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From: Ferdinando A. <na...@us...> - 2006-07-21 17:27:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10079/gensrc/metadata Modified Files: index.xml Log Message: Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** index.xml 21 Jul 2006 11:24:27 -0000 1.13 --- index.xml 21 Jul 2006 17:27:37 -0000 1.14 *************** *** 51,78 **** </Member> ! <Member name='qlIndexAddFixing' libraryClass='Index'> ! <description>add a fixing for the given Index object</description> ! <libraryFunction>addFixing</libraryFunction> ! <ParameterList> ! <Parameters> ! <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing date</description> ! </Parameter> ! <Parameter name='fixing'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing value</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlIndexAddFixings2' libraryClass='Index'> <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> --- 51,55 ---- </Member> ! <Member name='qlIndexAddFixings' libraryClass='Index'> <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> |
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From: Ferdinando A. <na...@us...> - 2006-07-21 17:27:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10079/qlo Modified Files: index.cpp index.hpp Log Message: Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** index.cpp 20 Jul 2006 07:23:21 -0000 1.4 --- index.cpp 21 Jul 2006 17:27:37 -0000 1.5 *************** *** 29,54 **** namespace QuantLibAddin { - //void Index::addFixings(const std::vector<QuantLib::Date> dates, - // const std::vector<QuantLib::Rate> fixings) - //{ - // QL_REQUIRE(fixings.size() == dates.size(), - // "Index::addFixings the nuber of given dates does not " - // "match the number of fixings!"); - // libraryObject_->addFixings(dates.begin(), dates.end(), - // fixings.begin()); - //} - - void addFixings(const boost::shared_ptr<QuantLib::Index>& index, - const std::vector<QuantLib::Date> dates, - const std::vector<QuantLib::Rate> fixings) { - QL_REQUIRE(index, - "Index::addFixings cannot be called on a null object"); - QL_REQUIRE(fixings.size() == dates.size(), - "Index::addFixings the nuber of given dates does not " - "match the number of fixings!"); - index->addFixings(dates.begin(), dates.end(), - fixings.begin()); - } - Xibor::Xibor(const std::string& indexName, const QuantLib::Period& p, --- 29,32 ---- Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** index.hpp 20 Jul 2006 07:23:21 -0000 1.4 --- index.hpp 21 Jul 2006 17:27:37 -0000 1.5 *************** *** 31,44 **** namespace QuantLibAddin { ! class Index : public ObjHandler::LibraryObject<QuantLib::Index> { ! //public: ! // void addFixings(const std::vector<QuantLib::Date> dates, ! // const std::vector<QuantLib::Rate> fixings); ! }; ! ! //this is a utility function, not an Index Class member function ! void addFixings(const boost::shared_ptr<QuantLib::Index>&, ! const std::vector<QuantLib::Date> dates, ! const std::vector<QuantLib::Rate> fixings); class Xibor : public Index { --- 31,35 ---- namespace QuantLibAddin { ! class Index : public ObjHandler::LibraryObject<QuantLib::Index> {}; class Xibor : public Index { |
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From: Marco B. <mar...@us...> - 2006-07-21 14:33:20
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4645/qlo Modified Files: marketmodels.cpp Log Message: finer logical MarketModels folder structure Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** marketmodels.cpp 21 Jul 2006 13:54:44 -0000 1.8 --- marketmodels.cpp 21 Jul 2006 14:33:15 -0000 1.9 *************** *** 20,27 **** #endif #include <qlo/marketmodels.hpp> ! #include <ql/MarketModels/exponentialcorrelation.hpp> ! #include <ql/MarketModels/abcdvolatility.hpp> ! #include <ql/MarketModels/mtbrowniangenerator.hpp> ! #include <ql/MarketModels/forwardrateevolver.hpp> namespace QuantLibAddin { --- 20,28 ---- #endif #include <qlo/marketmodels.hpp> ! #include <ql/MarketModels/PseudoRoots/exponentialcorrelation.hpp> ! #include <ql/MarketModels/PseudoRoots/abcdvolatility.hpp> ! #include <ql/MarketModels/BrownianGenerators/mtbrowniangenerator.hpp> ! #include <ql/MarketModels/Evolvers/forwardratepcevolver.hpp> ! #include <ql/MarketModels/Evolvers/forwardrateipcevolver.hpp> namespace QuantLibAddin { *************** *** 152,158 **** { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( ! new QuantLib::ForwardRateEvolver(pseudoRoot, ! evolutionDescription, ! generatorFactory)); } --- 153,159 ---- { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( ! new QuantLib::ForwardRatePcEvolver(pseudoRoot, ! evolutionDescription, ! generatorFactory)); } *************** *** 163,169 **** { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( ! new QuantLib::ForwardRateEvolver(pseudoRoot, ! evolutionDescription, ! generatorFactory)); } --- 164,170 ---- { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( ! new QuantLib::ForwardRateIpcEvolver(pseudoRoot, ! evolutionDescription, ! generatorFactory)); } |
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From: Marco B. <mar...@us...> - 2006-07-21 13:54:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21014/gensrc/metadata Modified Files: marketmodels.xml Log Message: driftcalculator: added reduced factor calculation + comments + reordering forwardrate(ipc)evolver: passed number of factors for driftcalculator Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** marketmodels.xml 19 Jul 2006 18:31:52 -0000 1.12 --- marketmodels.xml 21 Jul 2006 13:54:44 -0000 1.13 *************** *** 637,641 **** <type>double</type> <tensorRank>vector</tensorRank> ! <description>Coterminal Swaps</description> </Parameter> </Parameters> --- 637,641 ---- <type>double</type> <tensorRank>vector</tensorRank> ! <description>Forward rates</description> </Parameter> </Parameters> *************** *** 647,650 **** --- 647,673 ---- </Member> + <Member name='qlDriftCalculatorComputeReduced' objectClass='DriftCalculator'> + <description>Joshi's algorithm compute the drifts using the DriftCalculator object</description> + <libraryFunction>computeReduced</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='forwards' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Forward rates</description> + </Parameter> + <Parameter name='factors'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>number of factors</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlDriftCalculator'> <libraryFunction>DriftCalculator</libraryFunction> |
