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From: Ferdinando A. <na...@us...> - 2006-07-14 17:37:19
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25773/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: exported more MarketModels functions Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** marketmodels.hpp 14 Jul 2006 09:38:53 -0000 1.5 --- marketmodels.hpp 14 Jul 2006 17:37:16 -0000 1.6 *************** *** 20,23 **** --- 20,24 ---- #include <oh/objhandler.hpp> + #include <ql/MarketModels/accountingengine.hpp> #include <ql/MarketModels/pseudoroot.hpp> #include <ql/MarketModels/evolutiondescription.hpp> *************** *** 78,81 **** --- 79,83 ---- + //?? inline QuantLib::Array drifts(const QuantLib::Matrix& pseudo, std::vector<double> vdisplacements, *************** *** 105,109 **** ! class MarketModelForwards : public ObjHandler::LibraryObject<QuantLib::MarketModelForwards> { public: MarketModelForwards(const QuantLib::Array& rateTimes, --- 107,118 ---- ! ! class MarketModelProduct : public ObjHandler::LibraryObject< ! QuantLib::MarketModelProduct> { ! //public: ! // virtual EvolutionDescription suggestedEvolution() const=0; ! }; ! ! class MarketModelForwards : public MarketModelProduct { public: MarketModelForwards(const QuantLib::Array& rateTimes, *************** *** 111,114 **** --- 120,124 ---- const QuantLib::Array& paymentTimes, const QuantLib::Array& strikes); + //EvolutionDescription suggestedEvolution() const; }; *************** *** 131,137 **** ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&, const QuantLib::EvolutionDescription&, ! unsigned long seed); }; } --- 141,164 ---- ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&, const QuantLib::EvolutionDescription&, ! const QuantLib::BrownianGeneratorFactory&); }; + class ForwardRateIpcEvolver : public MarketModelEvolver { + public: + ForwardRateIpcEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&, + const QuantLib::EvolutionDescription&, + const QuantLib::BrownianGeneratorFactory&); + }; + + + class AccountingEngine : public ObjHandler::LibraryObject< + QuantLib::AccountingEngine> { + public: + AccountingEngine( + const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver, + const boost::shared_ptr<QuantLib::MarketModelProduct>& product, + const QuantLib::EvolutionDescription& evolution, + double initialNumeraireValue); + }; } Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** marketmodels.cpp 14 Jul 2006 09:38:53 -0000 1.4 --- marketmodels.cpp 14 Jul 2006 17:37:16 -0000 1.5 *************** *** 120,128 **** const QuantLib::Array& strikes) { ! libraryObject_ = boost::shared_ptr<QuantLib::MarketModelForwards>( new QuantLib::MarketModelForwards(rateTimes, accruals, paymentTimes, strikes)); } --- 120,137 ---- const QuantLib::Array& strikes) { ! libraryObject_ = boost::shared_ptr<QuantLib::MarketModelProduct>( new QuantLib::MarketModelForwards(rateTimes, accruals, paymentTimes, strikes)); } + /* + EvolutionDescription MarketModelForwards::suggestedEvolution() const + { + QuantLib::EvolitionDescription ed = libraryObject_->suggestedEvolution(); + + boost::shared_ptr<ObjHandler::Object> objectPointer( + new QuantLibAddin::EvolutionDescription()); + } + */ *************** *** 136,144 **** const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot, const QuantLib::EvolutionDescription& evolutionDescription, ! unsigned long seed) { ! QuantLib::MTBrownianGeneratorFactory generatorFactory(seed); ! libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( new QuantLib::ForwardRateEvolver(pseudoRoot, --- 145,161 ---- const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot, const QuantLib::EvolutionDescription& evolutionDescription, ! const QuantLib::BrownianGeneratorFactory& generatorFactory) { + libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( + new QuantLib::ForwardRateEvolver(pseudoRoot, + evolutionDescription, + generatorFactory)); + } ! ForwardRateIpcEvolver::ForwardRateIpcEvolver( ! const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot, ! const QuantLib::EvolutionDescription& evolutionDescription, ! const QuantLib::BrownianGeneratorFactory& generatorFactory) ! { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( new QuantLib::ForwardRateEvolver(pseudoRoot, *************** *** 147,149 **** --- 164,179 ---- } + AccountingEngine::AccountingEngine( + const boost::shared_ptr<QuantLib::MarketModelEvolver>& evolver, + const boost::shared_ptr<QuantLib::MarketModelProduct>& product, + const QuantLib::EvolutionDescription& evolution, + double initialNumeraireValue) + { + libraryObject_ = boost::shared_ptr<QuantLib::AccountingEngine>( + new QuantLib::AccountingEngine(evolver, + product, + evolution, + initialNumeraireValue)); + } + } |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:37:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25773/gensrc/metadata Modified Files: marketmodels.xml Log Message: exported more MarketModels functions Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** marketmodels.xml 14 Jul 2006 09:38:53 -0000 1.7 --- marketmodels.xml 14 Jul 2006 17:37:16 -0000 1.8 *************** *** 132,136 **** </Constructor> - <Constructor name='qlAbcdVolatility'> <libraryFunction>AbcdVolatility</libraryFunction> --- 132,135 ---- *************** *** 473,477 **** </Member> - <Member name='qlCurveStateForwardRate' libraryClass='CurveState'> <description>set the CurveState object on given vector of forward rates</description> --- 472,475 ---- *************** *** 599,603 **** </Constructor> ! <!-- MarketModelForwards --> <Constructor name='qlMarketModelForwards'> --- 597,642 ---- </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'> *************** *** 630,659 **** </Constructor> ! <Member name='qlMarketModelForwardsPossibleCashFlowTimes' libraryClass='MarketModelForwards'> ! <description>possible cash flow times for the MarketModelForwards 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='qlMarketModelForwardsNumberOfProducts' libraryClass='MarketModelForwards'> ! <description>number of products in the MarketModelForwards object</description> ! <libraryFunction>numberOfProducts</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> <Member name='qlMarketModelEvolverStartNewPath' libraryClass='MarketModelEvolver'> --- 669,689 ---- </Constructor> ! <!-- BrownianGeneratorFactory derived classes constructors --> ! <Constructor name='qlMTBrownianGeneratorFactory'> ! <libraryFunction>MTBrownianGeneratorFactory</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed for random sequence generator</description> ! </Parameter> ! </Parameters> </ParameterList> ! </Constructor> + <!-- MarketModelEvolver base class interface --> <Member name='qlMarketModelEvolverStartNewPath' libraryClass='MarketModelEvolver'> *************** *** 696,699 **** --- 726,731 ---- </Member> + <!-- MarketModelEvolver derived classes' constructors --> + <Constructor name='qlForwardRateEvolver'> <libraryFunction>ForwardRateEvolver</libraryFunction> *************** *** 711,718 **** <description>EvolutionDescription object</description> </Parameter> ! <Parameter name='seed'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>seed for random sequence generator</description> </Parameter> </Parameters> --- 743,774 ---- <description>EvolutionDescription object</description> </Parameter> ! <Parameter name='brownianGeneratorFactory' libraryClass='BrownianGeneratorFactory' getUnderlying='true'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Brownian generator factory</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlForwardRateIpcEvolver'> ! <libraryFunction>ForwardRateIpcEvolver</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='pseudoRoot' libraryClass='PseudoRoot'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>PseudoRoot object</description> ! </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EvolutionDescription object</description> ! </Parameter> ! <Parameter name='brownianGeneratorFactory' libraryClass='BrownianGeneratorFactory' getUnderlying='true'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Brownian generator factory</description> </Parameter> </Parameters> *************** *** 720,723 **** --- 776,809 ---- </Constructor> + <!