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From: Ferdinando A. <na...@us...> - 2006-07-12 14:03:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10900 Modified Files: QuantLibObjects.vcproj Log Message: exported CovarianceDecomposition, CovFromCorr, and CholeskyDecomposition Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** QuantLibObjects.vcproj 6 Jul 2006 14:09:24 -0000 1.21 --- QuantLibObjects.vcproj 12 Jul 2006 14:03:39 -0000 1.22 *************** *** 527,530 **** --- 527,536 ---- Filter=""> <File + RelativePath=".\qlo\getcovariance.cpp"> + </File> + <File + RelativePath=".\qlo\getcovariance.hpp"> + </File> + <File RelativePath="qlo\interpolation.cpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-07-12 14:03:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10900/gensrc/metadata Modified Files: mathf.xml Log Message: exported CovarianceDecomposition, CovFromCorr, and CholeskyDecomposition Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** mathf.xml 11 Jul 2006 13:30:53 -0000 1.9 --- mathf.xml 12 Jul 2006 14:03:39 -0000 1.10 *************** *** 7,11 **** --- 7,13 ---- <include>ql/Math/primenumbers.hpp</include> <include>ql/Math/pseudosqrt.hpp</include> + <include>ql/Math/choleskydecomposition.hpp</include> <include>qlo/symmetricschurdecomposition.hpp</include> + <include>qlo/getcovariance.hpp</include> <include>qlo/mathf.hpp</include> <include>qlo/vo_mathf.hpp</include> *************** *** 176,179 **** --- 178,204 ---- <!-- Matrix functions --> + <Procedure name="qlCholeskyDecomposition"> + <description>Returns the Cholesky decomposition of a real symmetric matrix.</description> + <alias>QuantLib::CholeskyDecomposition</alias> + <ParameterList> + <Parameters> + <Parameter name="matrix" libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>symmetric matrix (hopefully positive semi-definite at least)</description> + </Parameter> + <Parameter name='flexible' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>If TRUE it returns a result also for positive semi-definite matrix</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Procedure> + <Procedure name="qlPseudoSqrt"> <description>Returns the pseudo square root of a real symmetric matrix.</description> *************** *** 233,236 **** --- 258,350 ---- + <Procedure name="qlCovFromCorr"> + <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> + <alias>QuantLibAddin::getCovariance</alias> + <ParameterList> + <Parameters> + <Parameter name="vols"> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>volatility vector</description> + </Parameter> + <Parameter name="matrix" libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>symmetric matrix (hopefully positive semi-definite at least)</description> + </Parameter> + <Parameter name='tolerance' default='1.0e12'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>numerical tolerance for non symmetric matrix</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Procedure> + + + + <!-- CovarianceDecomposition interface --> + + <Member name='qlCovarianceDecompositionVariances' libraryClass='CovarianceDecomposition'> + <description>Returns the variance vector</description> + <libraryFunction>variances</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlCovarianceDecompositionVols' libraryClass='CovarianceDecomposition'> + <description>Returns the volatility vector</description> + <libraryFunction>standardDeviations</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlCovarianceDecompositionCorr' libraryClass='CovarianceDecomposition'> + <description>Returns the correlation matrix.</description> + <libraryFunction>correlationMatrix</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + + <!-- CovarianceDecomposition constructor --> + + <Constructor name='qlCovarianceDecomposition'> + <libraryFunction>CovarianceDecomposition</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='symmetricMatrix' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>Symmetrix covariance matrix to be decomposed</description> + </Parameter> + <Parameter name='tolerance' default='1.0e12'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>numerical tolerance for non symmetric matrix</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + </Functions> |
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From: Ferdinando A. <na...@us...> - 2006-07-12 14:03:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10900/qlo Added Files: getcovariance.cpp getcovariance.hpp Log Message: exported CovarianceDecomposition, CovFromCorr, and CholeskyDecomposition --- NEW FILE: getcovariance.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_getcovariance_hpp #define qla_getcovariance_hpp #include <oh/objhandler.hpp> #include <ql/MonteCarlo/getcovariance.hpp> namespace QuantLibAddin { inline QuantLib::Matrix getCovariance(std::vector<double> vols, const QuantLib::Matrix& corr, double tol) { return QuantLib::getCovariance(vols.begin(), vols.end(), corr, tol); } class CovarianceDecomposition : public ObjHandler::LibraryObject< QuantLib::CovarianceDecomposition> { public: CovarianceDecomposition::CovarianceDecomposition( const QuantLib::Matrix& cov, double tol); }; } #endif --- NEW FILE: getcovariance.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/getcovariance.hpp> namespace QuantLibAddin { CovarianceDecomposition::CovarianceDecomposition( const QuantLib::Matrix& cov, double tol) { libraryObject_ = boost::shared_ptr< QuantLib::CovarianceDecomposition>( new QuantLib::CovarianceDecomposition(cov, tol)); } } |