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From: Marco B. <mar...@us...> - 2006-07-21 13:54:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21014/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: driftcalculator: added reduced factor calculation + comments + reordering forwardrate(ipc)evolver: passed number of factors for driftcalculator Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** marketmodels.hpp 20 Jul 2006 20:06:55 -0000 1.8 --- marketmodels.hpp 21 Jul 2006 13:54:44 -0000 1.9 *************** *** 77,95 **** - //?? - inline QuantLib::Array drifts(const QuantLib::Matrix& pseudo, - std::vector<double> vdisplacements, - std::vector<double> vtaus, - QuantLib::Size numeraire, - QuantLib::Size alive, - std::vector<double> vforwards) - { - QuantLib::Array drifts(vtaus.size()), displacements(vtaus.size()), taus(vtaus.size()), forwards(vtaus.size()); - // temporarily commented out - needs to catch up with QuantLib changes - //QuantLib::DriftCalculator d(pseudo, displacements, taus, numeraire, alive); - //d.compute(forwards, drifts); - return drifts; - } - class DriftCalculator : public ObjHandler::LibraryObject<QuantLib::DriftCalculator> { public: --- 77,80 ---- *************** *** 99,103 **** QuantLib::Size numeraire, QuantLib::Size alive); ! QuantLib::Array compute(const QuantLib::Array& forwards) const; private: QuantLib::Size size_; --- 84,90 ---- QuantLib::Size numeraire, QuantLib::Size alive); ! QuantLib::Array compute(const QuantLib::Array& forwards) const; ! QuantLib::Array computeReduced(const QuantLib::Array& forwards, ! QuantLib::Size factors) const; private: QuantLib::Size size_; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** marketmodels.cpp 20 Jul 2006 20:06:55 -0000 1.7 --- marketmodels.cpp 21 Jul 2006 13:54:44 -0000 1.8 *************** *** 96,102 **** { // temporarily commented out - needs to catch up with QuantLib changes ! //libraryObject_ = boost::shared_ptr<QuantLib::DriftCalculator>( ! // new QuantLib::DriftCalculator(pseudo, displacements, ! // taus, numeraire, alive)); } --- 96,102 ---- { // temporarily commented out - needs to catch up with QuantLib changes ! libraryObject_ = boost::shared_ptr<QuantLib::DriftCalculator>( ! new QuantLib::DriftCalculator(pseudo, displacements, ! taus, numeraire, alive)); } *************** *** 108,111 **** --- 108,118 ---- } + QuantLib::Array DriftCalculator::computeReduced(const QuantLib::Array& forwards, + QuantLib::Size factors) const + { + QuantLib::Array results(size_); + libraryObject_->computeReduced(forwards, factors, results); + return results; + } |
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From: Marco B. <mar...@us...> - 2006-07-21 13:54:49
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21014 Modified Files: QuantLibAddin.sln Log Message: driftcalculator: added reduced factor calculation + comments + reordering forwardrate(ipc)evolver: passed number of factors for driftcalculator Index: QuantLibAddin.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.sln,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** QuantLibAddin.sln 22 Jun 2006 10:35:03 -0000 1.9 --- QuantLibAddin.sln 21 Jul 2006 13:54:44 -0000 1.10 *************** *** 32,35 **** --- 32,36 ---- Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibXL", "..\QuantLibXL\qlxl\QuantLibXL.vcproj", "{AA73F007-F040-4A6F-A47A-3099DA0DECA4}" ProjectSection(ProjectDependencies) = postProject + {19C36A53-51F2-4951-9A38-CCF6A250814F} = {19C36A53-51F2-4951-9A38-CCF6A250814F} {6A4CC8C6-BE43-4571-B261-037E56A7A38D} = {6A4CC8C6-BE43-4571-B261-037E56A7A38D} EndProjectSection *************** *** 37,40 **** --- 38,42 ---- Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibXLDynamic", "..\QuantLibXL\qlxl\QuantLibXLDynamic.vcproj", "{9E0570ED-D487-4550-B8BC-5A26EA49A6FD}" ProjectSection(ProjectDependencies) = postProject + {19C36A53-51F2-4951-9A38-CCF6A250814F} = {19C36A53-51F2-4951-9A38-CCF6A250814F} {6A4CC8C6-BE43-4571-B261-037E56A7A38D} = {6A4CC8C6-BE43-4571-B261-037E56A7A38D} EndProjectSection |
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From: Eric E. <eri...@us...> - 2006-07-21 11:24:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23501/gensrc/metadata Modified Files: index.xml Log Message: support for vector iterators as input parameters Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** index.xml 20 Jul 2006 07:23:21 -0000 1.12 --- index.xml 21 Jul 2006 11:24:27 -0000 1.13 *************** *** 74,88 **** </Member> ! <!--Member name='qlIndexAddFixings' objectClass='Index'> <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> <ParameterList> <Parameters> ! <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> --- 74,88 ---- </Member> ! <Member name='qlIndexAddFixings2' libraryClass='Index'> <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> <ParameterList> <Parameters> ! <Parameter name='fixingDates' libraryType='QuantLib::Date' vectorIterator='beginAndEnd'> <type>long</type> <tensorRank>vector</tensorRank> <description>fixing dates</description> </Parameter> ! <Parameter name='fixings' vectorIterator='begin'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 95,99 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> <Procedure name='qlIndexAddFixings'> --- 95,99 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Procedure name='qlIndexAddFixings'> |
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From: Eric E. <eri...@us...> - 2006-07-21 11:24:31
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23501/qlo Modified Files: conversions.hpp Log Message: support for vector iterators as input parameters Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** conversions.hpp 19 Jul 2006 09:56:10 -0000 1.10 --- conversions.hpp 21 Jul 2006 11:24:27 -0000 1.11 *************** *** 102,108 **** // 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) { if (id.empty()) { ! return boost::shared_ptr<qlClass>(); } if (QuantLibAddin::Create<boost::shared_ptr<QuantLib::Euribor> >().checkType(id)) { --- 102,113 ---- // 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)) { |
