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From: Eric E. <eri...@us...> - 2006-07-18 21:53:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7879 Modified Files: todo.csv Log Message: refactor gensrc Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.36 retrieving revision 1.37 diff -C2 -d -r1.36 -r1.37 *** todo.csv 16 Jul 2006 17:18:14 -0000 1.36 --- todo.csv 18 Jul 2006 21:53:17 -0000 1.37 *************** *** 6,12 **** "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","rule.py avoid hard-coding separate logic for each rule","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,, ,,,,,, "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","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,, |
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From: Eric E. <eri...@us...> - 2006-07-18 21:53:20
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7879/gensrc/config Modified Files: config.xml Log Message: refactor gensrc Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** config.xml 14 Jul 2006 17:35:30 -0000 1.13 --- config.xml 18 Jul 2006 21:53:17 -0000 1.14 *************** *** 9,16 **** <categoryNames> <categoryName>calendar</categoryName> <categoryName>capfloor</categoryName> <categoryName>couponvectors</categoryName> - <categoryName>bonds</categoryName> <categoryName>date</categoryName> <categoryName>daycounter</categoryName> --- 9,17 ---- <categoryNames> + <categoryName>bonds</categoryName> <categoryName>calendar</categoryName> <categoryName>capfloor</categoryName> + <categoryName>capletvolstructure</categoryName> <categoryName>couponvectors</categoryName> <categoryName>date</categoryName> <categoryName>daycounter</categoryName> *************** *** 20,25 **** <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> - <categoryName>mathf</categoryName> <categoryName>marketmodels</categoryName> <categoryName>optimization</categoryName> <categoryName>options</categoryName> --- 21,26 ---- <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> <categoryName>marketmodels</categoryName> + <categoryName>mathf</categoryName> <categoryName>optimization</categoryName> <categoryName>options</categoryName> *************** *** 34,38 **** <categoryName>swap</categoryName> <categoryName>swaption</categoryName> - <categoryName>capletvolstructure</categoryName> <categoryName>swaptionvolstructure</categoryName> <categoryName>termstructures</categoryName> --- 35,38 ---- |
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From: Katiuscia M. <kma...@us...> - 2006-07-18 18:50:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30446/gensrc/metadata Modified Files: index.xml Log Message: exported to Excel a number of Xibor methods (tenor, dayCounter, calendar, frequency, ...) Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** index.xml 14 Jul 2006 10:20:32 -0000 1.7 --- index.xml 18 Jul 2006 18:49:57 -0000 1.8 *************** *** 26,30 **** </ReturnValue> </Member> ! <Member name='qlIndexFixing' libraryClass='Index' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> --- 26,30 ---- </ReturnValue> </Member> ! <Member name='qlIndexFixing' libraryClass='Index' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> *************** *** 172,175 **** --- 172,295 ---- </Constructor> + <Member name='qlIndexFamilyName' libraryClass='Xibor'> + <description>retrieve the family name for the given Index (e.g. EURIBOR6m)</description> + <libraryFunction>familyName</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexTenor' libraryClass='Xibor'> + <description>retrieve the tenor for the given Index (e.g. 6m)</description> + <libraryFunction>tenor</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexFrequency' libraryClass='Xibor'> + <description>retrieve the frequency for the given Index (e.g. annual)</description> + <libraryFunction>frequency</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexSettlementDays' libraryClass='Xibor'> + <description>retrieve the settlement days for the given Index (e.g. 2)</description> + <libraryFunction>settlementDays</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexCurrency' libraryClass='Xibor'> + <description>retrieve the currency for the given Index (e.g. EUR)</description> + <libraryFunction>currency</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Currency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexCalendar' libraryClass='Xibor'> + <description>retrieve the calendar for the given Index (e.g. TARGET)</description> + <libraryFunction>calendar</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexIsAdjusted' libraryClass='Xibor'> + <description>returns TRUE if business day convention is of type adjusted and FALSE otherwise.</description> + <libraryFunction>isAdjusted</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexBusinessDayConv' libraryClass='Xibor'> + <description>retrieve the business day convention for the given Index (e.g. Modified Following)</description> + <libraryFunction>businessDayConvention</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlIndexDayCounter' libraryClass='Xibor'> + <description>retrieve the day count fraction for the given Index (e.g. Actual/360)</description> + <libraryFunction>dayCounter</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <!--<Member name='qlIndexTermStructure' libraryClass='Xibor'> + <description>retrieve the term structure for the given Index (e.g. EURYC)</description> + <libraryFunction>termStructure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member>--> + <Procedure name='qlSetEuriborTermStructure'> <description>set the yield term structure which is linked to by the handle shared by all enumerated Euribor objects</description> *************** *** 189,193 **** </ReturnValue> </Procedure> ! </Functions> </Category> --- 309,313 ---- </ReturnValue> </Procedure> ! </Functions> </Category> |
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From: Giorgio F. <gi...@us...> - 2006-07-18 16:01:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9276/qlo Modified Files: optimization.hpp Log Message: 1) default is positiveOptimization = true 2) ConjugateGradient new consructor 3) exported LineSearch Index: optimization.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** optimization.hpp 14 Jul 2006 17:35:30 -0000 1.1 --- optimization.hpp 18 Jul 2006 16:01:08 -0000 1.2 *************** *** 21,24 **** --- 21,25 ---- #include <oh/objhandler.hpp> #include <ql/Optimization/method.hpp> + #include <ql/Optimization/linesearch.hpp> namespace QuantLibAddin { *************** *** 38,42 **** { public: ! ConjugateGradient(); }; --- 39,45 ---- { public: ! ConjugateGradient(const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch); }; *************** *** 59,62 **** --- 62,76 ---- SteepestDescent(); }; + + class LineSearch : public ObjHandler::LibraryObject< + QuantLib::LineSearch> {}; + + class ArmijoLineSearch : public LineSearch + { + public: + ArmijoLineSearch(double eps, + double alpha, + double beta); + }; } |
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From: Giorgio F. <gi...@us...> - 2006-07-18 16:01:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9276/gensrc/metadata Modified Files: optimization.xml Log Message: 1) default is positiveOptimization = true 2) ConjugateGradient new consructor 3) exported LineSearch Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** optimization.xml 14 Jul 2006 17:35:30 -0000 1.1 --- optimization.xml 18 Jul 2006 16:01:08 -0000 1.2 *************** *** 37,41 **** <libraryFunction>setPositiveOptimization</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 37,47 ---- <libraryFunction>setPositiveOptimization</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name="isPositive"> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE for positive optimization</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 59,63 **** <!-- OptimizationMethod base class interface --> ! <Member name='qlOptSetInitialValue' libraryClass='OptimizationMethod'> <description>Set initial value guess to the OptimizationMethod object</description> <libraryFunction>setInitialValue</libraryFunction> --- 65,69 ---- <!-- OptimizationMethod base class interface --> ! <Member name='qlOptimizationSetInitialValue' libraryClass='OptimizationMethod'> <description>Set initial value guess to the OptimizationMethod object</description> <libraryFunction>setInitialValue</libraryFunction> *************** *** 77,86 **** </Member> ! <Member name='qlOptSetEndCriteria' libraryClass='OptimizationMethod'> <description>Set EndCriteria to the OptimizationMethod object</description> <libraryFunction>setEndCriteria</libraryFunction> <ParameterList> <Parameters> ! <Parameter name="guess" libraryClass='EndCriteria' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 83,92 ---- </Member> ! <Member name='qlOptimizationSetEndCriteria' libraryClass='OptimizationMethod'> <description>Set EndCriteria to the OptimizationMethod object</description> <libraryFunction>setEndCriteria</libraryFunction> <ParameterList> <Parameters> ! <Parameter name="endCriteria" libraryClass='EndCriteria' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 95,104 **** </Member> ! <!-- OptimizationMethod derived classes' consructors --> <Constructor name='qlConjugateGradient'> <libraryFunction>ConjugateGradient</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> --- 101,126 ---- </Member> ! <!