-- AccountingEngine class interface and constructor --> + + <Constructor name='qlAccountingEngine'> + <libraryFunction>AccountingEngine</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='evolver' libraryClass='MarketModelEvolver'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>MarketModelEvolver object</description> + </Parameter> + <Parameter name='product' libraryClass='MarketModelProduct'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>MarketModelProduct object</description> + </Parameter> + <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>EvolutionDescription object</description> + </Parameter> + <Parameter name='initialNumeraireValue'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>initial numeraire value</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> </Functions> |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:36:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25379/gensrc/metadata Modified Files: mathf.xml Log Message: Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** mathf.xml 12 Jul 2006 14:03:39 -0000 1.10 --- mathf.xml 14 Jul 2006 17:36:40 -0000 1.11 *************** *** 346,350 **** </Constructor> - </Functions> --- 346,349 ---- |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:35:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24857/gensrc/metadata Added Files: optimization.xml Log Message: exported OptimizationMethod --- NEW FILE: optimization.xml --- <Category name='optimization'> <description>QuantLib Optimization Methods</description> <displayName>Optimization</displayName> <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <includes> <include>qlo/optimization.hpp</include> <include>qlo/vo_optimization.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> <!-- EndCriteria class and interface --> <Constructor name='qlEndCriteria'> <libraryFunction>EndCriteria</libraryFunction> <ParameterList> <Parameters> <Parameter name='mxIterations'> <type>long</type> <tensorRank>scalar</tensorRank> <description>max number of iterations</description> </Parameter> <Parameter name='epsilon'> <type>double</type> <tensorRank>scalar</tensorRank> <description>tolerance (e.g. 1e-8)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlEndCriteriaSetPositiveOptimization' libraryClass='EndCriteria'> <description>Set positive optimization to the EndCriteria object</description> <libraryFunction>setPositiveOptimization</libraryFunction> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <Member name='qlEndCriteriaCriteria' libraryClass='EndCriteria'> <description>Return the end criteria</description> <libraryFunction>criteria</libraryFunction> <ParameterList> <Parameters/> </ParameterList> <ReturnValue enumeration='QuantLib::EndCriteria::Type'> <type>string</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <!-- OptimizationMethod base class interface --> <Member name='qlOptSetInitialValue' libraryClass='OptimizationMethod'> <description>Set initial value guess to the OptimizationMethod object</description> <libraryFunction>setInitialValue</libraryFunction> <ParameterList> <Parameters> <Parameter name="guess" libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> <description>initial value guess</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> </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> <description>end criteria</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> </ReturnValue> </Member> <!-- OptimizationMethod derived classes' consructors --> <Constructor name='qlConjugateGradient'> <libraryFunction>ConjugateGradient</libraryFunction> <ParameterList> <Parameters/> </ParameterList> </Constructor> <Constructor name='qlLevenbergMarquardt'> <libraryFunction>LevenbergMarquardt</libraryFunction> <ParameterList> <Parameters/> </ParameterList> </Constructor> <Constructor name='qlSimplex'> <libraryFunction>Simplex</libraryFunction> <ParameterList> <Parameters> <Parameter name="lambda"> <type>double</type> <tensorRank>scalar</tensorRank> <description>lambda</description> </Parameter> <Parameter name="tol"> <type>double</type> <tensorRank>scalar</tensorRank> <description>tol</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlSteepestDescent'> <libraryFunction>SteepestDescent</libraryFunction> <ParameterList> <Parameters/> </ParameterList> </Constructor> </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:35:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24857/qlo Modified Files: .cvsignore Added Files: optimization.cpp optimization.hpp Log Message: exported OptimizationMethod Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** .cvsignore 5 Jul 2006 19:30:10 -0000 1.13 --- .cvsignore 14 Jul 2006 17:35:30 -0000 1.14 *************** *** 21,24 **** --- 21,25 ---- vo_mathf.*pp vo_marketmodels.*pp + vo_optimization.*pp vo_options.*pp vo_payoffs.*pp --- NEW FILE: optimization.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_optimization_hpp #define qla_optimization_hpp #include <oh/objhandler.hpp> #include <ql/Optimization/method.hpp> namespace QuantLibAddin { class EndCriteria : public ObjHandler::LibraryObject< QuantLib::EndCriteria> { public: EndCriteria(QuantLib::Size maxIteration, double epsilon); }; class OptimizationMethod : public ObjHandler::LibraryObject< QuantLib::OptimizationMethod> {}; class ConjugateGradient : public OptimizationMethod { public: ConjugateGradient(); }; class LevenbergMarquardt : public OptimizationMethod { public: LevenbergMarquardt(); }; class Simplex : public OptimizationMethod { public: Simplex(double lambda, double tol); }; class SteepestDescent : public OptimizationMethod { public: SteepestDescent(); }; } #endif --- NEW FILE: optimization.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <qlo/optimization.hpp> #include <ql/Optimization/conjugategradient.hpp> #include <ql/Optimization/levenbergmarquardt.hpp> #include <ql/Optimization/simplex.hpp> #include <ql/Optimization/steepestdescent.hpp> namespace QuantLibAddin { EndCriteria::EndCriteria(QuantLib::Size maxIteration, double epsilon) { libraryObject_ = boost::shared_ptr<QuantLib::EndCriteria>( new QuantLib::EndCriteria(maxIteration, epsilon)); } ConjugateGradient::ConjugateGradient() { libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( new QuantLib::ConjugateGradient()); } LevenbergMarquardt::LevenbergMarquardt() { libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( new QuantLib::LevenbergMarquardt()); } Simplex::Simplex(double lambda, double tol) { libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( new QuantLib::Simplex(lambda, tol)); } SteepestDescent::SteepestDescent() { libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>( new QuantLib::SteepestDescent()); } } |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:35:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24857/gensrc/config Modified Files: config.xml Log Message: exported OptimizationMethod Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** config.xml 11 Jul 2006 13:30:52 -0000 1.12 --- config.xml 14 Jul 2006 17:35:30 -0000 1.13 *************** *** 22,25 **** --- 22,26 ---- <categoryName>mathf</categoryName> <categoryName>marketmodels</categoryName> + <categoryName>optimization</categoryName> <categoryName>options</categoryName> <categoryName>payoffs</categoryName> |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:35:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24857/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: exported OptimizationMethod Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** Makefile.vc 5 Jul 2006 19:27:48 -0000 1.16 --- Makefile.vc 14 Jul 2006 17:35:30 -0000 1.17 *************** *** 24,27 **** --- 24,28 ---- metadata\mathf.xml \ metadata\marketmodels.xml \ + metadata\optimization.xml \ metadata\options.xml \ metadata\prices.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** gensrc_vc8.vcproj 6 Jul 2006 12:00:50 -0000 1.16 --- gensrc_vc8.vcproj 14 Jul 2006 17:35:30 -0000 1.17 *************** *** 120,123 **** --- 120,127 ---- </File> <File + RelativePath=".\metadata\optimization.xml" + > + </File> + <File RelativePath="metadata\options.xml" > |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:35:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24857/Docs Modified Files: docs-QuantLibAddin_vc8.vcproj Log Message: exported OptimizationMethod Index: docs-QuantLibAddin_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin_vc8.vcproj,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** docs-QuantLibAddin_vc8.vcproj 28 Jun 2006 13:27:10 -0000 1.2 --- docs-QuantLibAddin_vc8.vcproj 14 Jul 2006 17:35:29 -0000 1.3 *************** *** 164,167 **** --- 164,171 ---- </File> <File + RelativePath=".\auto.pages\optimization.docs" + > + </File> + <File RelativePath=".\auto.pages\options.docs" > |