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From: Eric E. <eri...@us...> - 2006-07-21 08:17:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12989 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.38 retrieving revision 1.39 diff -C2 -d -r1.38 -r1.39 *** todo.csv 21 Jul 2006 08:14:54 -0000 1.38 --- todo.csv 21 Jul 2006 08:16:58 -0000 1.39 *************** *** 2,11 **** ,,,,,, "gensrc","refactor","coercion implicit conversion between required datatypes for function input/output parameters","in progress",1,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." - "gensrc","refactor","consolidate all conversion code / remove conversion code from parameterlist.py","in progress",1,, "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","consolidate XML tags libraryType/objectClass/libraryClass/getUnderlying","done",1,20/07/2006,"replace with referenceType='xxx'" "gensrc","refactor","remove large code snippets from addinexcel.xml","done",1,21/07/2006, "gensrc","refactor","cater for special cases like QL::Array/QL::Matrix (scalar variable storing array/matrix value)","done",1,20/07/2006, "gensrc","refactor","rule.py avoid hard-coding separate logic for each rule","done",1,19/07/2006, --- 2,11 ---- ,,,,,, "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'" + "gensrc","refactor","consolidate all conversion code / remove conversion code from parameterlist.py","done",1,20/07/2006, "gensrc","refactor","cater for special cases like QL::Array/QL::Matrix (scalar variable storing array/matrix value)","done",1,20/07/2006, "gensrc","refactor","rule.py avoid hard-coding separate logic for each rule","done",1,19/07/2006, |
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From: Eric E. <eri...@us...> - 2006-07-21 08:14:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12195 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.37 retrieving revision 1.38 diff -C2 -d -r1.37 -r1.38 *** todo.csv 18 Jul 2006 21:53:17 -0000 1.37 --- todo.csv 21 Jul 2006 08:14:54 -0000 1.38 *************** *** 6,13 **** "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","consolidate XML tags libraryType/objectClass/libraryClass/getUnderlying","in progress",1,,"replace with referenceType='xxx'" ! "gensrc","refactor","remove large code snippets from addinexcel.xml","in progress",1,, ! "gensrc","refactor","cater for special cases like QL::Array/QL::Matrix (scalar variable storing array/matrix value)","in progress",1,, ! "gensrc","refactor","rule.py avoid hard-coding separate logic for each rule","done",1,, ,,,,,, "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open",,0,, --- 6,13 ---- "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","consolidate XML tags libraryType/objectClass/libraryClass/getUnderlying","done",1,20/07/2006,"replace with referenceType='xxx'" ! "gensrc","refactor","remove large code snippets from addinexcel.xml","done",1,21/07/2006, ! "gensrc","refactor","cater for special cases like QL::Array/QL::Matrix (scalar variable storing array/matrix value)","done",1,20/07/2006, ! "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,, |
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From: Eric E. <eri...@us...> - 2006-07-20 20:07:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8997/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: temporarily comment out code which has fallen behind QL changes Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** marketmodels.hpp 19 Jul 2006 18:22:49 -0000 1.7 --- marketmodels.hpp 20 Jul 2006 20:06:55 -0000 1.8 *************** *** 86,91 **** { QuantLib::Array drifts(vtaus.size()), displacements(vtaus.size()), taus(vtaus.size()), forwards(vtaus.size()); ! QuantLib::DriftCalculator d(pseudo, displacements, taus, numeraire, alive); ! d.compute(forwards, drifts); return drifts; } --- 86,92 ---- { QuantLib::Array drifts(vtaus.size()), displacements(vtaus.size()), taus(vtaus.size()), forwards(vtaus.size()); ! // temporarily commented out - needs to catch up with QuantLib changes ! //QuantLib::DriftCalculator d(pseudo, displacements, taus, numeraire, alive); ! //d.compute(forwards, drifts); return drifts; } Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** marketmodels.cpp 19 Jul 2006 18:22:49 -0000 1.6 --- marketmodels.cpp 20 Jul 2006 20:06:55 -0000 1.7 *************** *** 95,101 **** : size_(taus.size()) { ! libraryObject_ = boost::shared_ptr<QuantLib::DriftCalculator>( ! new QuantLib::DriftCalculator(pseudo, displacements, ! taus, numeraire, alive)); } --- 95,102 ---- : size_(taus.size()) { ! // temporarily commented out - needs to catch up with QuantLib changes ! //libraryObject_ = boost::shared_ptr<QuantLib::DriftCalculator>( ! // new QuantLib::DriftCalculator(pseudo, displacements, ! // taus, numeraire, alive)); } |
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From: Katiuscia M. <kma...@us...> - 2006-07-20 07:23:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15328/qlo Modified Files: index.cpp index.hpp Log Message: replaced Xibor with Index in method addFixings Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** index.cpp 19 Jul 2006 18:06:03 -0000 1.3 --- index.cpp 20 Jul 2006 07:23:21 -0000 1.4 *************** *** 39,51 **** //} ! void addFixings(const boost::shared_ptr<QuantLib::Xibor>& xibor, const std::vector<QuantLib::Date> dates, const std::vector<QuantLib::Rate> fixings) { ! QL_REQUIRE(xibor, "Index::addFixings cannot be called on a null object"); QL_REQUIRE(fixings.size() == dates.size(), "Index::addFixings the nuber of given dates does not " "match the number of fixings!"); ! xibor->addFixings(dates.begin(), dates.end(), fixings.begin()); } --- 39,51 ---- //} ! void addFixings(const boost::shared_ptr<QuantLib::Index>& index, const std::vector<QuantLib::Date> dates, const std::vector<QuantLib::Rate> fixings) { ! QL_REQUIRE(index, "Index::addFixings cannot be called on a null object"); QL_REQUIRE(fixings.size() == dates.size(), "Index::addFixings the nuber of given dates does not " "match the number of fixings!"); ! index->addFixings(dates.begin(), dates.end(), fixings.begin()); } Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** index.hpp 19 Jul 2006 18:06:03 -0000 1.3 --- index.hpp 20 Jul 2006 07:23:21 -0000 1.4 *************** *** 38,42 **** //this is a utility function, not an Index Class member function ! void addFixings(const boost::shared_ptr<QuantLib::Xibor>&, const std::vector<QuantLib::Date> dates, const std::vector<QuantLib::Rate> fixings); --- 38,42 ---- //this is a utility function, not an Index Class member function ! void addFixings(const boost::shared_ptr<QuantLib::Index>&, const std::vector<QuantLib::Date> dates, const std::vector<QuantLib::Rate> fixings); |