-- OptimizationMethod derived classes' constructors --> <Constructor name='qlConjugateGradient'> <libraryFunction>ConjugateGradient</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name="endCriteria" libraryClass='EndCriteria' getUnderlying='true'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> ! </Parameter> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>initial value (i.e. initial guess)</description> ! </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>LineSearch object ID</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> *************** *** 107,111 **** <libraryFunction>LevenbergMarquardt</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> --- 129,133 ---- <libraryFunction>LevenbergMarquardt</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> *************** *** 135,138 **** --- 157,185 ---- </ParameterList> </Constructor> + + <!-- LineSearch derived classes' constructors --> + + <Constructor name='qlArmijoLineSearch'> + <libraryFunction>ArmijoLineSearch</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name="epsilon"> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>epsilon</description> + </Parameter> + <Parameter name="alpha"> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>alpha</description> + </Parameter> + <Parameter name="beta"> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>beta</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> </Functions> |
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From: Giorgio F. <gi...@us...> - 2006-07-18 16:00:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8478/gensrc/metadata Modified Files: interpolation.xml Log Message: exported optimizationMethod Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** interpolation.xml 14 Jul 2006 09:06:00 -0000 1.21 --- interpolation.xml 18 Jul 2006 15:59:58 -0000 1.22 *************** *** 7,10 **** --- 7,12 ---- <include>qlo/interpolation2D.hpp</include> <include>qlo/vo_interpolation.hpp</include> + <include>qlo/optimization.hpp</include> + <include>ql/Optimization/method.hpp</include> <include>ql/Math/sabrinterpolation.hpp</include> <include>ql/Math/bilinearinterpolation.hpp</include> *************** *** 276,295 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>beta</description> </Parameter> <Parameter name='nu' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>nu</description> </Parameter> <Parameter name='alpha' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>alpha</description> </Parameter> <Parameter name='rho' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>rho</description> </Parameter> </Parameters> --- 278,303 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>beta (fixed value or guess)</description> </Parameter> <Parameter name='nu' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> ! <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> <tensorRank>scalar</tensorRank> ! <description>rho (fixed value or guess)</description> ! </Parameter> ! <!--Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='boost::shared_ptr<QuantLib::OptimizationMethod>()'--> ! <Parameter name='optimizationMethod' libraryClass='OptimizationMethod'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>optimization method</description> </Parameter> </Parameters> |
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From: Giorgio F. <gi...@us...> - 2006-07-18 16:00:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8478/qlo Modified Files: interpolation.cpp Log Message: exported optimizationMethod Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** interpolation.cpp 3 Jul 2006 13:25:52 -0000 1.13 --- interpolation.cpp 18 Jul 2006 15:59:58 -0000 1.14 *************** *** 69,78 **** double nu, double alpha, ! double rho) : x_(x), y_(y) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), ! t, forward, beta, nu, alpha, rho)); } --- 69,81 ---- double nu, double alpha, ! double rho, ! const boost::shared_ptr<QuantLib::OptimizationMethod>& om) ! : x_(x), y_(y) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), ! t, forward, beta, nu, alpha, rho, om ! )); } |
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From: Giorgio F. <gi...@us...> - 2006-07-18 14:37:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4882/qlo Modified Files: interpolation.hpp optimization.cpp Log Message: added optimization method to SABRInterpolation constructor Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** interpolation.hpp 30 Jun 2006 14:12:05 -0000 1.15 --- interpolation.hpp 18 Jul 2006 14:37:12 -0000 1.16 *************** *** 20,23 **** --- 20,24 ---- #include <oh/objhandler.hpp> + #include <ql/Optimization/method.hpp> #include <ql/Math/linearinterpolation.hpp> #include <ql/Math/cubicspline.hpp> *************** *** 57,68 **** class SABRInterpolation : public Interpolation { public: ! SABRInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! double t, ! double forward, ! double beta, ! double nu, ! double alpha, ! double rho); private: std::vector<double> x_, y_; --- 58,71 ---- class SABRInterpolation : public Interpolation { public: ! SABRInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! double t, ! double forward, ! double beta, ! double nu, ! double alpha, ! double rho, ! const boost::shared_ptr<QuantLib::OptimizationMethod>& om); private: std::vector<double> x_, y_; Index: optimization.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** optimization.cpp 14 Jul 2006 17:35:30 -0000 1.1 --- optimization.cpp 18 Jul 2006 14:37:12 -0000 1.2 *************** *** 36,43 **** ! ConjugateGradient::ConjugateGradient() { libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::ConjugateGradient()); } --- 36,48 ---- ! ConjugateGradient::ConjugateGradient( ! const QuantLib::EndCriteria& endCriteria, ! const QuantLib::Array& initialValue, ! const boost::shared_ptr<QuantLib::LineSearch>& lineSearch) { libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( ! new QuantLib::ConjugateGradient(endCriteria, ! initialValue, ! lineSearch)); } *************** *** 59,61 **** --- 64,75 ---- new QuantLib::SteepestDescent()); } + + ArmijoLineSearch::ArmijoLineSearch( + double eps, + double alpha, + double beta) + { + libraryObject_ = boost::shared_ptr<QuantLib::LineSearch>( + new QuantLib::ArmijoLineSearch(eps, alpha, beta)); + } } |
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From: Giorgio F. <gi...@us...> - 2006-07-18 14:05:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24032/gensrc Modified Files: gensrc.vcproj Log Message: VC7.1 catching up Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** gensrc.vcproj 5 Jul 2006 19:33:19 -0000 1.11 --- gensrc.vcproj 18 Jul 2006 14:05:06 -0000 1.12 *************** *** 85,88 **** --- 85,91 ---- </File> <File + RelativePath=".\metadata\optimization.xml"> + </File> + <File RelativePath="metadata\options.xml"> </File> |
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From: Giorgio F. <gi...@us...> - 2006-07-18 14:05:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24032 Modified Files: QuantLibObjects.vcproj Log Message: VC7.1 catching up Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** QuantLibObjects.vcproj 12 Jul 2006 16:55:46 -0000 1.23 --- QuantLibObjects.vcproj 18 Jul 2006 14:05:06 -0000 1.24 *************** *** 423,426 **** --- 423,432 ---- </File> <File + RelativePath=".\qlo\vo_optimization.cpp"> + </File> + <File + RelativePath=".\qlo\vo_optimization.hpp"> + </File> + <File RelativePath="qlo\vo_options.cpp"> </File> *************** *** 548,551 **** --- 554,563 ---- </File> <File + RelativePath=".\qlo\optimization.cpp"> + </File> + <File + RelativePath=".\qlo\optimization.hpp"> + </File> + <File RelativePath="qlo\symmetricschurdecomposition.cpp"> </File> |
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From: Eric E. <eri...@us...> - 2006-07-16 17:18:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29832 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** todo.csv 16 Jul 2006 11:29:44 -0000 1.35 --- todo.csv 16 Jul 2006 17:18:14 -0000 1.36 *************** *** 12,16 **** "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","Design","add support for QLA methods which construct other QLA objects",,1,, "QLA","Docs","port workstation document into QLA documentation",,1,, "OH","Design","ohDummyObject() to create an empty object for demo purposes",,1,, --- 12,16 ---- "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,, *************** *** 57,60 **** --- 57,61 ---- "QLA","Design","discontinue support for VC6","done",1,16/07/2006, "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","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...> - 2006-07-16 17:11:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27162/qlo Modified Files: vanillaoption.cpp vanillaoption.hpp Log Message: add support for member functions returning newly instantiated QuantLibAddin objects Index: vanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** vanillaoption.hpp 10 Jul 2006 09:40:12 -0000 1.7 --- vanillaoption.hpp 16 Jul 2006 17:11:30 -0000 1.8 *************** *** 33,36 **** --- 33,38 ---- const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); + // temporary test code + std::string aaaJunkTest(const QuantLib::Date &d); }; Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** vanillaoption.cpp 10 Jul 2006 09:40:12 -0000 1.6 --- vanillaoption.cpp 16 Jul 2006 17:11:30 -0000 1.7 *************** *** 22,25 **** --- 22,26 ---- #include <qlo/typefactory.hpp> #include <qlo/exercise.hpp> + #include <qlo/vo_exercise.hpp> // TEST CODE DELETE ME #include <ql/DayCounters/all.hpp> *************** *** 43,46 **** --- 44,64 ---- } + // temporary test code + std::string VanillaOption::aaaJunkTest(const QuantLib::Date &d) { + boost::shared_ptr<ObjHandler::Object> objectPointer( + new QuantLibAddin::EuropeanExercise(d)); + + std::string anonymousID = + ObjHandler::ObjectHandler::instance().storeObject("", objectPointer); + + objectPointer->setProperties( + boost::shared_ptr<ObjHandler::ValueObject>( + new ValueObjects::qlEuropeanExercise( + anonymousID, + d.serialNumber()))); + + return anonymousID; + } + } |
