2006 17:07:56 -0000 1.14 --- termstructures.cpp 24 Jul 2006 15:45:24 -0000 1.15 *************** *** 39,44 **** const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter) { ! std::vector<boost::shared_ptr<QuantLib::RateHelper> > rateHelpersQL; std::vector<std::string>::const_iterator i; --- 39,46 ---- const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter, ! const std::string& traitsID, ! const std::string& interpolatorID) ! { std::vector<boost::shared_ptr<QuantLib::RateHelper> > rateHelpersQL; std::vector<std::string>::const_iterator i; *************** *** 72,76 **** libraryObject_ = Create<boost::shared_ptr<QuantLib::YieldTermStructure> >() ! ("Discount", "LogLinear", nDays, calendar, rateHelpersQL, dayCounter); /* --- 74,78 ---- libraryObject_ = Create<boost::shared_ptr<QuantLib::YieldTermStructure> >() ! (traitsID, interpolatorID, nDays, calendar, rateHelpersQL, dayCounter); /* Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** enumclassctors.cpp 21 Jul 2006 18:19:17 -0000 1.7 --- enumclassctors.cpp 24 Jul 2006 15:45:24 -0000 1.8 *************** *** 378,381 **** --- 378,395 ---- /* *** YieldTermStructure *** */ + //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 391,394 **** --- 405,501 ---- 1.0e-6)); } + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::Cubic>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::LogLinear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::LogLinear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** enumclassctors.hpp 21 Jul 2006 18:19:17 -0000 1.7 --- enumclassctors.hpp 24 Jul 2006 15:45:24 -0000 1.8 *************** *** 139,142 **** --- 139,148 ---- /* *** YieldTermStructure *** */ + //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 144,147 **** --- 150,191 ---- const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + } |
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From: Ferdinando A. <na...@us...> - 2006-07-24 15:45:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16039/gensrc/metadata Modified Files: termstructures.xml Log Message: exporting PiecewiseYield alternatives Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** termstructures.xml 19 Jul 2006 16:39:46 -0000 1.24 --- termstructures.xml 24 Jul 2006 15:45:24 -0000 1.25 *************** *** 11,16 **** <Functions> - - <Member name='qlTermStructureReferenceDate' libraryClass='TermStructure'> <description>Returns the reference date for the given TermStructure object</description> --- 11,14 ---- *************** *** 39,43 **** </Member> - <Member name='qlTermStructureMaxDate' libraryClass='TermStructure'> <description>Returns the max date for the given TermStructure object</description> --- 37,40 ---- *************** *** 66,71 **** </Member> - - <Member name='qlDiscount' libraryClass='YieldTermStructure' loopParameter='DfDates' dependencyTrigger='true'> <description>Returns a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> --- 63,66 ---- *************** *** 289,292 **** --- 284,297 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> + <Parameter name='traitsID' default='"Discount"'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Discount, ZeroRate, or ForwardRate</description> + </Parameter> + <Parameter name='interpolatorID' default='"LogLinear"'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Linear, LogLinear, or Cubic</description> + </Parameter> </Parameters> </ParameterList> |
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From: Eric E. <eri...@us...> - 2006-07-24 14:38:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20504 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** todo.csv 21 Jul 2006 08:16:58 -0000 1.39 --- todo.csv 24 Jul 2006 14:38:16 -0000 1.40 *************** *** 1,8 **** "project","subproject","task","status","priority","comp date","comment" ,,,,,, ! "gensrc","refactor","coercion implicit conversion between required datatypes for function input/output parameters","in progress",1,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." ! "gensrc","refactor","clean up handleToLib / libToHandle","in progress",1,, ! "gensrc","refactor","complete the separation of core gensrc functionality from platform- and library-specific functionality","in progress",1,, ! "gensrc","refactor","Handle - automate conversions so it's not necessary for developer to implement linkTo for every class","in progress",1,, "gensrc","refactor","remove large code snippets from addinexcel.xml","done",1,21/07/2006, "gensrc","refactor","consolidate XML tags libraryType/objectClass/libraryClass/getUnderlying","done",1,20/07/2006,"replace with referenceType='xxx'" --- 1,8 ---- "project","subproject","task","status","priority","comp date","comment" ,,,,,, ! "gensrc","refactor","coercion implicit conversion between required datatypes for function input/output parameters","on hold",1,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." ! "gensrc","refactor","clean up handleToLib / libToHandle","on hold",1,, ! "gensrc","refactor","complete the separation of core gensrc functionality from platform- and library-specific functionality","on hold",1,, ! "gensrc","refactor","Handle - automate conversions so it's not necessary for developer to implement linkTo for every class","on hold",1,, "gensrc","refactor","remove large code snippets from addinexcel.xml","done",1,21/07/2006, "gensrc","refactor","consolidate XML tags libraryType/objectClass/libraryClass/getUnderlying","done",1,20/07/2006,"replace with referenceType='xxx'" *************** *** 11,18 **** "gensrc","refactor","rule.py avoid hard-coding separate logic for each rule","done",1,19/07/2006, ,,,,,, ! "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open",,0,, ! "QLA","Design","support vector iterators as parameters to QL functions",,0,, ,,,,,, ! "QLA","Docs","port workstation document into QLA documentation",,1,, "OH","Design","ohDummyObject() to create an empty object for demo purposes",,1,, "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter",,1,, --- 11,18 ---- "gensrc","refactor","rule.py avoid hard-coding separate logic for each rule","done",1,19/07/2006, ,,,,,, ! "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open","on hold",0,,"unable to recreate problem (reuters required?)" ! "QLA","Design","support vector iterators as parameters to QL functions","done",0,21/07/2006, ,,,,,, ! "QLA","Docs","port workstation document into QLA documentation","done",1,24/07/2006, "OH","Design","ohDummyObject() to create an empty object for demo purposes",,1,, "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter",,1,, |