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From: Ferdinando A. <na...@us...> - 2006-07-14 17:35:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24857 Modified Files: QuantLibObjects_vc8.vcproj Log Message: exported OptimizationMethod Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** QuantLibObjects_vc8.vcproj 13 Jul 2006 16:19:47 -0000 1.30 --- QuantLibObjects_vc8.vcproj 14 Jul 2006 17:35:30 -0000 1.31 *************** *** 458,461 **** --- 458,469 ---- </File> <File + RelativePath=".\qlo\vo_optimization.cpp" + > + </File> + <File + RelativePath=".\qlo\vo_optimization.hpp" + > + </File> + <File RelativePath="qlo\vo_options.cpp" > *************** *** 622,625 **** --- 630,641 ---- </File> <File + RelativePath=".\qlo\optimization.cpp" + > + </File> + <File + RelativePath=".\qlo\optimization.hpp" + > + </File> + <File RelativePath="qlo\symmetricschurdecomposition.cpp" > |
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From: Silvia F. <s_f...@us...> - 2006-07-14 12:06:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23762/gensrc/metadata Modified Files: termstructures.xml Log Message: Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** termstructures.xml 13 Jul 2006 09:41:02 -0000 1.21 --- termstructures.xml 14 Jul 2006 12:06:29 -0000 1.22 *************** *** 184,188 **** <type>double</type> <tensorRank>vector</tensorRank> ! <description>tenor</description> </Parameter> <Parameter name='startDate' libraryType='QuantLib::Date'> --- 184,188 ---- <type>double</type> <tensorRank>vector</tensorRank> ! <description>tenor in years</description> </Parameter> <Parameter name='startDate' libraryType='QuantLib::Date'> *************** *** 194,203 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>freq</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>extrapolate</description> </Parameter> </Parameters> --- 194,203 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>freq (e.g. 6M, 10Y)</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>extrapolate (TRUE or FALSE)</description> </Parameter> </Parameters> |
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From: Katiuscia M. <kma...@us...> - 2006-07-14 10:21:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13976/qlo Modified Files: index.cpp index.hpp Log Message: replaced Index class member function addFixings with utility function Index: index.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** index.cpp 22 Jun 2006 10:18:49 -0000 1.1 --- index.cpp 14 Jul 2006 10:20:34 -0000 1.2 *************** *** 25,39 **** #include <qlo/typefactory.hpp> #include <ql/Indexes/indexmanager.hpp> - #include <ql/Indexes/xibor.hpp> namespace QuantLibAddin { ! void Index::addFixings(const std::vector<QuantLib::Date> dates, ! const std::vector<QuantLib::Rate> fixings) ! { QL_REQUIRE(fixings.size() == dates.size(), "Index::addFixings the nuber of given dates does not " "match the number of fixings!"); ! libraryObject_->addFixings(dates.begin(), dates.end(), fixings.begin()); } --- 25,50 ---- #include <qlo/typefactory.hpp> #include <ql/Indexes/indexmanager.hpp> namespace QuantLibAddin { ! //void Index::addFixings(const std::vector<QuantLib::Date> dates, ! // const std::vector<QuantLib::Rate> fixings) ! //{ ! // QL_REQUIRE(fixings.size() == dates.size(), ! // "Index::addFixings the nuber of given dates does not " ! // "match the number of fixings!"); ! // libraryObject_->addFixings(dates.begin(), dates.end(), ! // fixings.begin()); ! //} ! ! void addFixings(const boost::shared_ptr<QuantLib::Xibor>& xibor, ! const std::vector<QuantLib::Date> dates, ! const std::vector<QuantLib::Rate> fixings) { ! QL_REQUIRE(xibor, ! "Index::addFixings cannot be called on a null object"); QL_REQUIRE(fixings.size() == dates.size(), "Index::addFixings the nuber of given dates does not " "match the number of fixings!"); ! xibor->addFixings(dates.begin(), dates.end(), fixings.begin()); } Index: index.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** index.hpp 22 Jun 2006 10:18:49 -0000 1.1 --- index.hpp 14 Jul 2006 10:20:34 -0000 1.2 *************** *** 25,37 **** #include <ql/handle.hpp> #include <ql/yieldtermstructure.hpp> namespace QuantLibAddin { class Index : public ObjHandler::LibraryObject<QuantLib::Index> { ! public: ! void addFixings(const std::vector<QuantLib::Date> dates, ! const std::vector<QuantLib::Rate> fixings); }; class Xibor : public Index { --- 25,42 ---- #include <ql/handle.hpp> #include <ql/yieldtermstructure.hpp> + #include <ql/Indexes/xibor.hpp> namespace QuantLibAddin { class Index : public ObjHandler::LibraryObject<QuantLib::Index> { ! //public: ! // void addFixings(const std::vector<QuantLib::Date> dates, ! // const std::vector<QuantLib::Rate> fixings); }; + //this is a utility function, not an Index Class member function + void addFixings(const boost::shared_ptr<QuantLib::Xibor>&, + const std::vector<QuantLib::Date> dates, + const std::vector<QuantLib::Rate> fixings); class Xibor : public Index { |
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From: Katiuscia M. <kma...@us...> - 2006-07-14 10:20:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13976/gensrc/metadata Modified Files: index.xml utilities.xml Log Message: replaced Index class member function addFixings with utility function Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** index.xml 11 Jul 2006 13:30:53 -0000 1.6 --- index.xml 14 Jul 2006 10:20:32 -0000 1.7 *************** *** 73,77 **** </Member> ! <Member name='qlIndexAddFixings' objectClass='Index'> <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> --- 73,77 ---- </Member> ! <!--Member name='qlIndexAddFixings' objectClass='Index'> <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> *************** *** 94,98 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Constructor name='qlXibor'> --- 94,126 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! ! <Procedure name='qlIndexAddFixings'> ! <description>add fixings for the given Index object/enumeratedType</description> ! <alias>QuantLibAddin::addFixings</alias> ! <ParameterList> ! <Parameters> ! <Parameter name='index' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>index</description> ! </Parameter> ! <Parameter name='fixingDates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>fixing dates</description> ! </Parameter> ! <Parameter name='fixings'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>fixing values</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> <Constructor name='qlXibor'> Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** utilities.xml 11 Jul 2006 13:30:53 -0000 1.5 --- utilities.xml 14 Jul 2006 10:20:32 -0000 1.6 *************** *** 79,83 **** </ReturnValue> </Procedure> ! </Functions> </Category> --- 79,83 ---- </ReturnValue> </Procedure> ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-07-14 09:38:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29155/gensrc/metadata Modified Files: marketmodels.xml Log Message: exported AbcdVolatility Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** marketmodels.xml 14 Jul 2006 08:17:03 -0000 1.6 --- marketmodels.xml 14 Jul 2006 09:38:53 -0000 1.7 *************** *** 8,12 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> --- 8,12 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> *************** *** 133,136 **** --- 133,204 ---- + <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> + <!-- EvolutionDescription class interface and costructor --> *************** *** 210,213 **** --- 278,347 ---- </Member> + <Member name='qlEvolutionDescriptionSetNumeraires' libraryClass='EvolutionDescription'> + <description>Set the numeraires to the EvolutionDescription object</description> + <libraryFunction>setNumeraires</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='numeraires' libraryType='QuantLib::Size'> + <type>long</type> + <tensorRank>vector</tensorRank> + <description>numeraires used in the simulation</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionSetTerminalMeasure' libraryClass='EvolutionDescription'> + <description>Set the terminal measure to the EvolutionDescription object</description> + <libraryFunction>setTerminalMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionSetMoneyMarketMeasure' libraryClass='EvolutionDescription'> + <description>Set the money market measure to the EvolutionDescription object</description> + <libraryFunction>setMoneyMarketMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionIsInTerminalMeasure' libraryClass='EvolutionDescription'> + <description>Returns TRUE if the EvolutionDescription object is using terminal measure</description> + <libraryFunction>isInTerminalMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionIsInMoneyMarketMeasure' libraryClass='EvolutionDescription'> + <description>Returns TRUE if the EvolutionDescription object is using money market measure</description> + <libraryFunction>isInMoneyMarketMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlEvolutionDescription'> <libraryFunction>EvolutionDescription</libraryFunction> *************** *** 465,469 **** </Constructor> ! <!-- MarketModelForwards --> <Constructor name='qlMarketModelForwards'> --- 599,603 ---- </Constructor> ! <!-- MarketModelForwards --> <Constructor name='qlMarketModelForwards'> |