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From: Katiuscia M. <kma...@us...> - 2006-07-20 07:23:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15328/gensrc/metadata Modified Files: index.xml Log Message: replaced Xibor with Index in method addFixings Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** index.xml 19 Jul 2006 18:06:02 -0000 1.11 --- index.xml 20 Jul 2006 07:23:21 -0000 1.12 *************** *** 102,106 **** <ParameterList> <Parameters> ! <Parameter name='index' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> --- 102,106 ---- <ParameterList> <Parameters> ! <Parameter name='index' libraryClass='Index'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-07-19 18:32:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17862/gensrc/metadata Modified Files: marketmodels.xml Log Message: catching up with the new syntax Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** marketmodels.xml 19 Jul 2006 18:22:49 -0000 1.11 --- marketmodels.xml 19 Jul 2006 18:31:52 -0000 1.12 *************** *** 363,367 **** <description>volatilities</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 363,367 ---- <description>volatilities</description> </Parameter> ! <Parameter name='evolutionDescription' underlyingClass='EvolutionDescription'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 426,430 **** <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 426,430 ---- <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> </Parameter> ! <Parameter name='evolutionDescription' underlyingClass='EvolutionDescription'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-07-19 18:22:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14177 Modified Files: todonando.txt Log Message: 1) delegating to EvolutionDescription more time/alive computations 2) using EvolutionDescription as input instead of (const Array& rateTimes, const Array& evolutionTimes) Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** todonando.txt 14 Jul 2006 18:56:08 -0000 1.24 --- todonando.txt 19 Jul 2006 18:22:49 -0000 1.25 *************** *** 7,11 **** GENSRC - return enumerations - - omits ReturnValue description - add optional LongDescription - move stub.qla.* in QuantLibObject --- 7,10 ---- *************** *** 24,37 **** - export Quote (see RateHelpers) - use QL folder structure ! - creare EURIBOR indexes enumeration - type coercion - implicit convertion of QuantLib::Rate input parameter is failing - BOND: add loopParameters ! - bootstrap: First Future stub period flag ! - QuantLib::Array as input and output (see qlEigen*, and low discepancy ! sequences) QUANTLIBXL - - time series fixing ohpack - SWAPTIONVOLMATRIX bug - why RateHelpersReutersFeed keeps changing? --- 23,34 ---- - export Quote (see RateHelpers) - use QL folder structure ! - creare SWAP indexes enumeration - type coercion - implicit convertion of QuantLib::Rate input parameter is failing - BOND: add loopParameters ! - iterator input support ! - Statistics QUANTLIBXL - SWAPTIONVOLMATRIX bug - why RateHelpersReutersFeed keeps changing? *************** *** 47,53 **** - INSTALLER: Excel must be closed - INSTALLER: what about rebooting? ! - INTERPOLATION: SABR verification - INTERPOLATION: spostare vecchi spreadsheets - - Next/Previous Day in YCBootstrapping - signed spreadsheet and macro - normsdist bug --- 44,49 ---- - INSTALLER: Excel must be closed - INSTALLER: what about rebooting? ! - INSTALLER: uninstall before - INTERPOLATION: spostare vecchi spreadsheets - signed spreadsheet and macro - normsdist bug *************** *** 57,62 **** - spreaded swaption vol matrix - SWAP implement fair rate for floating/fixed rate vector - - FRA use Index - - SWAP index objects - add SABR factory - use boost ublas --- 53,56 ---- *************** *** 78,81 **** --- 72,76 ---- - check RateHelper prices and QL_FAIL for invalid input - ALERT if bootstrap fails + - bootstrap: First Future stub period flag QuantLib PIECEWISEYIELDCURVE *************** *** 89,93 **** LUIGI - Weekly CHANGELOG update - - Index::addfixings(dates, fixings) - make BlackSwaptionEngine accept a SwaptionVolStructure input parameter - make BlackCapFloorEngine accept a CapFloorVolStructure input parameter --- 84,87 ---- |
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From: Ferdinando A. <na...@us...> - 2006-07-19 18:22:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14177/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: 1) delegating to EvolutionDescription more time/alive computations 2) using EvolutionDescription as input instead of (const Array& rateTimes, const Array& evolutionTimes) Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** marketmodels.hpp 14 Jul 2006 17:37:16 -0000 1.6 --- marketmodels.hpp 19 Jul 2006 18:22:49 -0000 1.7 *************** *** 34,37 **** --- 34,45 ---- }; + class EvolutionDescription : public ObjHandler::LibraryObject<QuantLib::EvolutionDescription> { + public: + EvolutionDescription( + const QuantLib::Array& rateTimes, + const QuantLib::Array& evolutionTimes, + const std::vector<QuantLib::Size>& numeraires); + }; + class ExponentialCorrelation : public PseudoRoot { public: *************** *** 40,45 **** double beta, const std::vector<double>& volatilities, ! const QuantLib::Array& rateTimes, ! const QuantLib::Array& evolutionTimes, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, --- 48,52 ---- double beta, const std::vector<double>& volatilities, ! const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, *************** *** 57,62 **** double longTermCorr, double beta, ! const QuantLib::Array& rateTimes, ! const QuantLib::Array& evolutionTimes, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, --- 64,68 ---- double longTermCorr, double beta, ! const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, *************** *** 