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From: Ferdinando A. <na...@us...> - 2006-07-12 12:05:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25209/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** marketmodels.hpp 6 Jul 2006 13:43:15 -0000 1.3 --- marketmodels.hpp 12 Jul 2006 12:05:17 -0000 1.4 *************** *** 26,29 **** --- 26,30 ---- #include <ql/MarketModels/browniangenerator.hpp> #include <ql/MarketModels/marketmodelevolver.hpp> + #include <ql/MarketModels/Products/marketmodelforwards.hpp> namespace QuantLibAddin { *************** *** 88,91 **** --- 89,102 ---- + class MarketModelForwards : public ObjHandler::LibraryObject<QuantLib::MarketModelForwards> { + public: + MarketModelForwards(const QuantLib::Array& rateTimes, + const QuantLib::Array& accruals, + const QuantLib::Array& paymentTimes, + const QuantLib::Array& strikes); + }; + + + class BrownianGeneratorFactory : public ObjHandler::LibraryObject<QuantLib::BrownianGeneratorFactory> { }; *************** *** 104,108 **** ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&, const QuantLib::EvolutionDescription&, ! const QuantLib::BrownianGeneratorFactory&); }; --- 115,119 ---- ForwardRateEvolver(const boost::shared_ptr<QuantLib::PseudoRoot>&, const QuantLib::EvolutionDescription&, ! unsigned long seed); }; Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** marketmodels.cpp 6 Jul 2006 12:22:38 -0000 1.2 --- marketmodels.cpp 12 Jul 2006 12:05:17 -0000 1.3 *************** *** 86,89 **** --- 86,105 ---- } + + + + MarketModelForwards::MarketModelForwards( + const QuantLib::Array& rateTimes, + const QuantLib::Array& accruals, + const QuantLib::Array& paymentTimes, + const QuantLib::Array& strikes) + { + libraryObject_ = boost::shared_ptr<QuantLib::MarketModelForwards>( + new QuantLib::MarketModelForwards(rateTimes, accruals, + paymentTimes, strikes)); + } + + + MTBrownianGeneratorFactory::MTBrownianGeneratorFactory(unsigned long seed) { *************** *** 95,104 **** const boost::shared_ptr<QuantLib::PseudoRoot>& pseudoRoot, const QuantLib::EvolutionDescription& evolutionDescription, ! const QuantLib::BrownianGeneratorFactory& brownianGeneratorfactory) { libraryObject_ = boost::shared_ptr<QuantLib::MarketModelEvolver>( new QuantLib::ForwardRateEvolver(pseudoRoot, evolutionDescription, ! brownianGeneratorfactory)); } --- 111,123 ---- 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, evolutionDescription, ! generatorFactory)); } |
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From: Ferdinando A. <na...@us...> - 2006-07-12 08:57:00
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13547/gensrc/metadata Modified Files: marketmodels.xml Log Message: Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** marketmodels.xml 11 Jul 2006 13:30:53 -0000 1.4 --- marketmodels.xml 12 Jul 2006 08:56:55 -0000 1.5 *************** *** 236,239 **** --- 236,252 ---- <!-- CurveState class interface and costructor --> + <Member name='qlCurveStateRateTimes' libraryClass='CurveState'> + <description>return the rate times of the CurveState object</description> + <libraryFunction>rateTimes</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + <Member name='qlCurveStateSetOnForwardRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of forward rates</description> *************** *** 452,497 **** </Constructor> ! <Procedure name='qlDrifts'> ! <description>returns the drifts</description> ! <alias>QuantLibAddin::drifts</alias> <ParameterList> <Parameters> ! <Parameter name='pseudo' libraryType='QuantLib::Matrix'> <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>Pseudo square root of the covariance matrix</description> </Parameter> ! <Parameter name='displacements'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>displacements</description> </Parameter> ! <Parameter name='taus'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>taus</description> ! </Parameter> ! <Parameter name='numeraire'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>numeraire</description> ! </Parameter> ! <Parameter name='alive'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>index of the first rates still alive</description> </Parameter> ! <Parameter name='forwards'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>forwards</description> </Parameter> </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> </ReturnValue> ! </Procedure> --- 465,588 ---- </Constructor> ! <!-- MarketModelForwards --> ! ! <Constructor name='qlMarketModelForwards'> ! <libraryFunction>MarketModelForwards</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>forward strikes</description> </Parameter> </Parameters> </ParameterList> + </Constructor> + + <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'> ! <description>start a new path for the MarketModelEvolver object</description> ! <libraryFunction>startNewPath</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlMarketModelEvolverAdvanceStep' libraryClass='MarketModelEvolver'> ! <description>advance a single step in the current path for the MarketModelEvolver object</description> ! <libraryFunction>advanceStep</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlMarketModelEvolverCurrentStep' libraryClass='MarketModelEvolver'> ! <description>returns the current step index in the current path for the MarketModelEvolver object</description> ! <libraryFunction>currentStep</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Member> ! ! <!