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From: Ferdinando A. <na...@us...> - 2006-07-14 09:38:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29155/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: exported AbcdVolatility Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** marketmodels.hpp 12 Jul 2006 12:05:17 -0000 1.4 --- marketmodels.hpp 14 Jul 2006 09:38:53 -0000 1.5 *************** *** 46,49 **** --- 46,65 ---- }; + class AbcdVolatility : public PseudoRoot { + public: + AbcdVolatility( + double a, + double b, + double c, + double d, + const std::vector<double>& ks, + double longTermCorr, + double beta, + const QuantLib::Array& rateTimes, + const QuantLib::Array& evolutionTimes, + const QuantLib::Size numberOfFactors, + const QuantLib::Array& initialRates, + const QuantLib::Array& displacements); + }; class EvolutionDescription : public ObjHandler::LibraryObject<QuantLib::EvolutionDescription> { Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** marketmodels.cpp 12 Jul 2006 12:05:17 -0000 1.3 --- marketmodels.cpp 14 Jul 2006 09:38:53 -0000 1.4 *************** *** 21,24 **** --- 21,25 ---- #include <qlo/marketmodels.hpp> #include <ql/MarketModels/exponentialcorrelation.hpp> + #include <ql/MarketModels/abcdvolatility.hpp> #include <ql/MarketModels/mtbrowniangenerator.hpp> #include <ql/MarketModels/forwardrateevolver.hpp> *************** *** 47,50 **** --- 48,75 ---- } + AbcdVolatility::AbcdVolatility( + double a, + double b, + double c, + double d, + const std::vector<double>& ks, + double longTermCorr, + double beta, + const QuantLib::Array& rateTimes, + const QuantLib::Array& evolutionTimes, + const QuantLib::Size numberOfFactors, + const QuantLib::Array& initialRates, + const QuantLib::Array& displacements) + { + libraryObject_ = boost::shared_ptr<QuantLib::PseudoRoot>( + new QuantLib::AbcdVolatility(a, b, c, d, ks, + longTermCorr, + beta, + rateTimes, + evolutionTimes, + numberOfFactors, + initialRates, + displacements)); + } |
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From: Giorgio F. <gi...@us...> - 2006-07-14 09:06:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14991/gensrc/metadata Modified Files: enumtypes.xml interpolation.xml Log Message: added EndCriteria::Type enumeration Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** interpolation.xml 12 Jul 2006 15:31:09 -0000 1.20 --- interpolation.xml 14 Jul 2006 09:06:00 -0000 1.21 *************** *** 2,6 **** <description>functions to carry out interpolations</description> <displayName>Interpolation</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/interpolation.hpp</include> --- 2,6 ---- <description>functions to carry out interpolations</description> <displayName>Interpolation</displayName> ! <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <includes> <include>qlo/interpolation.hpp</include> *************** *** 395,398 **** --- 395,409 ---- </Member> + <Member name='qlSABRInterpolationEndCriteria' libraryClass='SABRInterpolation'> + <description>Returns the optimization end criteria of the SABR fit</description> + <libraryFunction>endCriteria</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::EndCriteria::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> <!-- Interpolation2D interface --> Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** enumtypes.xml 11 Jul 2006 13:30:53 -0000 1.4 --- enumtypes.xml 14 Jul 2006 09:06:00 -0000 1.5 *************** *** 9,12 **** --- 9,35 ---- <Enumeration> + <type>QuantLib::EndCriteria::Type</type> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>None</string> + <value>QuantLib::EndCriteria::none</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>MaxIterations</string> + <value>QuantLib::EndCriteria::maxIter</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>StationaryPoint</string> + <value>QuantLib::EndCriteria::statPt</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>StationaryGradient</string> + <value>QuantLib::EndCriteria::statGd</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + + <Enumeration> <type>QuantLib::SalvagingAlgorithm::Type</type> <constructor>true</constructor> |
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From: Eric E. <eri...@us...> - 2006-07-14 08:17:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26225/gensrc/metadata Modified Files: marketmodels.xml Log Message: support retrieval of direct reference to underlying object Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** marketmodels.xml 12 Jul 2006 08:56:55 -0000 1.5 --- marketmodels.xml 14 Jul 2006 08:17:03 -0000 1.6 *************** *** 562,566 **** </Member> ! <!--Constructor name='qlForwardRateEvolver'> <libraryFunction>ForwardRateEvolver</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 562,566 ---- </Member> ! <Constructor name='qlForwardRateEvolver'> <libraryFunction>ForwardRateEvolver</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 572,576 **** <description>PseudoRoot object</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription'> <type>string</type> <tensorRank>scalar</tensorRank> --- 572,576 ---- <description>PseudoRoot object</description> </Parameter> ! <Parameter name='evolutionDescription' libraryClass='EvolutionDescription' getUnderlying='true'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 584,588 **** </Parameters> </ParameterList> ! </Constructor--> --- 584,588 ---- </Parameters> </ParameterList> ! </Constructor> |
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From: Eric E. <eri...@us...> - 2006-07-13 16:54:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6152 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.33 retrieving revision 1.34 diff -C2 -d -r1.33 -r1.34 *** todo.csv 13 Jul 2006 10:40:52 -0000 1.33 --- todo.csv 13 Jul 2006 16:54:05 -0000 1.34 *************** *** 3,7 **** "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","Enumerations","enum as return value always use stream operator << to convert to string",,,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,, --- 3,6 ---- *************** *** 49,52 **** --- 48,52 ---- "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, |
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From: Eric E. <eri...@us...> - 2006-07-13 16:38:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32252/gensrc/metadata Modified Files: capfloor.xml Log Message: support enumeration as return value (including conversion to string) Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** capfloor.xml 11 Jul 2006 13:30:53 -0000 1.8 --- capfloor.xml 13 Jul 2006 16:38:29 -0000 1.9 *************** *** 15,19 **** <Functions> ! <!--Member name='qlCapFloorType' libraryClass='CapFloor'> <description>CapFloortype (e.g. Cap, Floor, Collar)</description> <libraryFunction>type</libraryFunction> --- 15,19 ---- <Functions> ! <Member name='qlCapFloorType' libraryClass='CapFloor'> <description>CapFloortype (e.g. Cap, Floor, Collar)</description> <libraryFunction>type</libraryFunction> *************** *** 25,29 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> <Member name='qlCapFloorCapRates' libraryClass='CapFloor'> --- 25,29 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Member name='qlCapFloorCapRates' libraryClass='CapFloor'> |
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From: Eric E. <eri...@us...> - 2006-07-13 16:19:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24046 Modified Files: QuantLibObjects_vc8.vcproj Log Message: remove QL_DISABLE_DEPRECATED definition Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.29 retrieving revision 1.30 diff -C2 -d -r1.29 -r1.30 *** QuantLibObjects_vc8.vcproj 12 Jul 2006 16:55:46 -0000 1.29 --- QuantLibObjects_vc8.vcproj 13 Jul 2006 16:19:47 -0000 1.30 *************** *** 44,48 **** InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="2" --- 44,48 ---- InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="2" *************** *** 121,125 **** InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="0" --- 121,125 ---- InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="0" *************** *** 197,201 **** Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" --- 197,201 ---- Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" *************** *** 274,278 **** Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" --- 274,278 ---- Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" |