64,75 **** }; - class EvolutionDescription : public ObjHandler::LibraryObject<QuantLib::EvolutionDescription> { - public: - EvolutionDescription( - const QuantLib::Array& rateTimes, - const QuantLib::Array& evolutionTimes, - const std::vector<QuantLib::Size>& numeraires); - }; - class CurveState : public ObjHandler::LibraryObject<QuantLib::CurveState> { --- 70,73 ---- Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** marketmodels.cpp 14 Jul 2006 17:37:16 -0000 1.5 --- marketmodels.cpp 19 Jul 2006 18:22:49 -0000 1.6 *************** *** 31,36 **** double beta, const std::vector<double>& volatilities, ! const QuantLib::Array& rateTimes, ! const QuantLib::Array& evolutionTimes, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, --- 31,35 ---- double beta, const std::vector<double>& volatilities, ! const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, *************** *** 41,46 **** beta, volatilities, ! rateTimes, ! evolutionTimes, numberOfFactors, initialRates, --- 40,44 ---- beta, volatilities, ! evolution, numberOfFactors, initialRates, *************** *** 56,61 **** double longTermCorr, double beta, ! const QuantLib::Array& rateTimes, ! const QuantLib::Array& evolutionTimes, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, --- 54,58 ---- double longTermCorr, double beta, ! const QuantLib::EvolutionDescription& evolution, const QuantLib::Size numberOfFactors, const QuantLib::Array& initialRates, *************** *** 66,71 **** longTermCorr, beta, ! rateTimes, ! evolutionTimes, numberOfFactors, initialRates, --- 63,67 ---- longTermCorr, beta, ! evolution, numberOfFactors, initialRates, |
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From: Ferdinando A. <na...@us...> - 2006-07-19 18:22:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14177/gensrc/metadata Modified Files: marketmodels.xml Log Message: 1) delegating to EvolutionDescription more time/alive computations 2) using EvolutionDescription as input instead of (const Array& rateTimes, const Array& evolutionTimes) Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** marketmodels.xml 19 Jul 2006 16:39:46 -0000 1.10 --- marketmodels.xml 19 Jul 2006 18:22:49 -0000 1.11 *************** *** 99,105 **** </Member> ! <Member name='qlEvolutionDescriptionTaus' libraryClass='EvolutionDescription'> ! <description>taus for the EvolutionDescription object</description> ! <libraryFunction>taus</libraryFunction> <ParameterList> <Parameters/> --- 99,105 ---- </Member> ! <Member name='qlEvolutionDescriptionRateTaus' libraryClass='EvolutionDescription'> ! <description>rate taus for the EvolutionDescription object</description> ! <libraryFunction>rateTaus</libraryFunction> <ParameterList> <Parameters/> *************** *** 123,126 **** --- 123,150 ---- </Member> + <Member name='qlEvolutionDescriptionEvolutionTaus' libraryClass='EvolutionDescription'> + <description>for each step returns a row with the effective evolution taus for each rate</description> + <libraryFunction>evolutionTaus</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionFirstAliveRate' libraryClass='EvolutionDescription'> + <description>first alive rate at each evolution time for the EvolutionDescription object</description> + <libraryFunction>firstAliveRate</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Size'> + <type>long</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <Member name='qlEvolutionDescriptionNumeraires' libraryClass='EvolutionDescription'> <description>numeraires for the EvolutionDescription object</description> *************** *** 339,351 **** <description>volatilities</description> </Parameter> ! <Parameter name='rateTimes' libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>rate fixing times</description> ! </Parameter> ! <Parameter name='evolutionTimes' libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>evolution times in the simulation</description> </Parameter> <Parameter name='Factors'> --- 363,370 ---- <description>volatilities</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EvolutionDescription object</description> </Parameter> <Parameter name='Factors'> *************** *** 407,419 **** <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> </Parameter> ! <Parameter name='rateTimes' libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>rate fixing times</description> ! </Parameter> ! <Parameter name='evolutionTimes' libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>evolution times in the simulation</description> </Parameter> <Parameter name='Factors'> --- 426,433 ---- <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EvolutionDescription object</description> </Parameter> <Parameter name='Factors'> |
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From: Katiuscia M. <kma...@us...> - 2006-07-19 18:06:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7114/gensrc/metadata Modified Files: index.xml Log Message: exposed SwapRate Index constructor and methods to Excel Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** index.xml 19 Jul 2006 16:39:46 -0000 1.10 --- index.xml 19 Jul 2006 18:06:02 -0000 1.11 *************** *** 9,15 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov </copyright> <Functions> --- 9,16 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov </copyright> <Functions> *************** *** 128,132 **** <ParameterList> <Parameters> ! <Parameter name='IndexName'> <type>string</type> <tensorRank>scalar</tensorRank> --- 129,133 ---- <ParameterList> <Parameters> ! <Parameter name='FamilyName'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 173,177 **** <Member name='qlIndexFamilyName' libraryClass='Xibor'> ! <description>retrieve the family name for the given Index (e.g. EURIBOR6m)</description> <libraryFunction>familyName</libraryFunction> <ParameterList> --- 174,178 ---- <Member name='qlIndexFamilyName' libraryClass='Xibor'> ! <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> <ParameterList> *************** *** 309,312 **** --- 310,517 ---- </ReturnValue> </Procedure> + + <Constructor name='qlSwapRate'> + <libraryFunction>SwapRate</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> + <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> + </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> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </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> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </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> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </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> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <!--<Member name='qlSwapRateUnderlyingIndex' libraryClass='SwapRate'> + <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> + <libraryFunction>libor</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member>--> + + <Member name='qlSwapRateIndexFixingDays' libraryClass='SwapRate'> + <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 --> + + <!-- underlyingSwap --> </Functions> |