--Constructor name='qlForwardRateEvolver'> ! <libraryFunction>ForwardRateEvolver</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'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EvolutionDescription object</description> ! </Parameter> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed for random sequence generator</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor--> |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18585/gensrc/metadata Modified Files: bonds.xml calendar.xml capfloor.xml capletvolstructure.xml couponvectors.xml date.xml daycounter.xml enumtypes.xml exercise.xml forwardrateagreement.xml index.xml instruments.xml interpolation.xml marketmodels.xml mathf.xml options.xml payoffs.xml prices.xml pricingengines.xml processes.xml randomsequencegenerator.xml ratehelpers.xml schedule.xml shortratemodels.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml utilities.xml vanillaswap.xml volatilities.xml Log Message: categorize functions in the Excel Function Wizard Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** vanillaswap.xml 4 Jul 2006 10:06:53 -0000 1.9 --- vanillaswap.xml 11 Jul 2006 13:30:53 -0000 1.10 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct and use QuantLib::VanillaSwap objects</description> <displayName>Vanilla Swap</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/vanillaswap.hpp</include> *************** *** 16,20 **** <Constructor name='qlVanillaSwap'> <libraryFunction>VanillaSwap</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 17,20 ---- *************** *** 81,85 **** <description>the fair rate of a swap</description> <libraryFunction>fairRate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 81,84 ---- *************** *** 100,104 **** <description>the fair rate of a swap</description> <libraryFunction>fairSpread</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 99,102 ---- *************** *** 119,123 **** <description>The fixed leg cash flow analysis</description> <libraryFunction>fixedLeg</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 117,120 ---- *************** *** 133,137 **** <description>the BPS of the fixed leg</description> <libraryFunction>fixedLegBPS</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 130,133 ---- *************** *** 152,156 **** <description>The floating leg cash flow analysis</description> <libraryFunction>floatingLeg</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 148,151 ---- *************** *** 171,175 **** <description>the BPS of the floating leg</description> <libraryFunction>floatingLegBPS</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 166,169 ---- Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** ratehelpers.xml 4 Jul 2006 10:06:53 -0000 1.11 --- ratehelpers.xml 11 Jul 2006 13:30:53 -0000 1.12 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib RateHelper objects</description> <displayName>RateHelper</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/ratehelpers.hpp</include> *************** *** 18,22 **** <description>retrieve a RateHelper's earliest date</description> <libraryFunction>earliestDate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 19,22 ---- *************** *** 37,41 **** <description>retrieve a RateHelper's latest date</description> <libraryFunction>latestDate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 37,40 ---- *************** *** 56,60 **** <description>retrieve a RateHelper's reference quote</description> <libraryFunction>referenceQuote</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 55,58 ---- *************** *** 75,79 **** <description>update quote of existing Rate Helper object</description> <libraryFunction>setQuote</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 73,76 ---- *************** *** 93,97 **** <Constructor name='qlDepositRateHelper'> <libraryFunction>DepositRateHelper</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 90,93 ---- *************** *** 132,136 **** <Constructor name='qlSwapRateHelper'> <libraryFunction>SwapRateHelper</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 128,131 ---- *************** *** 182,186 **** <description>get convexity adjustment of existing FuturesRateHelper object</description> <libraryFunction>convexityAdjustment</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 177,180 ---- *************** *** 201,205 **** <description>update convexity adjustment of existing FuturesRateHelper object</description> <libraryFunction>setConvexityAdjustment</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 195,198 ---- *************** *** 219,223 **** <Constructor name='qlFuturesRateHelper'> <libraryFunction>FuturesRateHelper</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 212,215 ---- *************** *** 263,267 **** <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 255,258 ---- Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** shortratemodels.xml 28 Jun 2006 15:18:59 -0000 1.6 --- shortratemodels.xml 11 Jul 2006 13:30:53 -0000 1.7 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib short-rate model objects</description> <displayName>Short Rate Models</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> Copyright (C) 2005 Eric Ehlers *************** *** 10,14 **** <Constructor name='qlHullWhite'> <libraryFunction>HullWhite</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 11,14 ---- *************** *** 34,38 **** <Constructor name='qlVasicek'> <libraryFunction>Vasicek</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 34,37 ---- Index: payoffs.