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From: Eric E. <eri...@us...> - 2006-07-13 10:40:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15025 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** todo.csv 11 Jul 2006 09:28:43 -0000 1.32 --- todo.csv 13 Jul 2006 10:40:52 -0000 1.33 *************** *** 2,20 **** ,,,,,,, "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'",,,1,, ! "gensrc","Design","add optional long description to function metadata",,,1,, "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,, - "OH","Functions","ohPack() broken not removing empty cells from end of range e.g. for timeseries","???",,1,,"unable to recreate the problem ask Katiuscia" "QLA","Design","discontinue support for VC6","in progress",,1,, - "QLA","Design","raise exception if trigger parameter has value of #ERR!/#NULL!",,,1,, "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",,1,, - "QLA","Docs","include #/functions in summary page of autogenerated documentation",,,1,, - "QLA","Docs","autogenerated documentation of ETs/ECs: separate descriptions of types & classes",,,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,, - "QLA","Excel binding","categorize function names in Excel Function Wizard: Math/Date/Finance/ObjectHandler",,,1,, - "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA ?",,,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." --- 2,15 ---- ,,,,,,, "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","Enumerations","enum as return value always use stream operator << to convert to string",,,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." *************** *** 47,50 **** --- 42,52 ---- "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","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",4,,04/07/2006, |
|
From: Eric E. <eri...@us...> - 2006-07-13 09:41:09
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22818/gensrc/metadata Modified Files: bonds.xml capletvolstructure.xml couponvectors.xml instruments.xml options.xml randomsequencegenerator.xml ratehelpers.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml vanillaswap.xml Log Message: indicate dependency tracking trigger with function-level tag dependencyTrigger='true' rather than explicitly adding parameter to list Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** vanillaswap.xml 11 Jul 2006 13:30:53 -0000 1.10 --- vanillaswap.xml 13 Jul 2006 09:41:02 -0000 1.11 *************** *** 78,92 **** </Constructor> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairRate</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 78,86 ---- </Constructor> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap' dependencyTrigger='true'> <description>the fair rate of a swap</description> <libraryFunction>fairRate</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 96,110 **** </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairSpread</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 90,98 ---- </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap' dependencyTrigger='true'> <description>the fair rate of a swap</description> <libraryFunction>fairSpread</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 127,141 **** </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the fixed leg</description> <libraryFunction>fixedLegBPS</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 115,123 ---- </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap' dependencyTrigger='true'> <description>the BPS of the fixed leg</description> <libraryFunction>fixedLegBPS</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 145,159 **** </Member> ! <Member name='qlVanillaSwapFloatingLeg' objectClass='VanillaSwap'> <description>The floating leg cash flow analysis</description> <libraryFunction>floatingLeg</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 127,135 ---- </Member> ! <Member name='qlVanillaSwapFloatingLeg' objectClass='VanillaSwap' dependencyTrigger='true'> <description>The floating leg cash flow analysis</description> <libraryFunction>floatingLeg</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 163,177 **** </Member> ! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the floating leg</description> <libraryFunction>floatingLegBPS</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 139,147 ---- </Member> ! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap' dependencyTrigger='true'> <description>the BPS of the floating leg</description> <libraryFunction>floatingLegBPS</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** swap.xml 11 Jul 2006 13:30:53 -0000 1.13 --- swap.xml 13 Jul 2006 09:41:02 -0000 1.14 *************** *** 40,44 **** </Constructor> ! <Member name='qlSwapLegAnalysis' objectClass='Swap'> <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> <libraryFunction>legAnalysis</libraryFunction> --- 40,44 ---- </Constructor> ! <Member name='qlSwapLegAnalysis' objectClass='Swap' dependencyTrigger='true'> <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> <libraryFunction>legAnalysis</libraryFunction> *************** *** 50,58 **** <description>Zero based leg number (e.g. 0 for the first leg, 1 for the second leg, etc)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 50,53 ---- *************** *** 63,67 **** </Member> ! <Member name='qlSwapLegBPS' libraryClass='Swap'> <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> <libraryFunction>legBPS</libraryFunction> --- 58,62 ---- </Member> ! <Member name='qlSwapLegBPS' libraryClass='Swap' dependencyTrigger='true'> <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> <libraryFunction>legBPS</libraryFunction> *************** *** 73,81 **** <description>Zero based leg number (e.g. 0 for the first leg, 1 for the second leg, etc)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 68,71 ---- *************** *** 86,100 **** </Member> ! <Member name='qlSwapStartDate' libraryClass='Swap'> <description>the start date of the swap</description> <libraryFunction>startDate</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 76,84 ---- </Member> ! <Member name='qlSwapStartDate' libraryClass='Swap' dependencyTrigger='true'> <description>the start date of the swap</description> <libraryFunction>startDate</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> *************** *** 104,118 **** </Member> ! <Member name='qlSwapMaturity' libraryClass='Swap'> <description>the maturity date of the swap</description> <libraryFunction>maturity</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 88,96 ---- </Member> ! <Member name='qlSwapMaturity' libraryClass='Swap' dependencyTrigger='true'> <description>the maturity date of the swap</description> <libraryFunction>maturity</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** ratehelpers.xml 11 Jul 2006 13:30:53 -0000 1.12 --- ratehelpers.xml 13 Jul 2006 09:41:01 -0000 1.13 *************** *** 16,30 **** <Functions> ! <Member name='qlEarliestDate' libraryClass='RateHelper'> <description>retrieve a RateHelper's earliest date</description> <libraryFunction>earliestDate</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 16,24 ---- <Functions> ! <Member name='qlEarliestDate' libraryClass='RateHelper' dependencyTrigger='true'> <description>retrieve a RateHelper's earliest date</description> <libraryFunction>earliestDate</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> *************** *** 34,48 **** </Member> ! <Member name='qlLatestDate' libraryClass='RateHelper'> <description>retrieve a RateHelper's latest date</description> <libraryFunction>latestDate</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 28,36 ---- </Member> ! <Member name='qlLatestDate' libraryClass='RateHelper' dependencyTrigger='true'> <description>retrieve a RateHelper's latest date</description> <libraryFunction>latestDate</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> *************** *** 52,66 **** </Member> ! <Member name='qlReferenceQuote' libraryClass='RateHelper'> <description>retrieve a RateHelper's reference quote</description> <libraryFunction>referenceQuote</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 40,48 ---- </Member> ! <Member name='qlReferenceQuote' libraryClass='RateHelper' dependencyTrigger='true'> <description>retrieve a RateHelper's reference quote</description> <libraryFunction>referenceQuote</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 174,188 **** </Constructor> ! <Member name='qlConvexityAdjustment' libraryClass='FuturesRateHelper'> <description>get convexity adjustment of existing FuturesRateHelper object</description> <libraryFunction>convexityAdjustment</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 