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From: Marco B. <mar...@us...> - 2006-07-24 11:16:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30135/qlo Modified Files: marketmodels.cpp Log Message: Deleted obsolete comment Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** marketmodels.cpp 21 Jul 2006 14:33:15 -0000 1.9 --- marketmodels.cpp 24 Jul 2006 11:16:25 -0000 1.10 *************** *** 96,100 **** : size_(taus.size()) { - // temporarily commented out - needs to catch up with QuantLib changes libraryObject_ = boost::shared_ptr<QuantLib::DriftCalculator>( new QuantLib::DriftCalculator(pseudo, displacements, --- 96,99 ---- |
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From: Ferdinando A. <na...@us...> - 2006-07-24 10:34:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12405/gensrc/metadata Modified Files: mathf.xml Log Message: removed obsolete code Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** mathf.xml 24 Jul 2006 07:44:59 -0000 1.13 --- mathf.xml 24 Jul 2006 10:34:41 -0000 1.14 *************** *** 260,292 **** <Procedure name="qlCovFromCorr"> <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> - <alias>QuantLibAddin::getCovariance</alias> - <ParameterList> - <Parameters> - <Parameter name="vols"> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>volatility vector</description> - </Parameter> - <Parameter name="matrix" libraryType='QuantLib::Matrix'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>symmetric matrix (hopefully positive semi-definite at least)</description> - </Parameter> - <Parameter name='tolerance' default='1.0e12'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>numerical tolerance for non symmetric matrix</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue libraryType='QuantLib::Matrix'> - <type>double</type> - <tensorRank>matrix</tensorRank> - </ReturnValue> - </Procedure> - - - <Procedure name="qlCovFromCorr2"> - <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> <alias>getCovariance</alias> <ParameterList> --- 260,263 ---- |
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From: Marco B. <mar...@us...> - 2006-07-24 10:33:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11937/gensrc/metadata Modified Files: marketmodels.xml Log Message: Revisited names for qlEvolutionDescriptionRateTimes qlEvolutionDescriptionRateTaus Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** marketmodels.xml 24 Jul 2006 09:57:17 -0000 1.14 --- marketmodels.xml 24 Jul 2006 10:33:26 -0000 1.15 *************** *** 87,91 **** <!-- EvolutionDescription class interface and costructor --> ! <Member name='qlEvolutionDescriptionRatesTimes' libraryClass='EvolutionDescription'> <description>rates fixing times for the EvolutionDescription object</description> <libraryFunction>rateTimes</libraryFunction> --- 87,91 ---- <!-- EvolutionDescription class interface and costructor --> ! <Member name='qlEvolutionDescriptionRateTimes' libraryClass='EvolutionDescription'> <description>rates fixing times for the EvolutionDescription object</description> <libraryFunction>rateTimes</libraryFunction> *************** *** 99,103 **** </Member> ! <Member name='qlEvolutionDescriptionRatesTaus' libraryClass='EvolutionDescription'> <description>rates taus for the EvolutionDescription object</description> <libraryFunction>rateTaus</libraryFunction> --- 99,103 ---- </Member> ! <Member name='qlEvolutionDescriptionRateTaus' libraryClass='EvolutionDescription'> <description>rates taus for the EvolutionDescription object</description> <libraryFunction>rateTaus</libraryFunction> |
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From: Marco B. <mar...@us...> - 2006-07-24 09:57:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29667/gensrc/metadata Modified Files: marketmodels.xml Log Message: changed name from qlEvolutionDescriptionRateTaus to qlEvolutionDescriptionRatesTaus Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** marketmodels.xml 21 Jul 2006 13:54:44 -0000 1.13 --- marketmodels.xml 24 Jul 2006 09:57:17 -0000 1.14 *************** *** 99,104 **** </Member> ! <Member name='qlEvolutionDescriptionRateTaus' libraryClass='EvolutionDescription'> ! <description>rate taus for the EvolutionDescription object</description> <libraryFunction>rateTaus</libraryFunction> <ParameterList> --- 99,104 ---- </Member> ! <Member name='qlEvolutionDescriptionRatesTaus' libraryClass='EvolutionDescription'> ! <description>rates taus for the EvolutionDescription object</description> <libraryFunction>rateTaus</libraryFunction> <ParameterList> |
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From: Eric E. <eri...@us...> - 2006-07-24 09:28:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17378/qlo Modified Files: couponvectors.cpp Log Message: stop qlBondFlowAnalysis() from crashing Excel Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** couponvectors.cpp 22 Jun 2006 10:14:51 -0000 1.8 --- couponvectors.cpp 24 Jul 2006 09:28:50 -0000 1.9 *************** *** 43,46 **** --- 43,48 ---- boost::shared_ptr<QuantLib::Coupon> c = boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]); + QL_REQUIRE(c, "error processing cash flow vector - unable to convert item #" << i << + " to an object of class QuantLib::Coupon") cf.push_back(c->nominal()); cf.push_back(c->accrualStartDate().serialNumber()); |
Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1420/Docs/pages Added Files: build.quantlib.docs build.sourceforge.anonymous.docs build.sourceforge.developer.docs build.tutorial.docs build.vc.docs Log Message: add Build Tutorial (previously called Workstation Document) to the QuantLibAddin documentation --- NEW FILE: build.tutorial.docs --- /*! \page build_tutorial Build Tutorial This document explains how to configure your computer so that you can access the QuantLib CVS source code repository on SourceForge and build QuantLib. This is a three step process:<br> 1) install Visual C++<br> 2) set up SourceForge access - either anonymous or developer<br> 3) build QuantLib (including ObjectHandler and QuantLibAddin) Please follow the links at left for step by step instructions. */ --- NEW FILE: build.sourceforge.developer.docs --- /*! \page build_sourceforge_developer SourceForge Developer Access This document explains how to set up your computer to access the QuantLib CVS source code repository on the SourceForge web server. This procedure is for developer (write) access; if you only need anonymous (read) access then please refer instead to the document \ref sourceforge_anonymous. The steps in the process are: - set up a SourceForge account - install and configure Putty. This software allows you to connect to the SourceForge server. Putty includes a utility called Pageant which handles the connection to SourceForge via SSH (secure remote login). - install TortoiseCVS, a Windows client for the CVS (Concurrent Version System) source code control used by SourceForge for the QuantLib library - connect to SourceForge and check out a local copy of the QuantLib source code \section sec_sf_account SourceForge Account On the <a href="http://sourceforge.net">SourceForge</a> web