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/payoffs.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** payoffs.xml 29 Jun 2006 16:52:12 -0000 1.1 --- payoffs.xml 11 Jul 2006 13:30:53 -0000 1.2 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib StrikedTypePayoff objects</description> <displayName>Payoffs</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> Copyright (C) 2006 Eric Ehlers *************** *** 10,14 **** <Constructor name='qlStrikedTypePayoff'> <libraryFunction>StrikedTypePayoff</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 11,14 ---- *************** *** 34,38 **** <Constructor name='qlStrikedTypePayoff2'> <libraryFunction>StrikedTypePayoff</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 34,37 ---- Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** index.xml 10 Jul 2006 13:58:41 -0000 1.5 --- index.xml 11 Jul 2006 13:30:53 -0000 1.6 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib Index objects</description> <displayName>Indices</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/index.hpp</include> *************** *** 17,21 **** <description>retrive the name for the given Index object</description> <libraryFunction>name</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 18,21 ---- *************** *** 30,34 **** <description>retrive the fixing for the given Index object</description> <libraryFunction>fixing</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 30,33 ---- *************** *** 54,58 **** <description>add a fixing for the given Index object</description> <libraryFunction>addFixing</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 53,56 ---- *************** *** 78,82 **** <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 76,79 ---- *************** *** 101,105 **** <Constructor name='qlXibor'> <libraryFunction>Xibor</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 98,101 ---- *************** *** 150,154 **** <Procedure name='qlSetEuriborTermStructure'> <description>set the yield term structure which is linked to by the handle shared by all enumerated Euribor objects</description> - <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::EuriborHandle::instance().linkEuriborHandle</alias> <ParameterList> --- 146,149 ---- Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** bonds.xml 4 Jul 2006 10:06:52 -0000 1.12 --- bonds.xml 11 Jul 2006 13:30:52 -0000 1.13 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib instrument objects</description> <displayName>Bonds</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>ql/Instruments/fixedcouponbond.hpp</include> *************** *** 22,26 **** <description>Cash flow analysis.</description> <libraryFunction>flowAnalysis</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 23,26 ---- *************** *** 41,45 **** <description>Returns the settlement date of the bond.</description> <libraryFunction>settlementDate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 41,44 ---- *************** *** 54,58 **** <description>Theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 53,56 ---- *************** *** 73,77 **** <description>Theoretical dirty price. The default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 71,74 ---- *************** *** 92,96 **** <description>Theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 89,92 ---- *************** *** 116,120 **** <description>Clean price given a yield and settlement date. The default bond settlement is used if no date is given.</description> <libraryFunction>cleanPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 112,115 ---- *************** *** 145,149 **** <description>Dirty price(s) given yield(s) and settlement date. The default bond settlement is used if no date is given.</description> <libraryFunction>dirtyPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 140,143 ---- *************** *** 174,178 **** <description>Yield(s) given clean price(s) and settlement date. The default bond settlement is used if no date is given</description> <libraryFunction>yield</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 168,171 ---- *************** *** 203,207 **** <description>Accrued amount at a given date. The default bond settlement is used if no date is given.</description> <libraryFunction>accruedAmount</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 196,199 ---- *************** *** 224,228 **** <Constructor name='qlZeroCouponBond'> <libraryFunction>ZeroCouponBond</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 216,219 ---- *************** *** 273,277 **** <Constructor name='qlFixedCouponBond'> <libraryFunction>FixedCouponBond</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 264,267 ---- *************** *** 352,356 **** <Constructor name='qlFloatingCouponBond'> <libraryFunction>FloatingCouponBond</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 342,345 ---- Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** swap.xml 4 Jul 2006 10:06:53 -0000 1.12 --- swap.xml 11 Jul 2006 13:30:53 -0000 1.13 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct and use QuantLib::Swap