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From: Eric E. <eri...@us...> - 2006-07-16 17:11:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27162/gensrc/metadata Modified Files: options.xml Log Message: add support for member functions returning newly instantiated QuantLibAddin objects Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** options.xml 13 Jul 2006 09:41:01 -0000 1.12 --- options.xml 16 Jul 2006 17:11:30 -0000 1.13 *************** *** 14,17 **** --- 14,39 ---- <Functions> + <!-- + *** test example - testing member functions returning objects + --> + + <Member name='qlAaaJunkTest' objectClass='VanillaOption'> + <description>itm cash probability of an option</description> + <libraryFunction>aaaJunkTest</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='d' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>fixing dates</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlBarrierOption'> <libraryFunction>BarrierOption</libraryFunction> |
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From: Eric E. <eri...@us...> - 2006-07-16 11:29:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22806 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** todo.csv 13 Jul 2006 16:54:05 -0000 1.34 --- todo.csv 16 Jul 2006 11:29:44 -0000 1.35 *************** *** 1,156 **** ! "project","subproject","task","status","hours","priority","comp date","comment" ! ,,,,,,, ! "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open",,,0,, ! "gensrc","Design","enhance gensrc to support references to library objects e.g. QuantLib::Evolution. new XML tag libraryReference='xxx'",,,0,, ! "QLA","Design","support vector iterators as parameters to QL functions",,,0,, ! "gensrc","Design","complete the separation of core gensrc functionality from platform- and library-specific functionality",,,1,, ! "OH","Design","ohDummyObject() to create an empty object for demo purposes",,,1,, ! "QLA","Design","discontinue support for VC6","in progress",,1,, ! "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",,1,, ! "QLA","Enumerations","enumeration as return value (string) should be same as the input value Period, DayCounter",,,1,, ! "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector",,,1,,"is there an example of an enum list containing 1 item?" ! "QLA","Enumerations","autogenerate Enumerated Classes for curves (std::pair<std::string, std::string>",,,1,, ! "gensrc","Design","Handle - automate conversions so it's not necessary for developer to implement linkTo for every class",,,2,, ! "gensrc","Design","coercion implicit conversion between required datatypes for function input/output parameters",,,2,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." ! "OH","Design","update design doc",,,2,, ! "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics",,,2,, ! "QLA","Design","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,,2,, ! "QLA","Design","#include fewer headers to speed compilation",,,2,, ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,,2,, ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files",,,2,, ! "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,,3,, ! "QLA","Design","use Excel SmartTags to allow interrogation of objects",,,3,, ! "QLA","Docs","autogenerate documentation for datatype and default value",,,3,, ! "QLA","Docs","more explicit web-site documentation",,,3,, ! "QLA","Enumerations","enums as function inputs: optional custom description suffixed with generic description taken from enum metadata",,,3,, ! "QLA","Functions","port old QLXL functionality into new QLXL",,,3,, ! "QLA","General Support","C++ examples - add VOs, NPV calculations",,,3,, ! "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,,3,, ! "QLA","VBA framework","design for real-time live feed",,,3,, ! "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","in progress",,3,, ! "OH","Design","""reflection"" - support member functions dynamically",,,4,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,,4,, ! "OH","Design","allow objects to be grouped",,,4,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,,4,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,,4,, ! "QLA","General Support","count the number of functions available in the addin",,,4,, ! "QLA","General Support","calculate memory usage of repository",,,4,, ! "QLA","gensrc","Provide schema for XML",,,4,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes",,,4,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,,4,, ! "QLA","VBA framework","access logfile (GUI browser)",,,4,, ! "QLA","VBA framework","interrogate object repository (GUI browser)",,,4,,"Plamen?" ! "QLA","Excel binding","categorize function names in Excel Function Wizard: Math/Date/Finance/ObjectHandler","done",,1,07/11/2006, ! "OH","Functions","ohPack() broken not removing empty cells from end of range e.g. for timeseries","done",,1,07/11/2006,"indicate empty cell with NA() rather than " ! "QLA","Docs","include #/functions in summary page of autogenerated documentation","done",,1,07/12/2006, ! "QLA","Docs","autogenerated documentation of ETs/ECs: separate descriptions of types & classes","done",,1,07/12/2006, ! "gensrc","Design","add optional long description to function metadata","done",,1,07/12/2006, ! "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA","done",,1,07/12/2006, ! "QLA","Design","raise exception if trigger parameter has value of #ERR!/#NULL!","done",,1,07/13/2006, ! "QLA","Enumerations","enum as return value always use stream operator << to convert to string","done",,0,07/13/2006, ! ,,,,,,, ! "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",4,,04/07/2006, ! "QLA","Enumerations","ET ctors use explicit ctors instead of default i.e. use ""HongKong::HKEx"" not ""HongKong""","done",0,,04/07/2006, ! "QLA","Enumerations","port gensrc EnumerationMember functionality from ETs -> ECs","done",4,,04/07/2006, ! "QLA","Enumerations","extend support for mixing ECs/Objects e.g. Calendar/JointCalendar, Index/EuriborXX","done",2,,04/07/2006, ! "QLA","Enumerations","implement EuriborXX as EC","done",2,,04/07/2006, ! "QLA","Enumerations","implement autogeneration of source code for ECs","done",2,,02/07/2006, ! "QLA","Enumerations","remove PricingEngine, StrikedTypePayoff from EC and implement as normal objects","done",4,,06/30/2006, ! "QLA","Enumerations","rename Enumerations->Enumerated Types (ETs), Complex Types->Enumerated Classes (ECs)","done",0,,06/30/2006, ! "QLA","Enumerations","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class","done",,,04/07/2006, ! "QLA","Enumerations","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template","done",,,04/07/2006, ! "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold","- -",,,"requires redesign to allow multiple XLLs to share global Registry" ! "QLA","Enumerations","remove Create<> code from QLO ctors Create<> code to appear only in autogenerated Addin code","cancelled",0,,,"this is required when QLO classes wrap ECs" ! "QLA","Enumerations","transfer Calendar, DayCounter, Currency from ET -> EC","cancelled",2,,,"these belong as Enumerated Types" ! ,,,,,,, ! "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",,1,06/18/2006,"also revise GC/deletion for permanent/nonpermanent objects" ! "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",,0,06/15/2006,"need to add support for creation of empty QuantLib::Handle" ! "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",,1,05/31/2006, ! "OH","Functions","ohPack() - resolve flags and values","done",,1,06/14/2006, ! ,,,,,,, ! "gensrc","Design","add support for QuantLib::Array as output","done",,1,04/07/2006,"e.g. qlEigenValues()" ! "gensrc","Design","Function Wizard disabled by default","done",,1,04/07/2006, ! "gensrc","Design","fix problem with implicit conversion for return values of type Rate/Spread/DiscountFactor/Time (double typedefs)","done",,1,04/07/2006, ! "gensrc","Design","remove description of return value from function metadata","done",,,04/07/2006, ! ,,,,,,, ! "QLA","Functions","delete VanillaOption->setEngine()","done",,,10/07/2006, ! "QLA","Design","when input vector passed to loop function convert inputs on each loop iteration and catch exceptions one-by-one","done",,,05/31/2006, ! "QLA","Functions","add support for Matrix as input / output","done",,,, ! "QLA","Documentation","add VC8 makefile to generate .chm documentation from metadata","done",,,06/16/2006, ! "QLA","Design","in autogenerated code - suppress call to objectPointer->setPermanent() if input parameter permanent is