156,164 ---- </Constructor> ! <Member name='qlConvexityAdjustment' libraryClass='FuturesRateHelper' dependencyTrigger='true'> <description>get convexity adjustment of existing FuturesRateHelper object</description> <libraryFunction>convexityAdjustment</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 253,257 **** </Constructor> ! <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> <ParameterList> --- 229,233 ---- </Constructor> ! <Procedure name='qlRateHelperSelection' dependencyTrigger='true'> <description>select rate helpers for bootstrapping</description> <ParameterList> *************** *** 282,290 **** <description>discard the front contract the given number of days in advance of its expiry (e.g zero implies the usage of the front contract during its expiry day)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 258,261 ---- Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** options.xml 11 Jul 2006 13:30:53 -0000 1.11 --- options.xml 13 Jul 2006 09:41:01 -0000 1.12 *************** *** 399,413 **** </Constructor> ! <Member name='qlDelta' libraryClass='OneAssetOption'> <description>delta of an option</description> <libraryFunction>delta</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 399,407 ---- </Constructor> ! <Member name='qlDelta' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>delta of an option</description> <libraryFunction>delta</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 417,431 **** </Member> ! <Member name='qlDeltaForward' libraryClass='OneAssetOption'> <description>delta forward of an option</description> <libraryFunction>deltaForward</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 411,419 ---- </Member> ! <Member name='qlDeltaForward' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>delta forward of an option</description> <libraryFunction>deltaForward</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 435,449 **** </Member> ! <Member name='qlElasticity' libraryClass='OneAssetOption'> <description>elasticity of an option</description> <libraryFunction>elasticity</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 423,431 ---- </Member> ! <Member name='qlElasticity' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>elasticity of an option</description> <libraryFunction>elasticity</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 453,467 **** </Member> ! <Member name='qlGamma' libraryClass='OneAssetOption'> <description>gamma of an option</description> <libraryFunction>gamma</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 435,443 ---- </Member> ! <Member name='qlGamma' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>gamma of an option</description> <libraryFunction>gamma</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 471,485 **** </Member> ! <Member name='qlTheta' libraryClass='OneAssetOption'> <description>theta of an option</description> <libraryFunction>theta</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 447,455 ---- </Member> ! <Member name='qlTheta' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>theta of an option</description> <libraryFunction>theta</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 489,503 **** </Member> ! <Member name='qlThetaPerDay' libraryClass='OneAssetOption'> <description>theta per day of an option</description> <libraryFunction>thetaPerDay</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 459,467 ---- </Member> ! <Member name='qlThetaPerDay' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>theta per day of an option</description> <libraryFunction>thetaPerDay</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 507,521 **** </Member> ! <Member name='qlVega' libraryClass='OneAssetOption'> <description>vega of an option</description> <libraryFunction>vega</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 471,479 ---- </Member> ! <Member name='qlVega' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>vega of an option</description> <libraryFunction>vega</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 525,539 **** </Member> ! <Member name='qlRho' libraryClass='OneAssetOption'> <description>rho of an option</description> <libraryFunction>rho</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 483,491 ---- </Member> ! <Member name='qlRho' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>rho of an option</description> <libraryFunction>rho</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 543,557 **** </Member> ! <Member name='qlDividendRho' libraryClass='OneAssetOption'> <description>dividend rho of an option</description> <libraryFunction>dividendRho</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 495,503 ---- </Member> ! <Member name='qlDividendRho' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>dividend rho of an option</description> <libraryFunction>dividendRho</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 561,575 **** </Member> ! <Member name='qlItmCashProbability' libraryClass='OneAssetOption'> <description>itm cash probability of an option</description> <libraryFunction>itmCashProbability</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 507,515 ---- </Member> ! <Member name='qlItmCashProbability' libraryClass='OneAssetOption' dependencyTrigger='true'> <description>itm cash probability of an option</description> <libraryFunction>itmCashProbability</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** swaption.xml 11 Jul 2006 13:30:53 -0000 1.10 --- swaption.xml 13 Jul 2006 09:41:02 -0000 1.11 *************** *** 51,65 **** </Constructor> ! <Member name='qlSwaptionUnderlyingSwap' objectClass='Swaption'> <description>the underlying swap</description> <libraryFunction>underlyingSwap</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 51,59 ---- </Constructor> ! <Member name='qlSwaptionUnderlyingSwap' objectClass='Swaption' dependencyTrigger='true'> <description>the underlying swap</description> <libraryFunction>underlyingSwap</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> Index: randomsequencegenerator.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/randomsequencegenerator.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** randomsequencegenerator.xml 11 Jul 2006 13:30:53 -0000 1.4 --- randomsequencegenerator.xml 13 Jul 2006 09:41:01 -0000 1.5 *************** *** 39,43 **** </Procedure--> ! <Member name='qlVariates' objectClass='RandomSequenceGenerator'> <description>generate variates</description> <libraryFunction>variates</libraryFunction> --- 39,43 ---- </Procedure--> ! <Member name='qlVariates' objectClass='RandomSequenceGenerator' dependencyTrigger='true'> <description>generate variates</description> <libraryFunction>variates</libraryFunction> *************** *** 49,57 **** <description>number of samples</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 49,52 ---- Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** bonds.xml 11 Jul 2006 13:30:52 -0000 1.13 --- bonds.xml 13 Jul 2006 09:41:01 -0000 1.14 *************** *** 20,34 **** <Functions> ! <Member name='qlBondFlowAnalysis' objectClass='Bond'> <description>Cash flow analysis.</description> <libraryFunction>flowAnalysis</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 20,28 ---- <Functions> ! <Member name='qlBondFlowAnalysis' objectClass='Bond' dependencyTrigger='true'> <description>Cash flow analysis.</description> <libraryFunction>flowAnalysis</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 50,64 **** </Member> ! <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> <description>Theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 44,52 ---- </Member> ! <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond' dependencyTrigger='true'> <description>Theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 68,82 **** </Member> ! <Member name='qlBondThDirtyPrice' libraryClass='Bond'> <description>Theoretical dirty price. The default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 56,64 ---- </Member> ! <Member name='qlBondThDirtyPrice' libraryClass='Bond' dependencyTrigger='true'> <description>Theoretical dirty price. The default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 86,90 **** </Member> ! <Member name='qlBondThYield' libraryClass='FixedCouponBond'> <description>Theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> --- 68,72 ---- </Member> ! <Member name='qlBondThYield' libraryClass='FixedCouponBond' dependencyTrigger='true'> <description>Theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> *************** *** 96,104 **** <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dep tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 78,81 ---- *************** *** 435,436 **** --- 412,414 ---- </Functions> </Category> + Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** capletvolstructure.xml 11 Jul 2006 13:30:53 -0000 1.5 --- capletvolstructure.xml 13 Jul 2006 09:41:01 -0000 1.6 *************** *** 15,19 **** <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strike'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>volatility</libraryFunction> --- 15,19 ---- <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strike' dependencyTrigger='true'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>volatility</libraryFunction> *************** *** 36,44 **** <description>Extrapolation Flag (TRUE allows extrapolation)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 36,39 ---- *************** *** 111,115 **** <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant'> <libraryFunction>CapletConstantVolatility</libraryFunction> <platforms>EGO</platforms> --- 106,110 ---- <!