objects</description> <displayName>Swap</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/swap.hpp</include> *************** *** 18,22 **** <Constructor name='qlSwap'> <libraryFunction>Swap</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 19,22 ---- *************** *** 43,47 **** <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> <libraryFunction>legAnalysis</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 43,46 ---- *************** *** 67,71 **** <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> <libraryFunction>legBPS</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 66,69 ---- *************** *** 91,95 **** <description>the start date of the swap</description> <libraryFunction>startDate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 89,92 ---- *************** *** 110,114 **** <description>the maturity date of the swap</description> <libraryFunction>maturity</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 107,110 ---- Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** volatilities.xml 26 Jun 2006 21:31:03 -0000 1.4 --- volatilities.xml 11 Jul 2006 13:30:53 -0000 1.5 *************** *** 1,69 **** <Category name='volatilities'> ! <description>functions to construct QuantLib volatility objects</description> ! <displayName>Volatilities</displayName> ! <copyright> Copyright (C) 2005, 2006 Eric Ehlers </copyright> ! <Functions> ! <Constructor name='qlBlackConstantVol'> ! <libraryFunction>BlackConstantVol</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackVarianceSurface'> ! <libraryFunction>BlackVarianceSurface</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </Parameter> ! <Parameter name='strikes'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> <Parameter name='volatilities' libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> - --- 1,67 ---- <Category name='volatilities'> ! <description>functions to construct QuantLib volatility objects</description> ! <displayName>Volatilities</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> Copyright (C) 2005, 2006 Eric Ehlers </copyright> ! <Functions> ! <Constructor name='qlBlackConstantVol'> ! <libraryFunction>BlackConstantVol</libraryFunction> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='volatility'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBlackVarianceSurface'> ! <libraryFunction>BlackVarianceSurface</libraryFunction> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </Parameter> ! <Parameter name='strikes'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>strikes</description> ! </Parameter> <Parameter name='volatilities' libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>volatilities</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** marketmodels.xml 6 Jul 2006 12:22:38 -0000 1.3 --- marketmodels.xml 11 Jul 2006 13:30:53 -0000 1.4 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib market Models objects</description> <displayName>MarketModels</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/marketmodels.hpp</include> *************** *** 12,21 **** ! <!-- PseudoRoot base class interface --> <Member name='qlPseudoRootInitialRates' libraryClass='PseudoRoot'> <description>initial rates for the PseudoRoot object</description> <libraryFunction>initialRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 13,21 ---- ! <!-- PseudoRoot base class interface --> <Member name='qlPseudoRootInitialRates' libraryClass='PseudoRoot'> <description>initial rates for the PseudoRoot object</description> <libraryFunction>initialRates</libraryFunction> <ParameterList> <Parameters/> *************** *** 30,34 **** <description>rates' displacemets for the PseudoRoot object</description> <libraryFunction>displacements</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 30,33 ---- *************** *** 43,47 **** <description>number of rates for the PseudoRoot object</description> <libraryFunction>numberOfRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 42,45 ---- *************** *** 56,60 **** <description>number of factors for the PseudoRoot object</description> <libraryFunction>numberOfFactors</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 54,57 ---- *************** *** 69,73 **** <description>Returns the pseudo root for the i-th step.</description> <libraryFunction>pseudoRoot</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 66,69 ---- *************** *** 85,94 **** </Member> ! <!-- PseudoRoot derived class constructors --> <Constructor name='qlExponentialCorrelation'> <libraryFunction>ExponentialCorrelation</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 81,89 ---- </Member> ! <!-- PseudoRoot derived class constructors --> <Constructor name='qlExponentialCorrelation'> <libraryFunction>ExponentialCorrelation</libraryFunction> <ParameterList> <Parameters> *************** *** 139,148 **** ! <!-- EvolutionDescription class interface and costructor --> <Member name='qlEvolutionDescriptionRatesTimes' libraryClass='EvolutionDescription'> <description>rates fixing times for the EvolutionDescription object</description> <libraryFunction>rateTimes</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 134,142 ---- ! <!