FALSE","done",,,06/15/2006, ! "QLA","Design","don't rely on try/catch to control processing flow for deriving Enumerations (in templates in qla/conversions.hpp)","done",,,06/16/2006, ! "QLA","Design","add facility to query the most recent error message","done",,,06/16/2006, ! ,,,,,,, ! "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly","done",,1,, ! "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,,01/05/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",,3,04/26/2006, ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",,3,04/27/2006, ! "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,,07/05/2006, ! "OH","Design","support for retrieval of undecorated handles","done",,1,04/30/2006,"fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",,3,04/26/2006, ! "OH","Design","class FunctionCall to encapsulate function state","done",,2,04/26/2006, ! "OH","Design","include cell address in error message?","done",,3,01/05/2006, ! "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",,2,04/26/2006,"renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",,1,05/18/2006, ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,,05/18/2006, ! "OH","Functions","remove EO macro / function","done",,3,04/21/2006, ! "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",,1,,"looks OK now?" ! "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,,"it works OK" ! "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,,01/05/2006,"it doesn't" ! "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",,3,08/05/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",,1,04/28/2006,"always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,,05/23/2006, ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",,1,04/30/2006,"this change will probably be reversed" ! "QLA","Design","export IMM dates e.g. H7 -> date","done",,,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,,04/28/2006, ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",,2,04/28/2006,"also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,,04/27/2006, ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,,04/21/2006, ! "QLA","Docs","installation - refer to Release build not Debug","done",,3,04/21/2006, ! "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",,3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",,2,04/21/2006,"not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,,05/18/2006,"retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,,04/20/2006,"not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,,04/20/2006,"not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",,2,04/26/2006, ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",,1,04/27/2006, ! "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,,, ! "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,,08/05/2006, ! "QLA","Functions","qlGetDf() to return vector","done",,2,04/21/2006,"renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",,1,04/26/2006, ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",,1,05/18/2006, ! "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",,2,08/05/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",,3,04/28/2006,"thanks to Joe Byers" ! "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,,03/05/2006, ! "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,,04/19/2006, ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,,04/19/2006, ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",,3,05/19/2006, ! "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",,3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,,04/26/2006,"the tag is in use" ! "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,,06/05/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,,04/26/2006, ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",,3,04/30/2006, ! "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,,06/05/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,,04/26/2006, ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,,04/28/2006, ! "QLA","gensrc","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,,05/23/2006, ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",,3,05/23/2006, ! "QLA","VBA framework","load XLLs","done",,1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,,04/18/2006, ! "QLA","VBA framework","skeleton structure","done",,,04/18/2006, ! "QLA","VBA framework","create trade/market workbooks from templates","done",,1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,,04/18/2006, ! "QLA","Workstation Document","explanation of runtime libraries","done",,2,04/21/2006, ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",,2,04/21/2006, ! "QLA","Workstation Document","document use of Addin Manager","done",,2,04/28/2006, ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,,04/28/2006, ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,,04/28/2006, ! "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","cancelled",,2,,"lazy instantiation?" ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","done",,2,06/14/2006, ! "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",,3,09/06/2006,"consolidate code for returning object references" ! "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","done",,1,12/06/2006,"represent stateful objects as singletons rather than Enumerations?" ! "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",,1,06/14/2006,"also required for ctors otherwise GC breaks" ! "QLA","INDEX","get/set fixing for given date","done",,2,,"?" ! "QLA","Design","improve formatting of log messages","done",,,, --- 1,164 ---- ! "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","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","rule.py avoid hard-coding separate logic for each rule","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,, ! ,,,,,, ! "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","Design","add support for QLA methods which construct other QLA objects",,1,, ! "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,, ! "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,, ! "QLA","Design","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,2,, ! "QLA","Design","#include fewer headers to speed compilation",,2,, ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,2,, ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files",,2,, ! "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,3,, ! "QLA","Design","use Excel SmartTags to allow interrogation of objects",,3,, ! "QLA","Docs","autogenerate documentation for datatype and default value",,3,, ! "QLA","Docs","more explicit web-site documentation",,3,, ! "QLA","Enumerations","enums as function inputs: optional description suffixed with generic description taken from enum metadata",,3,, ! "QLA","Functions","port old QLXL functionality into new QLXL",,3,, ! "QLA","General Support","C++ examples - add VOs, NPV calculations",,3,, ! "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,3,, ! "QLA","VBA framework","design for real-time live feed",,3,, ! "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","in progress",3,, ! "OH","Design","""reflection"" - support member functions dynamically",,4,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,4,, ! "OH","Design","allow objects to be grouped",,4,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,4,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,4,, ! "QLA","General Support","count the number of functions available in the addin",,4,, ! "QLA","General Support","calculate memory usage of repository",,4,, ! "QLA","gensrc","Provide schema for XML",,4,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes",,4,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,4,, ! "QLA","VBA framework","access logfile (GUI browser)",,4,, ! "QLA","VBA framework","interrogate object repository (GUI browser)",,4,,"Plamen?" ! "QLA","Excel binding","categorize function names in Excel Function Wizard: Math/Date/Finance/ObjectHandler","done",1,11/07/2006, ! "OH","Functions","ohPack() broken not removing empty cells from end of range e.g. for timeseries","done",1,11/07/2006,"indicate empty cell with NA() rather than " ! "QLA","Docs","include #/functions in summary page of autogenerated documentation","done",1,12/07/2006, ! "QLA","Docs","autogenerated documentation of ETs/ECs: separate descriptions of types & classes","done",1,12/07/2006, ! "gensrc","Design","add optional long description to function metadata","done",1,12/07/2006, ! "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA","done",1,12/07/2006, ! "QLA","Design","raise exception if trigger parameter has value of #ERR!