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From: Katiuscia M. <kma...@us...> - 2006-07-19 18:06:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7114/qlo Modified Files: index.cpp index.hpp Log Message: exposed SwapRate Index constructor and methods to Excel Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** index.cpp 14 Jul 2006 10:20:34 -0000 1.2 --- index.cpp 19 Jul 2006 18:06:03 -0000 1.3 *************** *** 2,5 **** --- 2,6 ---- /* Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2006 Katiuscia Manzoni Copyright (C) 2005 Eric Ehlers Copyright (C) 2005 Plamen Neykov *************** *** 66,68 **** --- 67,91 ---- hYTS)); } + + 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, + long indexFixingDays, + QuantLib::Frequency floatingLegFreq, + QuantLib::BusinessDayConvention floatingLegBDC) + { + libraryObject_ = boost::shared_ptr<QuantLib::SwapRate>( + new QuantLib::SwapRate(familyName, years, + fixingDays, crr, calendar, + fixedLegFreq, fixedLegBDC, + fixedLegDayCounter, index, + indexFixingDays, floatingLegFreq, + floatingLegBDC)); + } } Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** index.hpp 14 Jul 2006 10:20:34 -0000 1.2 --- index.hpp 19 Jul 2006 18:06:03 -0000 1.3 *************** *** 2,5 **** --- 2,6 ---- /* Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2006 Katiuscia Manzoni Copyright (C) 2005 Eric Ehlers Copyright (C) 2005 Plamen Neykov *************** *** 26,29 **** --- 27,31 ---- #include <ql/yieldtermstructure.hpp> #include <ql/Indexes/xibor.hpp> + #include <ql/Indexes/swaprate.hpp> namespace QuantLibAddin { *************** *** 51,54 **** --- 53,72 ---- const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); }; + + 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, + long indexFixingDays, + QuantLib::Frequency floatingLegFreq, + QuantLib::BusinessDayConvention floatingLegBDC); + }; } |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2608/gensrc/metadata Modified Files: bonds.xml capfloor.xml couponvectors.xml forwardrateagreement.xml index.xml marketmodels.xml optimization.xml options.xml pricingengines.xml shortratemodels.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml vanillaswap.xml Log Message: parameterize hard-coded datatype conversions Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** index.xml 19 Jul 2006 09:56:10 -0000 1.9 --- index.xml 19 Jul 2006 16:39:46 -0000 1.10 *************** *** 163,167 **** <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> --- 163,167 ---- <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 297,301 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' handleToLib='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 297,301 ---- <ParameterList> <Parameters> ! <Parameter name='termStructureID' handleToLib='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** vanillaswap.xml 13 Jul 2006 09:41:02 -0000 1.11 --- vanillaswap.xml 19 Jul 2006 16:39:46 -0000 1.12 *************** *** 69,73 **** <description>floating day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 69,73 ---- <description>floating day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** swap.xml 13 Jul 2006 09:41:02 -0000 1.14 --- swap.xml 19 Jul 2006 16:39:46 -0000 1.15 *************** *** 31,35 **** <description>receveid leg</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 31,35 ---- <description>receveid leg</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** options.xml 16 Jul 2006 17:11:30 -0000 1.13 --- options.xml 19 Jul 2006 16:39:46 -0000 1.14 *************** *** 329,333 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 329,333 ---- <ParameterList> <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 372,376 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 372,376 ---- <ParameterList> <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** pricingengines.xml 11 Jul 2006 13:30:53 -0000 1.10 --- pricingengines.xml 19 Jul 2006 16:39:46 -0000 1.11 *************** *** 51,55 **** <ParameterList> <Parameters> ! <Parameter name='vol' libraryClass='SwaptionVolatilityStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 51,55 ---- <ParameterList> <Parameters> ! <Parameter name='vol' libToHandle='SwaptionVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 64,68 **** <ParameterList> <Parameters> ! <Parameter name='vol' libraryClass='CapletVolatilityStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 64,68 ---- <ParameterList> <Parameters> ! <Parameter name='vol' libToHandle='CapletVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** swaption.xml 13 Jul 2006 09:41:02 -0000 1.11 --- swaption.xml 19 Jul 2006 16:39:46 -0000 1.12 *************** *** 32,36 **** <description>Exercise object</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 32,36 ---- <description>Exercise object</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** marketmodels.xml 14 Jul 2006 18:56:08 -0000 1.9 --- marketmodels.xml 19 Jul 2006 16:39:46 -0000 1.10 *************** *** 735,744 **** <description>PseudoRoot object</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> <description>EvolutionDescription object</description> </Parameter> ! <Parameter name='brownianGeneratorFactory' libraryClass='BrownianGeneratorFactory' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 735,744 ---- <description>PseudoRoot object</description> </Parameter> ! <Parameter name='evolutionDescription' underlyingClass='EvolutionDescription'> <type>string</type> <tensorRank>scalar</tensorRank> <description>EvolutionDescription