site, set up an account. Ask the administrator to grant you developer access to the QuantLib project. \section sec_sf_putty Putty \subsection sec_sf_puttyinstall Installation Go to the <a href="http://www.chiark.greenend.org.uk/~sgtatham/putty/">Putty website</a> and download and install Putty. Use the complete Windows binary installation, <tt>putty-0.58-installer.exe</tt>. \subsection sec_sf_key SourceForge Key Setup Next you need to use Puttygen (included with Putty) to set up your SourceForge key. This is a two step procedure: - use Puttygen to generate a private key - upload the corresponding public key to the SourceForge website Step by step instructions are provided at <a href="http://sourceforge.net/docs/F02/en/#keygen_putty">this document</a> on the SourceForge website. \subsection sec_sf_pageantconfig Pageant Configuration Now launch the Pageant application (incuded with Putty). Pageant will minimize itself onto your toolbar: <img src="images/pageant_icon.jpg"> Double click on the icon, choose Add Key, and browse your way to the private key file created previously. Click close. \subsection sec_sf_puttyconfig Putty Configuration Next you need to configure some login sessions for SourceForge. Two sessions are required: - a shell, allowing you to log in to the command line on the QuantLib webserver - a CVS session allowing you to access the source code repository These sessions are configured using the main Putty application. Launch Putty. To configure the shell session: Under <tt>Connection/Data</tt>, enter your SourceForge username: <img src="images/putty_shell_data.jpg"> Under <tt>Connection/Proxy</tt>, configure the proxy server as shown: <img src="images/putty_shell_proxy.jpg"> Now go to the main Session dialog. Enter the hostname and port as shown. Then under <tt>'Saved Sessions'</tt>, type in the name <tt>qlshell</tt> and hit <tt>Save</tt>. <img src="images/putty_shell_session.jpg"> Now set up the CVS session. With the settings from qlshell still loaded, change the hostname as shown. Then under <tt>'Saved Sessions'</tt>, change the name to <tt>qlcvs</tt> and hit <tt>Save</tt>. <img src="images/putty_cvs_session.jpg"> \subsection sec_sf_testconfig Test Configurations Now you need to do a quick test to confirm that your configurations are set up correctly. Right click on the Pageant icon on the toolbar. Under 'Saved Sessions', click on qlshell. <img src="images/pageant_session.jpg"> This should bring you to the command line on the SourceForge server. Close the window. <img src="images/sf_shell.jpg"> Do the same for qlcvs. SourceForge should allow you to connect, SourceForge then immediately terminates your session as interactive sessions are not permitted on the CVS server. This error message is the expected behavior, and indicates that your CVS session is configured correctly. <img src="images/sf_cvs.jpg"> \section sec_sf_cvs TortoiseCVS This section explains how to install, configure, and use TortoiseCVS, the graphical interface for the source code version system. TortoiseCVS connects to SourceForge using the Putty configuration which you created above. \subsection sec_sf_cvsinstall Installation The TortoiseCVS site is <a href="http://www.tortoisecvs.org/">here</a>. The standard download file attempts to perform the installation interactively against the TortoiseCVS website, and will not work because of the firewall, so instead you need to use the TortoiseCVS Windows Installer (.msi file) which is a standalone local installation. The .msi installer (<tt>TortoiseCVS-1.8.25.msi</tt>) is available <a href="http://sourceforge.net/project/showfiles.php?group_id=142108">here</a>. \subsection sec_sf_configuration Configuration Go into TortoiseCVS preferences - either by right clicking in Windows Explorer and accessing the CVS menu, or by launching Tortoise Preferences from the Start Menu. Under the Tools tab, change the SSH application to plink as shown: <img src="images/tortoise_preferences.jpg"> \subsection sec_sf_checkout Usage Set aside an area of your hard drive where you will keep your local copy of QuantLib. Right click on the folder and launch "CVS Checkout". <img src="images/tortoise_checkout.jpg"> Configure Tortoise as shown and click OK: <img src="images/tortoise_configure.jpg"> TortoiseCVS installs the QuantLib source code tree to your hard drive. Repeat the procedure for ObjectHandler and QuantLibAddin. You're now ready to proceed with building QuantLib. Later you will want to amend the source code and commit your changes back to the CVS repository. For this please refer to the TortoiseCVS documentation. */ --- NEW FILE: build.sourceforge.anonymous.docs --- /*! \page build_sourceforge_anonymous SourceForge Anonymous Access This document explains how to set up your computer to access the QuantLib CVS source code repository on the SourceForge web server. This procedure is for anonymous access which allows you to acquire from CVS the latest copy of the QuantLib development environment. Anonymous access does not allow you to make changes to the QuantLib CVS repository, if you require write access please see instead the document \ref sourceforge_developer. \section sec_sfa_cvs TortoiseCVS This section explains how to install, configure, and use TortoiseCVS, the graphical interface for the source code version system. \subsection sec_sfa_cvsinstall Installation The TortoiseCVS site is <a href="http://www.tortoisecvs.org/">here</a>. The standard download file attempts to perform the installation interactively against the TortoiseCVS website, and will not work because of the firewall, so instead you need to use the TortoiseCVS Windows Installer (.msi file) which is a standalone local installation. The .msi installer (<tt>TortoiseCVS-1.8.25.msi</tt>) is available <a href="http://sourceforge.net/project/showfiles.php?group_id=142108">here</a>. \subsection sec_sfa_configuration Configuration In order to configure TortoiseCVS you need to \li create a configuration file <tt>.cvsrc</tt> in your TortoiseCVS home directory \li execute a login command to establish your connection to the server First you need to identify the location of your TortoiseCVS home directory. TortoiseCVS determines the home directory by concatenating the environment variables <tt>HOMEDRIVE</tt> and <tt>HOMEPATH</tt>. On my machine the TortoiseCVS home directory is <tt>N:\\</tt>. In the TortoiseCVS home directory, create a file called <tt>.cvsrc</tt> with the following contents (all on one line): \code cvs -d:pserver;proxy=XXX; proxyport=3128;proxyuser=XXX;proxypassword=XXX: ano...