-- CapletVolatilityStructure constructors --> ! <Constructor name='qlCapletVTSConstant' dependencyTrigger='true'> <libraryFunction>CapletConstantVolatility</libraryFunction> <platforms>EGO</platforms> *************** *** 126,134 **** <description>day counter (e.g. Actual/360)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 121,124 ---- Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** termstructures.xml 11 Jul 2006 13:30:53 -0000 1.20 --- termstructures.xml 13 Jul 2006 09:41:02 -0000 1.21 *************** *** 68,72 **** ! <Member name='qlDiscount' libraryClass='YieldTermStructure' loopParameter='DfDates'> <description>Returns a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> <libraryFunction>discount</libraryFunction> --- 68,72 ---- ! <Member name='qlDiscount' libraryClass='YieldTermStructure' loopParameter='DfDates' dependencyTrigger='true'> <description>Returns a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> <libraryFunction>discount</libraryFunction> *************** *** 84,92 **** <description>Extrapolation Flag (TRUE allows extrapolation)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 84,87 ---- *************** *** 97,101 **** </Member> ! <Member name='qlForwardRate' libraryClass='YieldTermStructure' loopParameter='d2'> <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> --- 92,96 ---- </Member> ! <Member name='qlForwardRate' libraryClass='YieldTermStructure' loopParameter='d2' dependencyTrigger='true'> <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> *************** *** 133,141 **** <description>extrapolate</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 128,131 ---- *************** *** 146,150 **** </Member> ! <Member name='qlZeroRate' libraryClass='YieldTermStructure' loopParameter='dates'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> --- 136,140 ---- </Member> ! <Member name='qlZeroRate' libraryClass='YieldTermStructure' loopParameter='dates' dependencyTrigger='true'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> *************** *** 177,185 **** <description>extrapolate</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 167,170 ---- *************** *** 190,194 **** </Member> ! <Member name='qlParRate' libraryClass='YieldTermStructure' loopParameter='tenor'> <description>return a vector of implied par rates corresponding to input vector of tenors for given date/payment frequency</description> <libraryFunction>parRate</libraryFunction> --- 175,179 ---- </Member> ! <Member name='qlParRate' libraryClass='YieldTermStructure' loopParameter='tenor' dependencyTrigger='true'> <description>return a vector of implied par rates corresponding to input vector of tenors for given date/payment frequency</description> <libraryFunction>parRate</libraryFunction> *************** *** 216,224 **** <description>extrapolate</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 201,204 ---- *************** *** 284,288 **** </Member> ! <Constructor name='qlPiecewiseYieldCurve'> <libraryFunction>PiecewiseYieldCurve</libraryFunction> <platforms>EGO</platforms> --- 264,268 ---- </Member> ! <Constructor name='qlPiecewiseYieldCurve' dependencyTrigger='true'> <libraryFunction>PiecewiseYieldCurve</libraryFunction> <platforms>EGO</platforms> *************** *** 309,317 **** <description>day counter (e.g. Actual/360)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 289,292 ---- Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** instruments.xml 11 Jul 2006 13:30:53 -0000 1.12 --- instruments.xml 13 Jul 2006 09:41:01 -0000 1.13 *************** *** 14,28 **** <Functions> ! <Member name='qlNPV' libraryClass='Instrument'> <description>Returns Instrument's NPV</description> <libraryFunction>NPV</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 14,22 ---- <Functions> ! <Member name='qlNPV' libraryClass='Instrument' dependencyTrigger='true'> <description>Returns Instrument's NPV</description> <libraryFunction>NPV</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 32,46 **** </Member> ! <Member name='qlNPVErrorEstimate' libraryClass='Instrument'> <description>Returns Instrument's NPV error estimation (e.g. Monte Carlo simulation)</description> <libraryFunction>errorEstimate</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 26,34 ---- </Member> ! <Member name='qlNPVErrorEstimate' libraryClass='Instrument' dependencyTrigger='true'> <description>Returns Instrument's NPV error estimation (e.g. Monte Carlo simulation)</description> <libraryFunction>errorEstimate</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 50,64 **** </Member> ! <Member name='qlIsExpired' libraryClass='Instrument'> <description>Returns TRUE if the Instrument is expired</description> <libraryFunction>isExpired</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 38,46 ---- </Member> ! <Member name='qlIsExpired' libraryClass='Instrument' dependencyTrigger='true'> <description>Returns TRUE if the Instrument is expired</description> <libraryFunction>isExpired</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** couponvectors.xml 11 Jul 2006 13:30:53 -0000 1.10 --- couponvectors.xml 13 Jul 2006 09:41:01 -0000 1.11 *************** *** 80,94 **** </Constructor> ! <Member name='qlGetLeg' objectClass='CouponVector'> <description>return coupon details</description> <libraryFunction>getLeg</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 80,88 ---- </Constructor> ! <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> <description>return coupon details</description> <libraryFunction>getLeg</libraryFunction> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 98,102 **** </Member> ! <Member name='qlGetBPS' objectClass='CouponVector'> <description>basis point sensitivity</description> <libraryFunction>getBPS</libraryFunction> --- 92,96 ---- </Member> ! <Member name='qlGetBPS' objectClass='CouponVector' dependencyTrigger='true'> <description>basis point sensitivity</description> <libraryFunction>getBPS</libraryFunction> *************** *** 108,116 **** <description>discounting term structure</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 102,105 ---- Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** swaptionvolstructure.xml 11 Jul 2006 13:30:53 -0000 1.20 --- swaptionvolstructure.xml 13 Jul 2006 09:41:02 -0000 1.21 *************** *** 17,21 **** <!-- SwaptionVolatilityStructure interface--> ! <Member name='qlSwaptionVTSVolatility' libraryClass='SwaptionVolatilityStructure' loopParameter='strike' handleToLib='true'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> --- 17,21 ---- <!-- SwaptionVolatilityStructure interface--> ! <Member name='qlSwaptionVTSVolatility' libraryClass='SwaptionVolatilityStructure' loopParameter='strike' handleToLib='true' dependencyTrigger='true'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> <libraryFunction>volatility</libraryFunction> *************** *** 43,51 **** <description>Extrapolation Flag (TRUE allows extrapolation)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 43,46 ---- *************** *** 144,148 **** <!-- SwaptionVolatilityStructure constructors --> ! <Constructor name='qlSwaptionVTSConstant'> <libraryFunction>SwaptionConstantVolatility</libraryFunction> <platforms>EGO</platforms> --- 139,143 ---- <!-- SwaptionVolatilityStructure constructors --> ! <Constructor name='qlSwaptionVTSConstant' dependencyTrigger='true'> <libraryFunction>SwaptionConstantVolatility</libraryFunction> <platforms>EGO</platforms> *************** *** 164,177 **** <description>day counter (e.g. Actual/360)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlSwaptionVTSMatrix'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> <platforms>EGO</platforms> --- 159,167 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlSwaptionVTSMatrix' dependencyTrigger='true'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> <platforms>EGO</platforms> *************** *** 208,221 **** <description>day counter (e.g. Actual/360)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlSwaptionVTSMatrix2'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> <platforms>EGO</platforms> --- 198,206 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlSwaptionVTSMatrix2' dependencyTrigger='true'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> <platforms>EGO</platforms> *************** *** 242,250 **** <description>day counter (e.g. Actual/360)</description> </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dependency tracking trigger</description> - </Parameter> </Parameters> </ParameterList> --- 227,230 ---- |