object</description> </Parameter> ! <Parameter name='brownianGeneratorFactory' underlyingClass='BrownianGeneratorFactory'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 759,768 **** <description>PseudoRoot object</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> <description>EvolutionDescription object</description> </Parameter> ! <Parameter name='brownianGeneratorFactory' libraryClass='BrownianGeneratorFactory' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 759,768 ---- <description>PseudoRoot object</description> </Parameter> ! <Parameter name='evolutionDescription' underlyingClass='EvolutionDescription'> <type>string</type> <tensorRank>scalar</tensorRank> <description>EvolutionDescription object</description> </Parameter> ! <Parameter name='brownianGeneratorFactory' underlyingClass='BrownianGeneratorFactory'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 790,794 **** <description>MarketModelProduct object</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 790,794 ---- <description>MarketModelProduct object</description> </Parameter> ! <Parameter name='evolutionDescription' underlyingClass='EvolutionDescription'> <type>string</type> <tensorRank>scalar</tensorRank> Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** shortratemodels.xml 11 Jul 2006 13:30:53 -0000 1.7 --- shortratemodels.xml 19 Jul 2006 16:39:46 -0000 1.8 *************** *** 13,17 **** <ParameterList> <Parameters> ! <Parameter name='termStructure' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 13,17 ---- <ParameterList> <Parameters> ! <Parameter name='termStructure' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** bonds.xml 13 Jul 2006 09:41:01 -0000 1.14 --- bonds.xml 19 Jul 2006 16:39:46 -0000 1.15 *************** *** 230,234 **** <description>redemption</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 230,234 ---- <description>redemption</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 308,312 **** <description>long first/last period</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 308,312 ---- <description>long first/last period</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 391,395 **** <description>Redemption</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 391,395 ---- <description>Redemption</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** optimization.xml 18 Jul 2006 16:01:08 -0000 1.2 --- optimization.xml 19 Jul 2006 16:39:46 -0000 1.3 *************** *** 88,92 **** <ParameterList> <Parameters> ! <Parameter name="endCriteria" libraryClass='EndCriteria' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 88,92 ---- <ParameterList> <Parameters> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 107,111 **** <ParameterList> <Parameters> ! <Parameter name="endCriteria" libraryClass='EndCriteria' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 107,111 ---- <ParameterList> <Parameters> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> <type>string</type> <tensorRank>scalar</tensorRank> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** termstructures.xml 19 Jul 2006 09:56:10 -0000 1.23 --- termstructures.xml 19 Jul 2006 16:39:46 -0000 1.24 *************** *** 366,370 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 366,370 ---- <ParameterList> <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 384,388 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 384,388 ---- <ParameterList> <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** couponvectors.xml 13 Jul 2006 09:41:01 -0000 1.11 --- couponvectors.xml 19 Jul 2006 16:39:46 -0000 1.12 *************** *** 97,101 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 97,101 ---- <ParameterList> <Parameters> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** swaptionvolstructure.xml 19 Jul 2006 09:56:10 -0000 1.22 --- swaptionvolstructure.xml 19 Jul 2006 16:39:46 -0000 1.23 *************** *** 17,21 **** <!-- SwaptionVolatilityStructure interface--> ! <Member name='qlSwaptionVTSVolatility' libraryClass='SwaptionVolatilityStructure' loopParameter='strike' handleToLib='true' dependencyTrigger='true'> <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> --- 17,21 ---- <!-- SwaptionVolatilityStructure interface--> ! <Member name='qlSwaptionVTSVolatility' handleToLib='SwaptionVolatilityStructure' loopParameter='strike' dependencyTrigger='true'> <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> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** forwardrateagreement.xml 11 Jul 2006 13:30:53 -0000 1.10 --- forwardrateagreement.xml 19 Jul 2006 16:39:46 -0000 1.11 *************** *** 44,48 **** <description>underlying index</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 44,48 ---- <description>underlying index</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** capfloor.xml 13 Jul 2006 16:38:29 -0000 1.9 --- capfloor.xml 19 Jul 2006 16:39:46 -0000 1.10 *************** *** 93,97 **** <description>floor strikes</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 93,97 ---- <description>floor strikes</description> </Parameter> ! <Parameter name='termStructureID' libToHandle='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Eric E. <eri...@us...> - 2006-07-19 16:39:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2608/gensrc/config Modified Files: config.xml Log Message: parameterize hard-coded datatype conversions Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** config.xml 18 Jul 2006 21:53:17 -0000 1.14 --- config.xml 19 Jul 2006 16:39:45 -0000 1.15 *************** *** 6,10 **** <usingEnumerations>true</usingEnumerations> ! <namespace>QuantLibAddin</namespace> <categoryNames> --- 6,11 ---- <usingEnumerations>true</usingEnumerations> ! <namespace1>QuantLibAddin</namespace1> ! <namespace2>QuantLib</namespace2> <categoryNames> |