/#NULL!","done",1,13/07/2006, ! "QLA","Enumerations","enum as return value always use stream operator << to convert to string","done",0,13/07/2006, ! "gensrc","Design","enhance gensrc to support references to library objects e.g. QuantLib::Evolution.","done",0,14/07/2006,"new XML tag libraryReference='xxx'" ! "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector","cancelled",1,16/07/2006,"excel always repeats scalar values stored in array formulas e.g: {=1}" ! "QLA","Design","discontinue support for VC6","done",1,16/07/2006, ! "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","done",1,16/07/2006, ! ,,,,,, ! "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",,07/04/2006, ! "QLA","Enumerations","ET ctors use explicit ctors instead of default i.e. use ""HongKong::HKEx"" not ""HongKong""","done",,07/04/2006, ! "QLA","Enumerations","port gensrc EnumerationMember functionality from ETs -> ECs","done",,07/04/2006, ! "QLA","Enumerations","extend support for mixing ECs/Objects e.g. Calendar/JointCalendar, Index/EuriborXX","done",,07/04/2006, ! "QLA","Enumerations","implement EuriborXX as EC","done",,07/04/2006, ! "QLA","Enumerations","implement autogeneration of source code for ECs","done",,07/02/2006, ! "QLA","Enumerations","remove PricingEngine, StrikedTypePayoff from EC and implement as normal objects","done",,30/06/2006, ! "QLA","Enumerations","rename Enumerations->Enumerated Types (ETs), Complex Types->Enumerated Classes (ECs)","done",,30/06/2006, ! "QLA","Enumerations","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class","done",,07/04/2006, ! "QLA","Enumerations","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate template","done",,07/04/2006, ! "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold",,,"requires redesign to allow multiple XLLs to share global Registry" ! "QLA","Enumerations","remove Create<> code from QLO ctors Create<> code to appear only in autogenerated Addin code","cancelled",,,"this is required when QLO classes wrap ECs" ! "QLA","Enumerations","transfer Calendar, DayCounter, Currency from ET -> EC","cancelled",,,"these belong as Enumerated Types" ! ,,,,,, ! "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",1,18/06/2006,"also revise GC/deletion for permanent/nonpermanent objects" ! "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",0,15/06/2006,"need to add support for creation of empty QuantLib::Handle" ! "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",1,31/05/2006, ! "OH","Functions","ohPack() - resolve flags and values","done",1,14/06/2006, ! ,,,,,, ! "gensrc","Design","add support for QuantLib::Array as output","done",1,07/04/2006,"e.g. qlEigenValues()" ! "gensrc","Design","Function Wizard disabled by default","done",1,07/04/2006, ! "gensrc","Design","fix problem with implicit conversion for return values of type Rate/Spread/DiscountFactor/Time (double typedefs)","done",1,07/04/2006, ! "gensrc","Design","remove description of return value from function metadata","done",,07/04/2006, ! ,,,,,, ! "QLA","Functions","delete VanillaOption->setEngine()","done",,07/10/2006, ! "QLA","Design","when input vector passed to loop function convert inputs on each loop iteration and catch exceptions one-by-one","done",,31/05/2006, ! "QLA","Functions","add support for Matrix as input / output","done",,, ! "QLA","Documentation","add VC8 makefile to generate .chm documentation from metadata","done",,16/06/2006, ! "QLA","Design","in autogenerated code - suppress call to objectPointer->setPermanent() if input parameter permanent is FALSE","done",,15/06/2006, ! "QLA","Design","don't rely on try/catch to control processing flow for deriving Enumerations (in templates in qla/conversions.hpp)","done",,16/06/2006, ! "QLA","Design","add facility to query the most recent error message","done",,16/06/2006, ! ,,,,,, ! "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly","done",1,, ! "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,05/01/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",3,26/04/2006, ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",3,27/04/2006, ! "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,05/07/2006, ! "OH","Design","support for retrieval of undecorated handles","done",1,30/04/2006,"fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",3,26/04/2006, ! "OH","Design","class FunctionCall to encapsulate function state","done",2,26/04/2006, ! "OH","Design","include cell address in error message?","done",3,05/01/2006, ! "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",2,26/04/2006,"renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",1,18/05/2006, ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,18/05/2006, ! "OH","Functions","remove EO macro / function","done",3,21/04/2006, ! "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",1,,"looks OK now?" ! "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,"it works OK" ! "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,05/01/2006,"it doesn't" ! "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",3,05/08/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",1,28/04/2006,"always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,23/05/2006, ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",1,30/04/2006,"this change will probably be reversed" ! "QLA","Design","export IMM dates e.g. H7 -> date","done",,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,28/04/2006, ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",2,28/04/2006,"also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,27/04/2006, ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,21/04/2006, ! "QLA","Docs","installation - refer to Release build not Debug","done",3,21/04/2006, ! "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",2,21/04/2006,"not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,18/05/2006,"retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,20/04/2006,"not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,20/04/2006,"not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",2,26/04/2006, ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",1,27/04/2006, ! "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,, ! "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,05/08/2006, ! "QLA","Functions","qlGetDf() to return vector","done",2,21/04/2006,"renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",1,26/04/2006, ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",1,18/05/2006, ! "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",2,05/08/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",3,28/04/2006,"thanks to Joe Byers" ! "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,05/03/2006, ! "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,19/04/2006, ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,19/04/2006, ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",3,19/05/2006, ! "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,26/04/2006,"the tag is in use" ! "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,05/06/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,26/04/2006, ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",3,30/04/2006, ! "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,05/06/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,26/04/2006, ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,28/04/2006, ! "QLA","gensrc","add support for complete conversion of datatype of function return value","done",,23/05/2006, ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",3,23/05/2006, ! "QLA","VBA framework","load XLLs","done",1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,18/04/2006, ! "QLA","VBA framework","skeleton structure","done",,18/04/2006, ! "QLA","VBA framework","create trade/market workbooks from templates","done",1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,18/04/2006, ! "QLA","Workstation Document","explanation of runtime libraries","done",2,21/04/2006, ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",2,21/04/2006, ! "QLA","Workstation Document","document use of Addin Manager","done",2,28/04/2006, ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,28/04/2006, ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,28/04/2006, ! "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","cancelled",2,,"lazy instantiation?" ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","done",2,14/06/2006, ! "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",3,06/09/2006,"consolidate code for returning object references" ! "QLA","Enumerations","add support for accessing member function of Enumeration","done",1,06/12/2006,"represent stateful objects as singletons rather than Enumerations?" ! "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",1,14/06/2006,"also required for ctors otherwise GC breaks" ! "QLA","INDEX","get/set fixing for given date","done",2,,"?" ! "QLA","Design","improve formatting of log messages","done",,, |
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From: Eric E. <eri...@us...> - 2006-07-16 10:43:15