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From: Eric E. <eri...@us...> - 2006-07-12 16:55:50
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15617/qlo Modified Files: auto_link.hpp qladdindefines.hpp utilities.cpp Added Files: vcconfig.hpp Log Message: qlVersion() - include version # of compiler and runtime library Index: utilities.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/utilities.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** utilities.cpp 31 May 2006 18:38:45 -0000 1.2 --- utilities.cpp 12 Jul 2006 16:55:46 -0000 1.3 *************** *** 20,25 **** #include <qlo/config.hpp> #endif - #include <ql/qldefines.hpp> #include <qlo/utilities.hpp> #if defined BOOST_MSVC // Microsoft Visual C++ --- 20,25 ---- #include <qlo/config.hpp> #endif #include <qlo/utilities.hpp> + #include <qlo/qladdindefines.hpp> #if defined BOOST_MSVC // Microsoft Visual C++ *************** *** 28,37 **** # include <ql/auto_link.hpp> # undef BOOST_LIB_DIAGNOSTIC #endif namespace QuantLibAddin { std::string qlVersion() { ! return QL_VERSION; } --- 28,42 ---- # include <ql/auto_link.hpp> # undef BOOST_LIB_DIAGNOSTIC + # include <qlo/vcconfig.hpp> + #else + # define COMPILER_STRING #endif + #define VERSION_STRING "QuantLib version " QLADDIN_VERSION COMPILER_STRING + namespace QuantLibAddin { std::string qlVersion() { ! return VERSION_STRING; } --- NEW FILE: vcconfig.hpp --- /* Copyright (C) 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /* Visual Studio configuration - format symbol COMPILER_STRING for runtime version info. */ #ifndef qla_vcconfig_hpp #define qla_vcconfig_hpp #if (_MSC_VER == 1300) # define VC_VERSION "7.0" #elif (_MSC_VER == 1310) # define VC_VERSION "7.1" #elif (_MSC_VER == 1400) # define VC_VERSION "8.0" #else # define VC_VERSION "(version unknown)" #endif #ifdef _MT # define RUNTIME_THREAD "Multithreaded" #else # define RUNTIME_THREAD "Single-threaded" #endif #ifdef _DLL # define RUNTIME_LINKAGE "Dynamic" #else # define RUNTIME_LINKAGE "Static" #endif #if defined(_DEBUG) # define RUNTIME_CONFIG "Debug" #else # define RUNTIME_CONFIG "Release" #endif #define COMPILER_STRING " - Microsoft Visual Studio version " VC_VERSION " - Runtime library " RUNTIME_THREAD " " RUNTIME_LINKAGE " " RUNTIME_CONFIG #endif Index: auto_link.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/auto_link.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** auto_link.hpp 25 May 2006 17:25:00 -0000 1.1 --- auto_link.hpp 12 Jul 2006 16:55:46 -0000 1.2 *************** *** 20,27 **** // select toolset: ! #if (_MSC_VER < 1200) # error "unsupported Microsoft compiler" - #elif (_MSC_VER == 1200) - # define QLADDIN_LIB_TOOLSET "vc6" #elif (_MSC_VER == 1300) # define QLADDIN_LIB_TOOLSET "vc7" --- 20,25 ---- // select toolset: ! #if (_MSC_VER < 1300) # error "unsupported Microsoft compiler" #elif (_MSC_VER == 1300) # define QLADDIN_LIB_TOOLSET "vc7" Index: qladdindefines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/qladdindefines.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** qladdindefines.hpp 31 May 2006 18:36:45 -0000 1.3 --- qladdindefines.hpp 12 Jul 2006 16:55:46 -0000 1.4 *************** *** 41,49 **** //! version string ! #ifdef _DEBUG ! #define QLADDIN_VERSION "0.3.13-debug" ! #else #define QLADDIN_VERSION "0.3.13" ! #endif //! version hexadecimal number --- 41,49 ---- //! version string ! //#ifdef _DEBUG ! // #define QLADDIN_VERSION "0.3.13-debug" ! //#else #define QLADDIN_VERSION "0.3.13" ! //#endif //! version hexadecimal number |
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From: Eric E. <eri...@us...> - 2006-07-12 16:55:50
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15617 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: qlVersion() - include version # of compiler and runtime library Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** QuantLibObjects_vc8.vcproj 12 Jul 2006 15:18:56 -0000 1.28 --- QuantLibObjects_vc8.vcproj 12 Jul 2006 16:55:46 -0000 1.29 *************** *** 922,925 **** --- 922,929 ---- > </File> + <File + RelativePath=".\qlo\vcconfig.hpp" + > + </File> </Files> <Globals> Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** QuantLibObjects.vcproj 12 Jul 2006 14:03:39 -0000 1.22 --- QuantLibObjects.vcproj 12 Jul 2006 16:55:46 -0000 1.23 *************** *** 411,418 **** </File> <File ! RelativePath=".\qlo\vo_marketmodels.cpp"> </File> <File ! RelativePath=".\qlo\vo_marketmodels.hpp"> </File> <File --- 411,418 ---- </File> <File ! RelativePath="qlo\vo_marketmodels.cpp"> </File> <File ! RelativePath="qlo\vo_marketmodels.hpp"> </File> <File *************** *** 736,743 **** Filter=""> <File ! RelativePath=".\qlo\marketmodels.cpp"> </File> <File ! RelativePath=".\qlo\marketmodels.hpp"> </File> </Filter> --- 736,743 ---- Filter=""> <File ! RelativePath="qlo\marketmodels.cpp"> </File> <File ! RelativePath="qlo\marketmodels.hpp"> </File> </Filter> *************** *** 790,793 **** --- 790,796 ---- RelativePath="qlo\utilities.hpp"> </File> + <File + RelativePath="qlo\vcconfig.hpp"> + </File> </Files> <Globals> |
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From: Eric E. <eri...@us...> - 2006-07-12 15:31:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14029/gensrc/metadata Modified Files: interpolation.xml Log Message: add support for long description in function metadata Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** interpolation.xml 11 Jul 2006 13:30:53 -0000 1.19 --- interpolation.xml 12 Jul 2006 15:31:09 -0000 1.20 *************** *** 40,43 **** --- 40,52 ---- <Member name='qlInterpolate' libraryClass='Interpolation' loopParameter='xValues'> <description>Returns interpolated values</description> + <longDescription> + base class for 1-D interpolations. + + Classes derived from this class will provide interpolated + values from two sequences of equal length, representing + discretized values of a variable and a function of the former, + respectively. + </longDescription> + <libraryFunction>operator()</libraryFunction> <ParameterList> |
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From: Ferdinando A. <na...@us...> - 2006-07-12 15:18:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8806 Modified Files: QuantLibObjects_vc8.vcproj Log Message: VC8 catching up Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** QuantLibObjects_vc8.vcproj 6 Jul 2006 12:00:50 -0000 1.27 --- QuantLibObjects_vc8.vcproj 12 Jul 2006 15:18:56 -0000 1.28 *************** *** 329,368 **** Name="MarketModels" > ! <File ! RelativePath="qlo\marketmodels.cpp" ! > ! </File> ! <File ! RelativePath="qlo\marketmodels.hpp" ! > ! </File> </Filter> <Filter Name="Enumerations" > ! <File ! RelativePath="qlo\enumclassregistry.cpp" ! > ! </File> <File RelativePath="qlo\enumtyperegistry.cpp" > </File> ! <File ! RelativePath="qlo\enumclassctors.cpp" ! > ! </File> ! <File ! RelativePath="qlo\enumclassctors.hpp" ! > ! </File> ! <File ! RelativePath="qlo\typefactory.hpp" ! > ! </File> ! <File ! RelativePath="qlo\typeregistry.hpp" ! > ! </File> </Filter> <Filter --- 329,368 ---- Name="MarketModels" > ! <File ! RelativePath="qlo\marketmodels.cpp" ! > ! </File> ! <File ! RelativePath="qlo\marketmodels.hpp" ! > ! </File> </Filter> <Filter Name="Enumerations" > ! <File ! RelativePath="qlo\enumclassctors.cpp" ! > ! </File> ! <File ! RelativePath="qlo\enumclassctors.hpp" ! > ! </File> ! <File ! RelativePath="qlo\enumclassregistry.cpp" ! > ! </File> <File RelativePath="qlo\enumtyperegistry.cpp" > </File> ! <File ! RelativePath="qlo\typefactory.hpp" ! > ! </File> ! <File ! RelativePath="qlo\typeregistry.hpp" ! > ! </File> </Filter> <Filter *************** *** 594,597 **** --- 594,605 ---- > <File + RelativePath=".\qlo\getcovariance.cpp" + > + </File> + <File + RelativePath=".\qlo\getcovariance.hpp" + > + </File> + <File RelativePath="qlo\interpolation.cpp" > |