@cv...:443/cvsroot/quantlib \endcode In the string above you need to overwrite XXX with the servername, username and password that you use to connect to the proxy web server. Now you need to execute the login command. This needs to be done once only to cache information relating to your CVS connection. Execute the following command at the DOS prompt: <tt> "C:\Program Files\TortoiseCVS\cvs.exe" login </tt> When prompted for a password, hit enter. If a popup window appears prompting you for a password a second time, just leave the password field blank and click OK. \subsection sec_sfa_checkout Usage Set aside an area of your hard drive where you will keep your local copy of QuantLib. Right click on the folder and launch "CVS Checkout". <img src="images/tortoise_checkout.jpg"> Configure Tortoise as shown and click OK: <img src="images/tortoise_anonymous_configure.jpg"> TortoiseCVS installs the QuantLib source code tree to your hard drive. Repeat the procedure for ObjectHandler and QuantLibAddin. You're now ready to proceed with building QuantLib. */ --- NEW FILE: build.quantlib.docs --- /*! \page build_quantlib Building QuantLib This document explains how to build QuantLib (including ObjectHandler and QuantLibAddin). Each step is documented in detail: \ref sec_ql_python \n \ref sec_ql_boost \n \ref sec_ql_runtime \n \ref sec_ql_naming \n \ref sec_ql_quantlib \n \ref sec_ql_quantlibtestsuite \n \ref sec_ql_quantlibfunctions \n \ref sec_ql_log4cxx \n \ref sec_ql_objecthandler \n \ref sec_ql_quantlibaddin \n \ref sec_ql_usage \n \ref sec_ql_links \n \section sec_ql_python Install Python Both Boost and srcgen (described below) require you to have Python installed on your machine. Please go to the <a href="http://www.python.org/">python website</a> and download and install Python. \section sec_ql_boost Install and Build Boost QuantLib depends on the Boost library. Procedures for downloading and installing Boost may be found at: <a href="http://www.boost.org/more/getting_started.html">http://www.boost.org/more/getting_started.html</a>. Below is a brief summary of the procedure, assuming the use of the VC8 compiler: \li Download Boost from <a href="www.boost.org">www.boost.org</a>: get the latest version of the \c boost package and the ntx86 binary version of the \c boost-jam package (<tt>boost_1_33_1.exe</tt> and <tt>boost-jam-3.1.12-1-ntx86.zip</tt> respectively at the time of this writing). \li Run <tt>boost_1_33_1.exe</tt> and it will extract files to a folder of your choice (for this example it's assumed to be <tt>C:\\Projects</tt>) creating a boost_1_33_1 subfolder. Yor Boost top level dir will be <tt>C:\\Projects\\boost_1_33_1</tt>. \li Now unzip <tt>boost-jam-3.1.12-1-ntx86.zip</tt> and copy the extracted <tt>bjam.exe</tt> file into <tt>C:\\Projects\\boost_1_33_1</tt>. \li From the Start menu access <tt>Programs | Microsoft Visual Studio 2005 | Microsoft Visual Studio 2005 Command Prompt</tt>. Change the directory, selecting your Boost top level directory <tt>C:\\Projects\\boost_1_33_1</tt> \li run the command: \code C:\\Projects\\boost_1_33_1>bjam "-sTOOLS=vc-8_0" install \endcode This command will create the Boost include directory <tt>C:\\Boost\\include\\boost-1_33_1</tt> and the Boost library directory <tt>C:\\Boost\\lib</tt>. Relax: it takes a long while. \li You need to configure VC8 with the location of the Boost header files. Under <tt>Tools/Options/Projects and Solutions/VC++ Directories</tt>, select Include files and specify the path to the top level directory containing the Boost header files <tt>C:\\Boost\\include\\boost-1_33_1</tt>: <img src="images/boost_include_path.jpg"> \li You need to configure VC8 with the location of the Boost lib files. Under <tt>Tools/Options/Projects and Solutions/VC++ Directories</tt>, select Library files and specify the path to the top level directory containing the Boost lib files <tt>C:\\Boost\\lib</tt>: <img src="images/boost_lib_path.jpg"> \section sec_ql_runtime A Note on Runtime Libraries You are now ready to build QuantLib. You need to compile the following projects: - <a href="http://quantlib.org/">QuantLib</a> - the core C++ analytics library - log4cxx - a logging framework, used by ObjectHandler - <a href="http://quantlib.org/objecthandler/">ObjectHandler</a> - an object repository - <a href="http://quantlib.org/quantlibaddin/">QuantLibAddin</a> - an Excel Addin for QuantLib These projects are available with four different runtime libraries (configurations): Debug, Debug CRTDLL, Release, and Release CRTDLL. The Debug and Release configurations are statically linked to the Microsoft C Runtime environment. The CRTDLL configurations are dynamically linked, meaning that your executable will have a run-time dependency on the Microsoft C Runtime DLLs. All four of the above projects must be built with the same runtime library. This example assumes the use of configuration <b>Release</b>. \section sec_ql_naming A Note on VC Workspace Naming Conventions QuantLib uses the following conventions for naming VC workspaces: <table> <tr><td><b>VC version</b></td><td><b>Workspace Name</b></td></tr> <tr><td>6</td><td>xxx.dsp</td></tr> <tr><td>7</td><td>xxx.sln</td></tr> <tr><td>8</td><td>xxx_vc8.sln</td></tr> </table> As you're using VC8 be sure to open the workspaces named with the <b>_vc8.sln</b> suffix. \section sec_ql_quantlib Install and Build QuantLib Previously you used TortoiseCVS to download the QuantLib source code to your hard drive. Included in the download is the QuantLib VC8 workspace file <tt>QuantLib_vc8.sln</tt>. This file resides in the top level QuantLib directory. Launch VC8 and load the QuantLib project. Ensure that runtime library <tt>Release</tt> is selected, highlight the <tt>QuantLib</tt> project, and select <tt>Build/Build QuantLib</tt>: <img src="images/ql_build.jpg"> The build process creates file <tt>QuantLib\\lib\\QuantLib-vc80-mt-s-0_3_13.lib</tt>. Create environment variable <tt>QL_DIR</tt> and set it equal to the path to the top-level QuantLib directory. The compilation of QuantLibAddin will rely on the value of <tt>QL_DIR</tt> in order to locate the QuantLib headers and lib file. In other words the QuantLibAddin compilation will expect to find - QuantLib header files in directory <tt>\$(QL_DIR)\\include</tt> - QuantLib lib file <tt>QuantLib-vc80-mt-s-0_3_13.lib</tt> in directory <tt>\$(QL_DIR)\\lib</tt> \section sec_ql_quantlibtestsuite Run the QuantLib Testsuite It's a good idea to verify the status of the QuantLib library by compiling the testsuite. This will run the testsuite executable automatically (should take less than half an hour in Release configuration, few hours in Debug) and report something like: \code 1>Auto run test 1>===================================== 1>Testing QuantLib-vc80-mt-s-0_3_13.lib 1>===================================== 1>Running moreThan200 test cases... 1>Platform: Win32 1>Compiler: Microsoft Visual C++ version 8.0 1>STL : Dinkumware standard library version 405 1>Boost : 1.33.1 1>Testing Barone-Adesi and Whaley approximation for American options... [...] 