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From: Giorgio F. <gi...@us...> - 2006-07-19 13:17:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17892/gensrc/metadata Modified Files: interpolation.xml Log Message: changed order SABR parameters : (beta, nu, alpha, rho ) -->> (alpha, beta, nu, rho ) Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** interpolation.xml 18 Jul 2006 15:59:58 -0000 1.22 --- interpolation.xml 19 Jul 2006 13:17:52 -0000 1.23 *************** *** 275,278 **** --- 275,283 ---- <description>forward</description> </Parameter> + <Parameter name='alpha' default='QuantLib::Null<double>()'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>alpha (fixed value or guess)</description> + </Parameter> <Parameter name='beta' default='QuantLib::Null<double>()'> <type>double</type> *************** *** 285,293 **** <description>nu (fixed value or guess)</description> </Parameter> - <Parameter name='alpha' default='QuantLib::Null<double>()'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>alpha (fixed value or guess)</description> - </Parameter> <Parameter name='rho' default='QuantLib::Null<double>()'> <type>double</type> --- 290,293 ---- *************** *** 307,313 **** <!-- SABRInterpolation interface --> ! <Member name='qlSABRInterpolationBeta' libraryClass='SABRInterpolation'> ! <description>Returns the beta of the SABR fit</description> ! <libraryFunction>beta</libraryFunction> <ParameterList> <Parameters/> --- 307,313 ---- <!-- SABRInterpolation interface --> ! <Member name='qlSABRInterpolationAlpha' libraryClass='SABRInterpolation'> ! <description>Returns the alpha of the SABR fit</description> ! <libraryFunction>alpha</libraryFunction> <ParameterList> <Parameters/> *************** *** 319,325 **** </Member> ! <Member name='qlSABRInterpolationAlpha' libraryClass='SABRInterpolation'> ! <description>Returns the alpha of the SABR fit</description> ! <libraryFunction>alpha</libraryFunction> <ParameterList> <Parameters/> --- 319,325 ---- </Member> ! <Member name='qlSABRInterpolationBeta' libraryClass='SABRInterpolation'> ! <description>Returns the beta of the SABR fit</description> ! <libraryFunction>beta</libraryFunction> <ParameterList> <Parameters/> |
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From: Giorgio F. <gi...@us...> - 2006-07-19 13:17:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17892/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: changed order SABR parameters : (beta, nu, alpha, rho ) -->> (alpha, beta, nu, rho ) Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** interpolation.hpp 18 Jul 2006 14:37:12 -0000 1.16 --- interpolation.hpp 19 Jul 2006 13:17:52 -0000 1.17 *************** *** 63,69 **** double t, double forward, double beta, double nu, - double alpha, double rho, const boost::shared_ptr<QuantLib::OptimizationMethod>& om); --- 63,69 ---- double t, double forward, + double alpha, double beta, double nu, double rho, const boost::shared_ptr<QuantLib::OptimizationMethod>& om); Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** interpolation.cpp 18 Jul 2006 15:59:58 -0000 1.14 --- interpolation.cpp 19 Jul 2006 13:17:52 -0000 1.15 *************** *** 66,72 **** double t, double forward, double beta, double nu, - double alpha, double rho, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) --- 66,72 ---- double t, double forward, + double alpha, double beta, double nu, double rho, const boost::shared_ptr<QuantLib::OptimizationMethod>& om) *************** *** 76,80 **** new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), ! t, forward, beta, nu, alpha, rho, om )); } --- 76,80 ---- new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), ! t, forward, alpha, beta, nu, rho, om )); } |
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From: Eric E. <eri...@us...> - 2006-07-19 09:56:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2999/gensrc/metadata Modified Files: index.xml swaptionvolstructure.xml termstructures.xml Log Message: replace <ReturnValue libraryType='QuantLib::Calendar'> with <ReturnValue enumeration='QuantLib::Calendar'> same for DayCounter. Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** index.xml 18 Jul 2006 18:49:57 -0000 1.8 --- index.xml 19 Jul 2006 09:56:10 -0000 1.9 *************** *** 238,242 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> --- 238,242 ---- <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 274,278 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> --- 274,278 ---- <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** swaptionvolstructure.xml 13 Jul 2006 09:41:02 -0000 1.21 --- swaptionvolstructure.xml 19 Jul 2006 09:56:10 -0000 1.22 *************** *** 240,244 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> --- 240,244 ---- <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** termstructures.xml 14 Jul 2006 12:06:29 -0000 1.22 --- termstructures.xml 19 Jul 2006 09:56:10 -0000 1.23 *************** *** 33,37 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> --- 33,37 ---- <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 60,64 **** <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> --- 60,64 ---- <Parameters/> </ParameterList> ! <ReturnValue enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Eric E. <eri...@us...> - 2006-07-19 09:56:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2999/qlo Modified Files: conversions.cpp conversions.hpp Log Message: replace <ReturnValue libraryType='QuantLib::Calendar'> with <ReturnValue enumeration='QuantLib::Calendar'> same for DayCounter. Index: conversions.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** conversions.cpp 6 Jul 2006 12:00:51 -0000 1.7 --- conversions.cpp 19 Jul 2006 09:56:10 -0000 1.8 *************** *** 46,57 **** } - std::string libraryToScalar(const QuantLib::DayCounter &dayCounter) { - return dayCounter.name(); - } - - std::string libraryToScalar(const QuantLib::Calendar &calendar) { - return calendar.name(); - } - std::vector<long> libraryToVector(const std::vector<QuantLib::Date> &v) { std::vector<long> ret; --- 46,49 ---- Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** conversions.hpp 6 Jul 2006 12:00:51 -0000 1.9 --- conversions.hpp 19 Jul 2006 09:56:10 -0000 1.10 *************** *** 132,137 **** long libraryToScalar(const QuantLib::Date&); std::string libraryToScalar(const QuantLib::Period&); - std::string libraryToScalar(const QuantLib::DayCounter&); - std::string libraryToScalar(const QuantLib::Calendar&); std::vector<long> libraryToVector(const std::vector<QuantLib::Date>&); std::vector<long> libraryToVector(const std::vector<QuantLib::Size>&); --- 132,135 ---- |