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13401/qlo Modified Files: ratehelpers.cpp Log Message: replace 'instanceName/handle' with 'objectID' Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** ratehelpers.cpp 22 Jun 2006 15:18:13 -0000 1.5 --- ratehelpers.cpp 16 Jul 2006 10:42:41 -0000 1.6 *************** *** 128,132 **** struct RateHelperItem { bool isFutures; ! std::string instanceName; bool includeFlag; long priority; --- 128,132 ---- struct RateHelperItem { bool isFutures; ! std::string objectID; bool includeFlag; long priority; *************** *** 134,143 **** QuantLib::Date latestDate; RateHelperItem(bool isFutures, ! const std::string& instanceName, const bool includeFlag, const long& priority, const QuantLib::Date& earliestDate, const QuantLib::Date& latestDate) ! : isFutures(isFutures), instanceName(instanceName), includeFlag(includeFlag), priority(priority), earliestDate(earliestDate), latestDate(latestDate) {} --- 134,143 ---- QuantLib::Date latestDate; RateHelperItem(bool isFutures, ! const std::string& objectID, const bool includeFlag, const long& priority, const QuantLib::Date& earliestDate, const QuantLib::Date& latestDate) ! : isFutures(isFutures), objectID(objectID), includeFlag(includeFlag), priority(priority), earliestDate(earliestDate), latestDate(latestDate) {} *************** *** 157,161 **** return false; } else if (h1.priority == h2.priority) { ! return h1.instanceName > h2.instanceName; } } --- 157,161 ---- return false; } else if (h1.priority == h2.priority) { ! return h1.objectID > h2.objectID; } } *************** *** 235,239 **** std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! result.push_back(i->instanceName); return result; } --- 235,239 ---- std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! result.push_back(i->objectID); return result; } *************** *** 245,252 **** for (i=0; i<rhs.size()-1; i++) { if (rhs[i].latestDate < rhs[i+1].latestDate) ! result.push_back(rhs[i].instanceName); } // add the last one in any case ! result.push_back(rhs[i].instanceName); return result; --- 245,252 ---- for (i=0; i<rhs.size()-1; i++) { if (rhs[i].latestDate < rhs[i+1].latestDate) ! result.push_back(rhs[i].objectID); } // add the last one in any case ! result.push_back(rhs[i].objectID); return result; |
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From: Eric E. <eri...@us...> - 2006-07-16 10:43:15
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/Guile In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13401/Clients/Guile Modified Files: capfloor.scm yc_swapdemo.scm Log Message: replace 'instanceName/handle' with 'objectID' Index: yc_swapdemo.scm =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Guile/yc_swapdemo.scm,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** yc_swapdemo.scm 19 May 2006 16:56:16 -0000 1.1 --- yc_swapdemo.scm 16 Jul 2006 10:42:41 -0000 1.2 *************** *** 156,160 **** (call-func qlXibor ; constructor ! "idx" ; handle "Euribor" ; index name "EUR" ; currency --- 156,160 ---- (call-func qlXibor ; constructor ! "idx" ; object ID "Euribor" ; index name "EUR" ; currency *************** *** 170,174 **** (call-func qlVanillaSwap ; constructor ! "swp" ; handle (date 11 "Apr" 2005) ; start date (date 11 "Apr" 2015) ; maturity date --- 170,174 ---- (call-func qlVanillaSwap ; constructor ! "swp" ; object ID (date 11 "Apr" 2005) ; start date (date 11 "Apr" 2015) ; maturity date Index: capfloor.scm =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Guile/capfloor.scm,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capfloor.scm 19 May 2006 16:56:16 -0000 1.1 --- capfloor.scm 16 Jul 2006 10:42:41 -0000 1.2 *************** *** 81,85 **** (call-func qlXibor ; constructor ! "IDX" ; handle "Euribor" ; index name "EUR" ; currency --- 81,85 ---- (call-func qlXibor ; constructor ! "IDX" ; object ID "Euribor" ; index name "EUR" ; currency *************** *** 123,129 **** "floatLeg" "schedule" nominals "IDX" spreads) ! (define (make-option handle option) (call-func qlCapFloor ! handle "floatLeg" "YC" --- 123,129 ---- "floatLeg" "schedule" nominals "IDX" spreads) ! (define (make-option objectID option) (call-func qlCapFloor ! objectID "floatLeg" "YC" |
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From: Eric E. <eri...@us...> - 2006-07-16 10:42:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++ In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13401/Clients/C++ Modified Files: capfloor.cpp instruments.cpp options.cpp qlademo.cpp Log Message: replace 'instanceName/handle' with 'objectID' Index: options.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++/options.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** options.cpp 19 May 2006 16:56:16 -0000 1.1 --- options.cpp 16 Jul 2006 10:42:41 -0000 1.2 *************** *** 51,55 **** obj_ptr blackScholesProcess(new QuantLibAddin::GeneralizedBlackScholesProcess( ! "my_blackconstantvol", // black constant vol handle underlying, // underlying "Actual365Fixed", // daycount convention --- 51,55 ---- obj_ptr blackScholesProcess(new QuantLibAddin::GeneralizedBlackScholesProcess( ! "my_blackconstantvol", // black constant vol object ID underlying, // underlying "Actual365Fixed", // daycount convention *************** *** 65,83 **** obj_ptr vanillaOption(new QuantLibAddin::VanillaOption( ! "my_blackscholesprocess", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "AE", // engine type (analytic european) timeSteps)); // time steps storeObject("my_vanillaOption", vanillaOption); vanillaOption->setProperties(boost::shared_ptr<ObjHandler::ValueObject>(new QuantLibAddin::ValueObjects::qlVanillaOption( ! "my_vanillaOption", // instance name ! "my_blackscholesprocess", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "AE", // engine type (analytic european) timeSteps))); // time steps --- 65,83 ---- obj_ptr vanillaOption(new QuantLibAddin::VanillaOption( ! "my_blackscholesprocess", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "AE", // engine type (analytic european) timeSteps)); // time steps storeObject("my_vanillaOption", vanillaOption); vanillaOption->setProperties(boost::shared_ptr<ObjHandler::ValueObject>(new QuantLibAddin::ValueObjects::qlVanillaOption( ! "my_vanillaOption", // object ID ! "my_blackscholesprocess", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "AE", // engine type (analytic european) timeSteps))); // time steps *************** *** 92,100 **** obj_ptr continuousAveragingAsianOption(new QuantLibAddin::ContinuousAveragingAsianOption( "Geometric", // average type ! "my_blackscholesprocess", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "ACGAPA", // engine type (AnalyticContinuousGeometricAveragePriceAsianEngine) timeSteps)); // time steps --- 92,100 ---- obj_ptr continuousAveragingAsianOption(new QuantLibAddin::ContinuousAveragingAsianOption( "Geometric", // average type ! "my_blackscholesprocess", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "ACGAPA", // engine type (AnalyticContinuousGeometricAveragePriceAsianEngine) timeSteps)); // time steps *************** *** 110,118 **** 0, // past fixings fixingDates, // fixingDates ! "my_blackscholesprocess", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "ADGAPA", // engine type (AnalyticDiscreteGeometricAveragePriceAsianEngine) timeSteps)); // time steps --- 110,118 ---- 0, // past fixings fixingDates, // fixingDates ! "my_blackscholesprocess", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "ADGAPA", // engine type (AnalyticDiscreteGeometricAveragePriceAsianEngine) timeSteps)); // time steps *************** *** 124,132 **** 35.0, // barrier 3.0, // rebate ! "my_blackscholesprocess", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "AB", // engine type (AnalyticBarrierEngine) timeSteps)); // time steps --- 124,132 ---- 35.0, // barrier 3.0, // rebate ! "my_blackscholesprocess", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "AB", // engine type (AnalyticBarrierEngine) timeSteps)); // time steps *************** *** 137,141 **** resetDates.push_back(Date(12, March, 2020).serialNumber()); obj_ptr cliquetOption(new QuantLibAddin::CliquetOption( ! "my_blackscholesprocess", // stochastic process handle "Put", // option type strike, // strike price --- 137,141 ---- resetDates.push_back(Date(12, March, 2020).serialNumber()); obj_ptr cliquetOption(new QuantLibAddin::CliquetOption( ! "my_blackscholesprocess", // stochastic process object ID "Put", // option type strike, // strike price *************** *** 155,163 **** obj_ptr dividendVanillaOption(new QuantLibAddin::DividendVanillaOption( ! "my_blackscholesprocess", // stochastic process handle "Call", // option type "Vanilla", // payoff type 10.0, // strike price ! "my_exercise", // exercise handle dividendDates, // dividend dates dividends, // dividends --- 155,163 ---- obj_ptr dividendVanillaOption(new QuantLibAddin::DividendVanillaOption( ! "my_blackscholesprocess", // stochastic process object ID "Call", // option type "Vanilla", // payoff type 10.0, // strike price ! "my_exercise", // exercise object ID dividendDates, // dividend dates dividends, // dividends *************** *** 172,180 **** 12, // moneyness resetDate, // reset date ! "my_blackscholesprocess", // stochastic process handle "Put", // option type "Vanilla", // payoff type (plain vanilla) strike, // strike price ! "my_exercise", // exercise handle "FE", // engine type (ForwardEngine) timeSteps)); // time steps --- 172,180 ---- 12, // moneyness resetDate, // reset date ! "my_blackscholesprocess", // stochastic process object ID "Put", // option type "Vanilla", // payoff type (plain vanilla) strike, // strike price ! "my_exercise", // exercise object ID "FE", // engine type (ForwardEngine) timeSteps)); // time steps Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++/capfloor.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capfloor.cpp 19 May 2006 16:56:16 -0000 1.1 --- capfloor.cpp 16 Jul 2006 10:42:40 -0000 1.2 *************** *** 83,91 **** "Unadjusted", "Simple")); ! std::ostringstream handle; ! handle << datum.n << "M"; ! ObjHandler::storeObject(handle.str(), depositRateHelper); ! rateHelpers.push_back(handle.str()); } --- 83,91 ---- "Unadjusted", "Simple")); ! std::ostringstream objectID; ! objectID << datum.n << "M"; ! ObjHandler::storeObject(objectID.str(), depositRateHelper); ! rateHelpers.push_back(objectID.str()); } *************** *** 106,114 **** "Simple")); // floating day counter ! std::ostringstream handle; ! handle << datum.n << "Y"; ! ObjHandler::storeObject(handle.str(), swapRateHelper); ! rateHelpers.push_back(handle.str()); } --- 106,114 ---- "Simple")); // floating day counter ! std::ostringstream objectID; ! objectID << datum.n << "Y"; ! ObjHandler::storeObject(objectID.str(), swapRateHelper); ! rateHelpers.push_back(objectID.str()); } Index: instruments.