1>Testing old-style Monte Carlo multi-factor pricers... 1> 1>Tests completed in XX m 1>Test suite "QuantLib test suite" passed with: 1> moreThan200 assertions out of moreThan200 passed 1> moreThan200 test cases out of moreThan200 passed 1>Build log was saved at 1>"file://c:\Projects\QuantLib\test-suite\build\vc80\Release\BuildLog.htm" 1>testsuite - 0 error(s), 0 warning(s) \endcode \section sec_ql_quantlibfunctions Build QuantLibFunctions Still in the QuantLib workspace, under configuration <tt>Release</tt>, choose solution <tt>QuantLibFunctions</tt>, and do <tt>Build/Build QuantLibFunctions</tt>. The build process creates file <tt>QuantLib\\lib\\QuantLibFunctions-vc80-mt-s-0_3_13.lib</tt>. \section sec_ql_log4cxx Install and Build log4cxx Next you need to build log4cxx, the logging framework used by ObjectHandler. log4cxx is not included in the CVS source tree that you downloaded with TortoiseCVS, you need to download log4cxx from the QuantLib website. Go to the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a>, and under the ObjectHandler section, get file <tt>log4cxx-0.9.7.zip</tt> and unzip it to your hard drive. In VC8, open the log4cxx VC8 workspace <tt>log4cxx-0.9.7\\msvc\\log4cxx_vc8.sln</tt>. Choose configuration <tt>Release</tt>, solution <tt>static</tt>, and do <tt>Build/Build Static</tt>. The build process creates file <tt>log4cxx-0.9.7\\msvc\\lib\\log4cxxs-vc80-mt-s.lib</tt>. Create environment variable <tt>LOG4CXX_DIR</tt> and set it equal to the path to the top-level log4cxx directory. \section sec_ql_objecthandler Install and Build ObjectHandler In VC8, open the ObjectHandler VC8 workspace <tt>ObjectHandler\\ObjectHandler_vc8.sln</tt>. Choose configuration <tt>Release</tt>, solution <tt>ohxllib</tt>, and do <tt>Build/Build ohxllib</tt>. The build process creates file <tt>ObjectHandler\\ohxl\\ohxllib\\lib\\ObjectHandler-vc80-mt-s-0_1_4.lib</tt>. Create environment variable <tt>OBJECT_HANDLER_DIR</tt> and set it equal to the path to the top-level ObjectHandler directory. \section sec_ql_quantlibaddin Install and Build QuantLibAddin Before building QuantLibAddin you must first generate the QuantLibAddin source code. In VC8, open the QuantLibAddin VC8 workspace <tt>QuantLibAddin\\QuantLibAddin_vc8.sln</tt>. Choose configuration <tt>All</tt>, solution <tt>srcgen</tt>, and do <tt>Build/Build srcgen</tt>. The build process outputs source code files to the QuantLibAddin directory tree. Now choose configuration <tt>Release</tt>, solution <tt>AddinExcelStatic</tt>, and do <tt>Build/Build AddinExcelStatic</tt>. The build process creates the QuantLibAddin XLL file <tt>QuantLibAddin\\Addins\\Excel\\xll\\QuantLibAddinStatic-vc80-mt-s-0_3_13.xll</tt>. \section sec_ql_usage Usage To launch the QuantLibAddin Excel addin: - start Excel - load the addin <tt>QuantLibAddin\\Addins\\Excel\\xll\\QuantLibAddinStatic-vc80-mt-s-0_3_13.xll</tt> - load a sample spreadsheet e.g. <tt>QuantLibAddin\\Clients\\Excel\\QLADemo.xls</tt> - hit <tt>Ctrl-Alt-F9</tt> to force a recalculation of all formulas If you want to have the QuantLibAddin XLL loaded every time you start Excel, you can accomplish this as follows: \li start Excel \li ensure that at least one workbook is loaded - creating a new empty workbook if necessary \li do <tt>Tools/Add-Ins</tt>, and click the Browse button \li browse your way to the QuantLibAddin XLL and click OK \section sec_ql_links Links For further information please consult the following links: - <a href="http://quantlib.org/">QuantLib home page</a> - <a href="http://quantlib.org/reference/faq.html">general QuantLib FAQ</a> - <a href="http://quantlib.org/developerFAQ.shtml">QuantLib developer FAQ</a> - <a href="http://quantlib.org/objecthandler">ObjectHandler home page</a> - <a href="http://quantlib.org/quantlibaddin">QuantLibAddin home page</a> - <a href="http://quantlib.org/quantlibaddin/faq.html">QuantLibAddin FAQ</a> */ --- NEW FILE: build.vc.docs --- /*! \page build_vc Visual C++ This page explains how to install Visual C++ (also known as VC8 - a component of Microsoft Visual Studio 2005 Professional Edition). \section sec_vc_xpsp2 Windows XP Service Pack 2 A prerequisite for VC8 is Windows XP Service Pack 2, the disk (Italian or English) is included in the Visual Studio pack. Run the installation for XP SP2 and reboot. \section sec_vc_vc8 VC8 >From the disk launch <tt>D:\\VS\\SETUP.EXE</tt>, when prompted to choose <tt>default/full/custom</tt> installation, choose custom, and configure the next screen as shown: <img src="images/VC8_custom.jpg"> */ |
Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/images In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1420/Docs/images Added Files: VC8_custom.jpg boost_include_path.jpg boost_lib_path.jpg pageant_icon.jpg pageant_session.jpg putty_cvs_session.jpg putty_shell_data.jpg putty_shell_proxy.jpg putty_shell_session.jpg ql_build.jpg sf_cvs.jpg sf_shell.jpg tortoise_anonymous_configure.jpg tortoise_checkout.jpg tortoise_configure.jpg tortoise_preferences.jpg Log Message: add Build Tutorial (previously called Workstation Document) to the QuantLibAddin documentation --- NEW FILE: pageant_icon.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: tortoise_preferences.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: boost_include_path.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: sf_cvs.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: tortoise_checkout.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: ql_build.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: putty_shell_session.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: putty_shell_data.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: tortoise_configure.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: sf_shell.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: putty_cvs_session.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: boost_lib_path.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: pageant_session.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: VC8_custom.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: tortoise_anonymous_configure.jpg --- (This appears to be a binary file; contents omitted.) --- NEW FILE: putty_shell_proxy.jpg --- (This appears to be a binary file; contents omitted.) |