-- EvolutionDescription class interface and costructor --> <Member name='qlEvolutionDescriptionRatesTimes' libraryClass='EvolutionDescription'> <description>rates fixing times for the EvolutionDescription object</description> <libraryFunction>rateTimes</libraryFunction> <ParameterList> <Parameters/> *************** *** 157,161 **** <description>taus for the EvolutionDescription object</description> <libraryFunction>taus</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 151,154 ---- *************** *** 170,174 **** <description>evolution times for the EvolutionDescription object</description> <libraryFunction>evolutionTimes</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 163,166 ---- *************** *** 183,187 **** <description>numeraires for the EvolutionDescription object</description> <libraryFunction>numeraires</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 175,178 ---- *************** *** 198,202 **** <description>number of rates for the EvolutionDescription object</description> <libraryFunction>numberOfRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 189,192 ---- *************** *** 211,215 **** <description>number of steps for the EvolutionDescription object</description> <libraryFunction>numberOfSteps</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 201,204 ---- *************** *** 223,227 **** <Constructor name='qlEvolutionDescription'> <libraryFunction>EvolutionDescription</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 212,215 ---- *************** *** 245,255 **** </Constructor> ! ! <!-- CurveState class interface and costructor --> <Member name='qlCurveStateSetOnForwardRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>setOnForwardRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 233,242 ---- </Constructor> ! ! <!-- CurveState class interface and costructor --> <Member name='qlCurveStateSetOnForwardRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>setOnForwardRates</libraryFunction> <ParameterList> <Parameters> *************** *** 270,274 **** <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>setOnDiscountRatios</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 257,260 ---- *************** *** 289,293 **** <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>setOnCoterminalSwapRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 275,278 ---- *************** *** 308,312 **** <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>forwardRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 293,296 ---- *************** *** 321,325 **** <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>discountRatios</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 305,308 ---- *************** *** 334,338 **** <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>coterminalSwapRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 317,320 ---- *************** *** 348,352 **** <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>forwardRate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 330,333 ---- *************** *** 367,371 **** <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>discountRatio</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 348,351 ---- *************** *** 391,395 **** <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>coterminalSwapRate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 371,374 ---- *************** *** 409,413 **** <Constructor name='qlCurveState'> <libraryFunction>CurveState</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 388,391 ---- *************** *** 421,430 **** </Constructor> ! <!-- DriftCalculator class interface and constructor --> <Member name='qlDriftCalculatorCompute' objectClass='DriftCalculator'> <description>compute the drifts using the DriftCalculator object</description> <libraryFunction>compute</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 399,407 ---- </Constructor> ! <!-- DriftCalculator class interface and constructor --> <Member name='qlDriftCalculatorCompute' objectClass='DriftCalculator'> <description>compute the drifts using the DriftCalculator object</description> <libraryFunction>compute</libraryFunction> <ParameterList> <Parameters> *************** *** 444,448 **** <Constructor name='qlDriftCalculator'> <libraryFunction>DriftCalculator</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 421,424 ---- *************** *** 479,483 **** <description>returns the drifts</description> <alias>QuantLibAddin::drifts</alias> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 455,458 ---- Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** swaptionvolstructure.xml 4 Jul 2006 10:06:53 -0000 1.19 --- swaptionvolstructure.xml 11 Jul 2006 13:30:53 -0000 1.20 *************** *** 1,6 **** - <Category name='swaptionvolstructure'> <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> <displayName>Swaption Volatility Term Structures</displayName> <includes> <include>qlo/swaptionvolstructure.hpp</include> --- 1,6 ---- <Category name='swaptionvolstructure'> <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> <displayName>Swaption Volatility Term Structures</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/swaptionvolstructure.hpp</include> *************** *** 8,24 **** <include>ql/Volatilities/swaptionvolmatrix.hpp</include> <include>ql/Volatilities/swaptionconstantvol.hpp</include> ! </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson </copyright> <Functions> <!-- 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> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 8,23 ---- <include>ql/Volatilities/swaptionvolmatrix.hpp</include> <include>ql/Volatilities/swaptionconstantvol.hpp</include> ! </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson </copyright> <Functions> <!