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++/instruments.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** instruments.cpp 19 May 2006 16:56:16 -0000 1.1 --- instruments.cpp 16 Jul 2006 10:42:41 -0000 1.2 *************** *** 85,93 **** "Unadjusted", "Simple")); ! std::ostringstream handle; ! handle << datum.n << "M"; ! ObjHandler::storeObject(handle.str(), depositRateHelper); ! rateHelpers.push_back(handle.str()); } --- 85,93 ---- "Unadjusted", "Simple")); ! std::ostringstream objectID; ! objectID << datum.n << "M"; ! ObjHandler::storeObject(objectID.str(), depositRateHelper); ! rateHelpers.push_back(objectID.str()); } *************** *** 108,116 **** "Simple")); // floating day counter ! std::ostringstream handle; ! handle << datum.n << "Y"; ! ObjHandler::storeObject(handle.str(), swapRateHelper); ! rateHelpers.push_back(handle.str()); } --- 108,116 ---- "Simple")); // floating day counter ! std::ostringstream objectID; ! objectID << datum.n << "Y"; ! ObjHandler::storeObject(objectID.str(), swapRateHelper); ! rateHelpers.push_back(objectID.str()); } Index: qlademo.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++/qlademo.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** qlademo.cpp 19 May 2006 16:56:16 -0000 1.1 --- qlademo.cpp 16 Jul 2006 10:42:41 -0000 1.2 *************** *** 58,62 **** obj_ptr blackScholesProcess(new QuantLibAddin::GeneralizedBlackScholesProcess( ! "my_blackconstantvol", // black constant vol handle underlying, // underlying Actual360(), // daycount convention --- 58,62 ---- obj_ptr blackScholesProcess(new QuantLibAddin::GeneralizedBlackScholesProcess( ! "my_blackconstantvol", // black constant vol object ID underlying, // underlying Actual360(), // daycount convention *************** *** 73,91 **** obj_ptr vanillaOption(new QuantLibAddin::VanillaOption( ! "my_blackscholes", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "JR", // engine type (jarrow rudd) timeSteps)); // time steps storeObject("my_option", vanillaOption); vanillaOption->setProperties(boost::shared_ptr<ObjHandler::ValueObject>(new QuantLibAddin::ValueObjects::qlVanillaOption( ! "my_option", // instance name ! "my_blackscholes", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "JR", // engine type (jarrow rudd) timeSteps))); // time steps --- 73,91 ---- obj_ptr vanillaOption(new QuantLibAddin::VanillaOption( ! "my_blackscholes", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "JR", // engine type (jarrow rudd) timeSteps)); // time steps storeObject("my_option", vanillaOption); vanillaOption->setProperties(boost::shared_ptr<ObjHandler::ValueObject>(new QuantLibAddin::ValueObjects::qlVanillaOption( ! "my_option", // object ID ! "my_blackscholes", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "JR", // engine type (jarrow rudd) timeSteps))); // time steps |
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From: Eric E. <eri...@us...> - 2006-07-16 10:42:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13401/Clients/C Modified Files: qlademo.c Log Message: replace 'instanceName/handle' with 'objectID' Index: qlademo.c =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/C/qlademo.c,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** qlademo.c 19 May 2006 16:56:16 -0000 1.1 --- qlademo.c 16 Jul 2006 10:42:39 -0000 1.2 *************** *** 75,84 **** if (qlVanillaOption( ! "my_option", // option handle ! "my_stochastic", // stochastic process handle "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise handle "JR", // engine type (jarrow rudd) dummy, // time steps --- 75,84 ---- if (qlVanillaOption( ! "my_option", // option object ID ! "my_stochastic", // stochastic process object ID "Put", // option type "Vanilla", // payoff type strike, // strike price ! "my_exercise", // exercise object ID "JR", // engine type (jarrow rudd) dummy, // time steps |
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From: Eric E. <eri...@us...> - 2006-07-16 10:19:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3626/Addins/C Removed Files: AddinC.dsp Log Message: discontinue support for VC6 --- AddinC.dsp DELETED --- |
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From: Eric E. <eri...@us...> - 2006-07-16 10:19:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3626/qlo Modified Files: qladdindefines.hpp Log Message: discontinue support for VC6 Index: qladdindefines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/qladdindefines.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** qladdindefines.hpp 12 Jul 2006 16:55:46 -0000 1.4 --- qladdindefines.hpp 16 Jul 2006 10:18:48 -0000 1.5 *************** *** 26,33 **** #endif - #if (_MSC_VER == 1200) - # define QLA_PATCH_MSVC6 - #endif - #include <oh/objhandler.hpp> #if OBJHANDLER_HEX_VERSION < 0x000103f0 --- 26,29 ---- |
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From: Eric E. <eri...@us...> - 2006-07-16 10:19:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3626/Clients/C Removed Files: ClientCDemo.dsp Log Message: discontinue support for VC6 --- ClientCDemo.dsp DELETED --- |
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From: Eric E. <eri...@us...> - 2006-07-16 10:19:00
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3626/Addins/Calc Removed Files: AddinCalc.dsp Log Message: discontinue support for VC6 --- AddinCalc.dsp DELETED --- |
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From: Eric E. <eri...@us...> - 2006-07-16 10:18:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/C++ In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3626/Clients/C++ Removed Files: ClientCppDemo.dsp Log Message: discontinue support for VC6 --- ClientCppDemo.dsp DELETED --- |
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From: Ferdinando A. <na...@us...> - 2006-07-14 18:56:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26190/gensrc/metadata Modified Files: marketmodels.xml Log Message: updated Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** marketmodels.xml 14 Jul 2006 17:37:16 -0000 1.8 --- marketmodels.xml 14 Jul 2006 18:56:08 -0000 1.9 *************** *** 13,33 **** ! <!-- PseudoRoot base class interface --> ! ! <Member name='qlPseudoRootInitialRates' libraryClass='PseudoRoot'> ! <description>initial rates for the PseudoRoot object</description> ! <libraryFunction>initialRates</libraryFunction> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! <Member name='qlPseudoRootDisplacements' libraryClass='PseudoRoot'> ! <description>rates' displacemets for the PseudoRoot object</description> ! <libraryFunction>displacements</libraryFunction> <ParameterList> <Parameters/> --- 13,22 ---- ! <!-- MarketModelProduct base class interface --> ! <Member name='qlMarketModelProductPossibleCashFlowTimes' libraryClass='MarketModelProduct'> ! <description>possible cash flow times for the MarketModelProduct object</description> ! <libraryFunction>possibleCashFlowTimes</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> *************** *** 39,45 **** </Member> ! <Member name='qlPseudoRootNumberOfRates' libraryClass='PseudoRoot'> ! <description>number of rates for the PseudoRoot object</description> ! <libraryFunction>numberOfRates</libraryFunction> <ParameterList> <Parameters/> --- 28,35 ---- </Member> ! <Member name='qlMarketModelProductNumberOfProducts' libraryClass='MarketModelProduct'> ! <description>number of products in the MarketModelProduct object</description> ! <libraryFunction>numberOfProducts</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> *************** *** 51,57 **** </Member> ! <Member name='qlPseudoRootNumberOfFactors' libraryClass='PseudoRoot'> ! <description>number of factors for the PseudoRoot object</description> ! <libraryFunction>numberOfFactors</libraryFunction> <ParameterList> <Parameters/> --- 41,48 ---- </Member> ! <Member name='qlMarketModelProductMaxNumberOfCashFlowsPerProductPerStep' libraryClass='MarketModelProduct'> ! <description>Max number of cashflows per product per step for the MarketModelProduct object</description> ! <libraryFunction>maxNumberOfCashFlowsPerProductPerStep</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> *************** *** 63,174 **** </Member> ! <Member name='qlPseudoRootPseudoRoot' libraryClass='PseudoRoot'> ! <description>Returns the pseudo root for the i-th step.</description> ! <libraryFunction>pseudoRoot</libraryFunction> ! <ParameterList> ! <Parameters> ! <Parameter name="index"> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>evolution step index</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! </ReturnValue> ! </Member> ! ! <!