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From: Eric E. <eri...@us...> - 2006-07-24 08:53:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1420/Docs Modified Files: docs-QuantLibAddin.vcproj docs-QuantLibAddin_vc8.vcproj qla_header.html qla_header.subdir.html Log Message: add Build Tutorial (previously called Workstation Document) to the QuantLibAddin documentation Index: qla_header.subdir.html =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qla_header.subdir.html,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** qla_header.subdir.html 28 Jun 2006 13:27:10 -0000 1.1 --- qla_header.subdir.html 24 Jul 2006 08:53:37 -0000 1.2 *************** *** 77,80 **** --- 77,86 ---- <tr><td><img src="../images/transp.gif" width="1" height="10"></td></tr> --> + <tr><td><a class="menuheader" href="../build_tutorial.html">Build<br>Tutorial</a></td></tr> + <tr><td><a class="menu" href="../build_vc.html">Visual Studio</a></td></tr> + <tr><td><a class="menu" href="../build_sourceforge_anonymous.html">Anonymous</a></td></tr> + <tr><td><a class="menu" href="../build_sourceforge_developer.html">Developer</a></td></tr> + <tr><td><a class="menu" href="../build_quantlib.html">QuantLib</a></td></tr> + <tr><td><img src="../images/transp.gif" width="1" height="10"></td></tr> </table> </td> Index: docs-QuantLibAddin_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin_vc8.vcproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** docs-QuantLibAddin_vc8.vcproj 14 Jul 2006 17:35:29 -0000 1.3 --- docs-QuantLibAddin_vc8.vcproj 24 Jul 2006 08:53:37 -0000 1.4 *************** *** 44,47 **** --- 44,67 ---- > <File + RelativePath=".\pages\build.quantlib.docs" + > + </File> + <File + RelativePath=".\pages\build.sourceforge.anonymous.docs" + > + </File> + <File + RelativePath=".\pages\build.sourceforge.developer.docs" + > + </File> + <File + RelativePath=".\pages\build.tutorial.docs" + > + </File> + <File + RelativePath=".\pages\build.vc.docs" + > + </File> + <File RelativePath=".\pages\calc.docs" > Index: docs-QuantLibAddin.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin.vcproj,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** docs-QuantLibAddin.vcproj 24 Jul 2006 07:47:22 -0000 1.5 --- docs-QuantLibAddin.vcproj 24 Jul 2006 08:53:37 -0000 1.6 *************** *** 156,159 **** --- 156,174 ---- RelativePath="..\..\QuantLibXL\Docs\pages\people.docs"> </File> + <File + RelativePath="..\..\QuantLibXL\Docs\pages\build.quantlib.docs"> + </File> + <File + RelativePath="..\..\QuantLibXL\Docs\pages\build.sourceforge.anonymous.docs"> + </File> + <File + RelativePath="..\..\QuantLibXL\Docs\pages\build.sourceforge.developer.docs"> + </File> + <File + RelativePath="..\..\QuantLibXL\Docs\pages\build.tutorial.docs"> + </File> + <File + RelativePath="..\..\QuantLibXL\Docs\pages\build.vc.docs"> + </File> </Filter> <File Index: qla_header.html =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qla_header.html,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** qla_header.html 28 Jun 2006 13:27:10 -0000 1.3 --- qla_header.html 24 Jul 2006 08:53:37 -0000 1.4 *************** *** 77,80 **** --- 77,86 ---- <tr><td><img src="images/transp.gif" width="1" height="10"></td></tr> --> + <tr><td><a class="menuheader" href="build_tutorial.html">Build<br>Tutorial</a></td></tr> + <tr><td><a class="menu" href="build_vc.html">Visual Studio</a></td></tr> + <tr><td><a class="menu" href="build_sourceforge_anonymous.html">Anonymous</a></td></tr> + <tr><td><a class="menu" href="build_sourceforge_developer.html">Developer</a></td></tr> + <tr><td><a class="menu" href="build_quantlib.html">QuantLib</a></td></tr> + <tr><td><img src="../images/transp.gif" width="1" height="10"></td></tr> </table> </td> |
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From: Ferdinando A. <na...@us...> - 2006-07-24 08:13:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12770 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** todonando.txt 19 Jul 2006 18:22:49 -0000 1.25 --- todonando.txt 24 Jul 2006 08:13:10 -0000 1.26 *************** *** 1,3 **** --- 1,60 ---- + QuantLib + - corregere OneAssetOption impliedVol + - spreaded swaption vol matrix + - SWAP implement fair rate for floating/fixed rate vector + - add SABR factory + - use boost ublas + - use boost random number generators + - COUPON refactoring + - SCHEDULE refactoring + - Volatility assume a daycounter in the same way as rate (see InterestRate) + - ForwardSpreadedCurve con spread term structure + - throw first what in notifyobservers + - Instrument<Args> + - Inherit Exercise from Event? + - fixing days in Vanilla Swap + - implement accruedAmount in Coupon + - use strategy pattern for simulation termination criteria + + QuantLib BOND + - perche' lo yield non ha la frequenza? + - fare tutti i metodi che restituiscono un InterestRate + - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? + + QuantLib RATEHELPERS + - earliest days dovrebbe tener conto dei fixing days + + QuantLib YIELDCURVEBOOTSTRAP + - add new flag: depo only to cover stub period + - check RateHelper prices and QL_FAIL for invalid input + - ALERT if bootstrap fails + - bootstrap: First Future stub period flag + + QuantLib PIECEWISEYIELDCURVE + - FRARateHelper deve avere dentro in FRA Instrument + - turn of year + - extended grid with all relevant dates + - revise bondhelpers + - ratehelper usato da piu' curve: funziona? + - bootstrap ForwardSpreadedYieldCurve + + LUIGI + - Weekly CHANGELOG update + - make BlackSwaptionEngine accept a SwaptionVolStructure input parameter + - make BlackCapFloorEngine accept a CapFloorVolStructure input parameter + - strip down furter BlackModel + - InterpolatedYieldTermStructure<Discount,LogLinear> + - InterpolatedYieldTermStructure<Discount,LogLinear> constructor using an input + discount grid + - InterpolatedYieldTermStructure<Discount,LogLinear>::gridDates() + - static Period Period::fromFrequency(Frequency freq) + - generic ForwardSpreadedYieldCurve (spread term structure) + - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve + - why DayCounter::method is not static? (because they're virtual?) + + + + MODULES - reorganize file/folder/projectfolder *************** *** 16,19 **** --- 73,80 ---- QUANTLIBADDIN + - export FlatForward + - export ImpliedCurve + - export Statistics + - export PathGeneration - SWAP GRID - VANILLA SWAP signature *************** *** 29,34 **** --- 90,99 ---- - iterator input support - Statistics + - freeze, unfreeze objects QUANTLIBXL + - Property example? + - SWAPTION spreadsheet with multiple prices + - all spreadsheets with grid - SWAPTIONVOLMATRIX bug - why RateHelpersReutersFeed keeps changing? *************** *** 49,96 **** - normsdist bug - QuantLib - - corregere OneAssetOption impliedVol - - spreaded swaption vol matrix - - SWAP implement fair rate for floating/fixed rate vector - - add SABR factory - - use boost ublas - - use boost random number generators - - COUPON refactoring - - SCHEDULE refactoring - - Volatility assume a daycounter in the same way as rate (see InterestRate) - - QuantLib BOND - - perche' lo yield non ha la frequenza? - - fare tutti i metodi che restituiscono un InterestRate - - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? - - QuantLib RATEHELPERS - - earliest days dovrebbe tener conto dei fixing days - - QuantLib YIELDCURVEBOOTSTRAP - - add new flag: depo only to cover stub period - - check RateHelper prices and QL_FAIL for invalid input - - ALERT if bootstrap fails - - bootstrap: First Future stub period flag - - QuantLib PIECEWISEYIELDCURVE - - FRARateHelper deve avere dentro in FRA Instrument - - turn of year - - extended grid with all relevant dates - - revise bondhelpers - - ratehelper usato da piu' curve: funziona? - - bootstrap ForwardSpreadedYieldCurve - - LUIGI - - Weekly CHANGELOG update - - make BlackSwaptionEngine accept a SwaptionVolStructure input parameter - - make BlackCapFloorEngine accept a CapFloorVolStructure input parameter - - strip down furter BlackModel - - InterpolatedYieldTermStructure<Discount,LogLinear> - - InterpolatedYieldTermStructure<Discount,LogLinear> constructor using an input - discount grid - - InterpolatedYieldTermStructure<Discount,LogLinear>::gridDates() - - static Period Period::fromFrequency(Frequency freq) - - generic ForwardSpreadedYieldCurve (spread term structure) - - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve - - why DayCounter::method is not static? (because they're virtual?) --- 114,115 ---- |
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From: Ferdinando A. <na...@us...> - 2006-07-24 07:47:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv959/Docs Modified Files: docs-QuantLibAddin.vcproj Log Message: VC7 catching up Index: docs-QuantLibAddin.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin.vcproj,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** docs-QuantLibAddin.vcproj 28 Jun 2006 13:27:10 -0000 1.4 --- docs-QuantLibAddin.vcproj 24 Jul 2006 07:47:22 -0000 1.5 *************** *** 75,78 **** --- 75,81 ---- </File> <File + RelativePath=".\auto.pages\marketmodels.docs"> + </File> + <File RelativePath=".\auto.pages\mathf.docs"> </File> *************** *** 81,84 **** --- 84,90 ---- </File> <File + RelativePath=".\auto.pages\payoffs.docs"> + </File> + <File RelativePath=".\auto.pages\prices.docs"> </File> |
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From: Eric E. <eri...@us...> - 2006-07-24 07:45:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32218/gensrc/metadata Modified Files: mathf.xml Log Message: support additional iterators for vector<double> Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** mathf.xml 21 Jul 2006 17:48:36 -0000 1.12 --- mathf.xml 24 Jul 2006 07:44:59 -0000 1.13 *************** *** 287,291 **** ! <!--Procedure name="qlCovFromCorr2"> <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> <alias>getCovariance</alias> --- 287,291 ---- ! <Procedure name="qlCovFromCorr2"> <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> <alias>getCovariance</alias> *************** *** 313,317 **** <tensorRank>matrix</tensorRank> </ReturnValue> ! </Procedure--> <!-- CovarianceDecomposition interface --> --- 313,317 ---- <tensorRank>matrix</tensorRank> </ReturnValue> ! </Procedure> <!-- CovarianceDecomposition interface --> |
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From: Katiuscia M. <kma...@us...> - 2006-07-21 18:19:20
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31168/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp index.cpp index.hpp typefactory.hpp Log Message: Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** index.hpp 21 Jul 2006 17:27:37 -0000 1.5 --- index.hpp 21 Jul 2006 18:19:17 -0000 1.6 *************** *** 55,62 **** QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index, ! long indexFixingDays, ! QuantLib::Frequency floatingLegFreq, ! QuantLib::BusinessDayConvention floatingLegBDC); }; } --- 55,59 ---- QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index); }; } Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** index.cpp 21 Jul 2006 17:27:37 -0000 1.5 --- index.cpp 21 Jul 2006 18:19:17 -0000 1.6 *************** *** 54,61 **** QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index, ! long indexFixingDays, ! QuantLib::Frequency floatingLegFreq, ! QuantLib::BusinessDayConvention floatingLegBDC) { libraryObject_ = boost::shared_ptr<QuantLib::SwapRate>( --- 54,58 ---- QuantLib::BusinessDayConvention fixedLegBDC, const QuantLib::DayCounter& fixedLegDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index) { libraryObject_ = boost::shared_ptr<QuantLib::SwapRate>( *************** *** 63,69 **** fixingDays, crr, calendar, fixedLegFreq, fixedLegBDC, ! fixedLegDayCounter, index, ! indexFixingDays, floatingLegFreq, ! floatingLegBDC)); } } --- 60,64 ---- fixingDays, crr, calendar, fixedLegFreq, fixedLegBDC, ! fixedLegDayCounter, index)); } } Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** enumclassctors.cpp 10 Jul 2006 13:58:41 -0000 1.6 --- enumclassctors.cpp 21 Jul 2006 18:19:17 -0000 1.7 *************** *** 301,304 **** --- 301,380 ---- } + /* *** EuriborSwapFixA *** */ + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA1Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA2Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA3Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA4Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA5Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA6Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA7Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA8Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA9Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA10Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA12Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA15Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA20Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA25Y()); + } + + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y() { + return boost::shared_ptr<QuantLib::EuriborSwapFixA>( + new QuantLib::EuriborSwapFixA30Y()); + } + /* *** YieldTermStructure *** */ boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve( Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** enumclassctors.hpp 10 Jul 2006 13:58:41 -0000 1.6 --- enumclassctors.hpp 21 Jul 2006 18:19:17 -0000 1.7 *************** *** 121,124 **** --- 121,141 ---- boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y(); + /* *** EuriborSwapFixA *** */ + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_1Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_2Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_3Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_4Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_5Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_6Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_7Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_8Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_9Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_10Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_12Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_15Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_20Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_25Y(); + boost::shared_ptr<QuantLib::EuriborSwapFixA> EURIBORSWAPFIXA_30Y(); + /* *** YieldTermStructure *** */ boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve( Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** typefactory.hpp 10 Jul 2006 13:58:41 -0000 1.18 --- typefactory.hpp 21 Jul 2006 18:19:17 -0000 1.19 *************** *** 26,29 **** --- 26,30 ---- #include <ql/Math/interpolation2D.hpp> #include <ql/Indexes/euribor.hpp> + #include <ql/Indexes/euriborswapfixa.hpp> #include <ql/TermStructures/ratehelpers.hpp> #include <oh/exception.hpp> |