-- PseudoRoot derived class constructors --> ! ! ! <Constructor name='qlExponentialCorrelation'> ! <libraryFunction>ExponentialCorrelation</libraryFunction> ! <ParameterList> ! <Parameters> ! <Parameter name='LongTermCorr'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> ! </Parameter> ! <Parameter name='beta'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> ! </Parameter> ! <Parameter name='volatilities'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <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'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>number of factors to be retained in the simulation</description> ! </Parameter> ! <Parameter name='initialRates' libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>initial rates</description> ! </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>displacements</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlAbcdVolatility'> ! <libraryFunction>AbcdVolatility</libraryFunction> <ParameterList> <Parameters> - <Parameter name='a'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the a coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='b'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the b coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='c'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the c coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='d'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the d coefficient in the abcd vol parametrization</description> - </Parameter> - <Parameter name='ks'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>K_i adjustment factors in the abcd vol parametrization</description> - </Parameter> - <Parameter name='LongTermCorr'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> - </Parameter> - <Parameter name='beta'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> - </Parameter> <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> --- 54,64 ---- </Member> ! <!-- MarketModelProduct derived classes' constructors --> ! <Constructor name='qlMarketModelForwards'> ! <libraryFunction>MarketModelForwards</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> *************** *** 176,198 **** <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'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>number of factors to be retained in the simulation</description> </Parameter> ! <Parameter name='initialRates' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>initial rates</description> </Parameter> ! <Parameter name='displacements' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>displacements</description> </Parameter> </Parameters> --- 66,83 ---- <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>forward strikes</description> </Parameter> </Parameters> *************** *** 200,204 **** </Constructor> - <!-- EvolutionDescription class interface and costructor --> --- 85,88 ---- *************** *** 366,369 **** --- 250,438 ---- </Constructor> + <!-- PseudoRoot base class interface --> + + <Member name='qlPseudoRootInitialRates' libraryClass='PseudoRoot'> + <description>initial rates for the PseudoRoot object</description> + <libraryFunction>initialRates</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlPseudoRootDisplacements' libraryClass='PseudoRoot'> + <description>rates' displacemets for the PseudoRoot object</description> + <libraryFunction>displacements</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlPseudoRootNumberOfRates' libraryClass='PseudoRoot'> + <description>number of rates for the PseudoRoot object</description> + <libraryFunction>numberOfRates</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlPseudoRootNumberOfFactors' libraryClass='PseudoRoot'> + <description>number of factors for the PseudoRoot object</description> + <libraryFunction>numberOfFactors</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlPseudoRootPseudoRoot' libraryClass='PseudoRoot'> + <description>Returns the pseudo root for the i-th step.</description> + <libraryFunction>pseudoRoot</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name="index"> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>evolution step index</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + + <!-- PseudoRoot derived class constructors --> + + <Constructor name='qlExponentialCorrelation'> + <libraryFunction>ExponentialCorrelation</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='LongTermCorr'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> + </Parameter> + <Parameter name='beta'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> + </Parameter> + <Parameter name='volatilities'> + <type>double</type> + <tensorRank>vector</tensorRank> + <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'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>number of factors to be retained in the simulation</description> + </Parameter> + <Parameter name='initialRates' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>initial rates</description> + </Parameter> + <Parameter name='displacements' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>displacements</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Constructor name='qlAbcdVolatility'> + <libraryFunction>AbcdVolatility</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='a'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the a coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='b'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the b coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='c'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the c coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='d'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the d coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='ks'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>K_i adjustment factors in the abcd vol parametrization</description> + </Parameter> + <Parameter name='LongTermCorr'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description> + </Parameter> + <Parameter name='beta'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <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'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>number of factors to be retained in the simulation</description> + </Parameter> + <Parameter name='initialRates' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>initial rates</description> + </Parameter> + <Parameter name='displacements' libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>displacements</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> <!-- CurveState class interface and costructor --> *************** *** 597,672 **** </Constructor> - <!-- MarketModelProduct base class interface --> - - <Member name='qlMarketModelProductPossibleCashFlowTimes' libraryClass='MarketModelProduct'> - <description>possible cash flow times for the MarketModelProduct object</description> - <libraryFunction>possibleCashFlowTimes</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - </ReturnValue> - </Member> - - <Member name='qlMarketModelProductNumberOfProducts' libraryClass='MarketModelProduct'> - <description>number of products in the MarketModelProduct object</description> - <libraryFunction>numberOfProducts</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>long</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - - <Member name='qlMarketModelProductMaxNumberOfCashFlowsPerProductPerStep' libraryClass='MarketModelProduct'> - <description>Max number of cashflows per product per step for the MarketModelProduct object</description> - <libraryFunction>maxNumberOfCashFlowsPerProductPerStep</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>long</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - - <!-- MarketModelProduct derived classes' constructors --> - - <Constructor name='qlMarketModelForwards'> - <libraryFunction>MarketModelForwards</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='rateTimes' libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>rate fixing times</description> - </Parameter> - <Parameter name='accruals' libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>accrual factors</description> - </Parameter> - <Parameter name='paymentTimes' libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>payment times of the product</description> - </Parameter> - <Parameter name='strikes' libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>forward strikes</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <!-- BrownianGeneratorFactory derived classes constructors --> --- 666,669 ---- *************** *** 783,787 **** <ParameterList> <Parameters> ! <Parameter name='evolver' libraryClass='MarketModelEvolver'> <type>string</type> <tensorRank>scalar</tensorRank> --- 780,784 ---- <ParameterList> <Parameters> ! <Parameter name='marketModelEvolver' libraryClass='MarketModelEvolver'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-07-14 18:56:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26190 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** todonando.txt 28 Jun 2006 11:46:13 -0000 1.23 --- todonando.txt 14 Jul 2006 18:56:08 -0000 1.24 *************** *** 43,47 **** - DAYCOUNTER: default parameter? - DAYCOUNTER: loop parameters ! - YYYYDDMM_HHMM timestamp in log file name - INSTALLER: Excel must be closed - INSTALLER: what about rebooting? --- 43,48 ---- - DAYCOUNTER: default parameter? - DAYCOUNTER: loop parameters ! - YYYYDDMM_HHMM timestamp in log file name doesn't work second time ! - file name cannot be changed without time - INSTALLER: Excel must be closed - INSTALLER: what about rebooting? |