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From: Katiuscia M. <kma...@us...> - 2006-07-21 18:19:20
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31168/gensrc/metadata Modified Files: enumclasses.xml index.xml Log Message: Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** index.xml 21 Jul 2006 17:48:36 -0000 1.15 --- index.xml 21 Jul 2006 18:19:17 -0000 1.16 *************** *** 26,30 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Member name='qlIndexFixing' libraryClass='Index' loopParameter='fixingDate'> --- 26,30 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Member name='qlIndexFixing' libraryClass='Index' loopParameter='fixingDate'> *************** *** 309,327 **** <description>swap's underlying index</description> </Parameter> - <Parameter name='indexFixingDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>fixing days of the index underlying the swap (e.g. 2)</description> - </Parameter> - <Parameter name='floatingLegFrequency' enumeration='QuantLib::Frequency'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>frequency of the underlying swap's floating leg (e.g. semiannual)</description> - </Parameter> - <Parameter name='floatingLegBDC' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>business day convention of the underlying swap's floating leg (e.g. ModifiedFollowing)</description> - </Parameter> </Parameters> </ParameterList> --- 309,312 ---- Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** enumclasses.xml 4 Jul 2006 08:42:51 -0000 1.3 --- enumclasses.xml 21 Jul 2006 18:19:17 -0000 1.4 *************** *** 298,301 **** --- 298,382 ---- </Enumeration> + <Enumeration> + <type>QuantLib::EuriborSwapFixA</type> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>EuriborSwapFixA1Y</string> + <value>EURIBORSWAPFIXA_1Y</value> + <libraryClass>QuantLib::EuriborSwapFixA1Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA2Y</string> + <value>EURIBORSWAPFIXA_2Y</value> + <libraryClass>QuantLib::EuriborSwapFixA2Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA3Y</string> + <value>EURIBORSWAPFIXA_3Y</value> + <libraryClass>QuantLib::EuriborSwapFixA3Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA4Y</string> + <value>EURIBORSWAPFIXA_4Y</value> + <libraryClass>QuantLib::EuriborSwapFixA4Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA5Y</string> + <value>EURIBORSWAPFIXA_5Y</value> + <libraryClass>QuantLib::EuriborSwapFixA5Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA6Y</string> + <value>EURIBORSWAPFIXA_6Y</value> + <libraryClass>QuantLib::EuriborSwapFixA6Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA7Y</string> + <value>EURIBORSWAPFIXA_7Y</value> + <libraryClass>QuantLib::EuriborSwapFixA7Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA8Y</string> + <value>EURIBORSWAPFIXA_8Y</value> + <libraryClass>QuantLib::EuriborSwapFixA8Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA9Y</string> + <value>EURIBORSWAPFIXA_9Y</value> + <libraryClass>QuantLib::EuriborSwapFixA9Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA10Y</string> + <value>EURIBORSWAPFIXA_10Y</value> + <libraryClass>QuantLib::EuriborSwapFixA10Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA12Y</string> + <value>EURIBORSWAPFIXA_12Y</value> + <libraryClass>QuantLib::EuriborSwapFixA12Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA15Y</string> + <value>EURIBORSWAPFIXA_15Y</value> + <libraryClass>QuantLib::EuriborSwapFixA15Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA20Y</string> + <value>EURIBORSWAPFIXA_20Y</value> + <libraryClass>QuantLib::EuriborSwapFixA20Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA25Y</string> + <value>EURIBORSWAPFIXA_25Y</value> + <libraryClass>QuantLib::EuriborSwapFixA25Y</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>EuriborSwapFixA30Y</string> + <value>EURIBORSWAPFIXA_30Y</value> + <libraryClass>QuantLib::EuriborSwapFixA30Y</libraryClass> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + </Enumerations> </root> |
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From: Ferdinando A. <na...@us...> - 2006-07-21 17:48:42
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18706/gensrc/metadata Modified Files: index.xml mathf.xml Log Message: (trying to) using iterators Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** index.xml 21 Jul 2006 17:27:37 -0000 1.14 --- index.xml 21 Jul 2006 17:48:36 -0000 1.15 *************** *** 74,105 **** </Member> - <Procedure name='qlIndexAddFixings'> - <description>add fixings for the given Index object/enumeratedType</description> - <alias>QuantLibAddin::addFixings</alias> - <ParameterList> - <Parameters> - <Parameter name='index' libraryClass='Index'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>index</description> - </Parameter> - <Parameter name='fixingDates' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>vector</tensorRank> - <description>fixing dates</description> - </Parameter> - <Parameter name='fixings'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>fixing values</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>void</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Procedure> - <Constructor name='qlXibor'> <libraryFunction>Xibor</libraryFunction> --- 74,77 ---- Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** mathf.xml 14 Jul 2006 17:36:40 -0000 1.11 --- mathf.xml 21 Jul 2006 17:48:36 -0000 1.12 *************** *** 287,290 **** --- 287,317 ---- + <!--Procedure name="qlCovFromCorr2"> + <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> + <alias>getCovariance</alias> + <ParameterList> + <Parameters> + <Parameter name="vols" vectorIterator='beginAndEnd'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>volatility vector</description> + </Parameter> + <Parameter name="matrix" libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>symmetric matrix (hopefully positive semi-definite at least)</description> + </Parameter> + <Parameter name='tolerance' default='1.0e12'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>numerical tolerance for non symmetric matrix</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Procedure--> <!-- CovarianceDecomposition interface --> |