-- 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> <platforms>EO</platforms> <ParameterList> *************** *** 60,64 **** <description>Returns the latest start date for which the term structure can return vols.</description> <libraryFunction>maxStartDate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 59,62 ---- *************** *** 74,78 **** <description>Returns the largest length for which the term structure can return vols.</description> <libraryFunction>maxLength</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 72,75 ---- *************** *** 88,92 **** <description>Returns the minimum strike for which the term structure can return vols.</description> <libraryFunction>minStrike</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 85,88 ---- *************** *** 102,106 **** <description>Returns the maximum strike for which the term structure can return vols.</description> <libraryFunction>maxStrike</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 98,101 ---- *************** *** 117,121 **** <Constructor name='qlHandleSwaptionVolatilityStructure'> <libraryFunction>Handle<QuantLib::SwaptionVolatilityStructure></libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 112,115 ---- *************** *** 131,135 **** <Member name='qlHandleSwaptionVolatilityStructureLinkTo' objectClass='Handle<QuantLib::SwaptionVolatilityStructure>'> <libraryFunction>linkTo</libraryFunction> - <functionCategory>QuantLib</functionCategory> <description>relink handle</description> <ParameterList> --- 125,128 ---- *************** *** 153,157 **** <Constructor name='qlSwaptionVTSConstant'> <libraryFunction>SwaptionConstantVolatility</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EGO</platforms> <ParameterList> --- 146,149 ---- *************** *** 183,187 **** <Constructor name='qlSwaptionVTSMatrix'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EGO</platforms> <ParameterList> --- 175,178 ---- *************** *** 228,232 **** <Constructor name='qlSwaptionVTSMatrix2'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EGO</platforms> <ParameterList> --- 219,222 ---- *************** *** 266,270 **** <description>Returns the underlying swap day counter.</description> <libraryFunction>dayCounter</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 256,259 ---- *************** *** 280,284 **** <description>Returns the vector of swaption exercise dates.</description> <libraryFunction>exerciseDates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 269,272 ---- *************** *** 294,298 **** <description>Returns the vector of underlying swap lengths.</description> <libraryFunction>lengths</libraryFunction> - <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> --- 282,285 ---- Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** forwardrateagreement.xml 10 Jul 2006 18:10:30 -0000 1.9 --- forwardrateagreement.xml 11 Jul 2006 13:30:53 -0000 1.10 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib Forward Rate Agreement objects</description> <displayName>Forward Rate Agreement</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> Copyright (C) 2006 Katiuscia Manzoni *************** *** 8,15 **** <Functions> ! <Constructor name='qlFRA'> <libraryFunction>ForwardRateAgreement</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 9,15 ---- <Functions> ! <Constructor name='qlFRA'> <libraryFunction>ForwardRateAgreement</libraryFunction> <ParameterList> <Parameters> *************** *** 56,60 **** <description>Returns the relevant forward rate associated with the FRA term.</description> <libraryFunction>forwardRate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 56,59 ---- *************** *** 69,73 **** <description>Returns the forward value of the FRA.</description> <libraryFunction>forwardValue</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 68,71 ---- *************** *** 82,86 **** <description>Returns the spot value of the FRA.</description> <libraryFunction>spotValue</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 80,83 ---- Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** capfloor.xml 4 Jul 2006 10:06:52 -0000 1.7 --- capfloor.xml 11 Jul 2006 13:30:53 -0000 1.8 *************** *** 2,5 **** --- 2,6 ---- <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/capfloor.hpp</include> *************** *** 7,11 **** <include>qlo/termstructures.hpp</include> <include>qlo/pricingengines.hpp</include> ! </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano --- 8,12 ---- <include>qlo/termstructures.hpp</include> <include>qlo/pricingengines.hpp</include> ! </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano *************** *** 17,21 **** <description>CapFloortype (e.g. Cap, Floor, Collar)</description> <libraryFunction>type</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 18,21 ---- *************** *** 30,34 **** <description>cap rates</description> <libraryFunction>capRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 30,33 ---- *************** *** 43,47 **** <description>floor rates</description> <libraryFunction>floorRates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 42,45 ---- *************** *** 56,60 **** <description>implied volatility</description> <libraryFunction>impliedVolatility</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 54,57 ---- *************** *** 74,78 **** <Constructor name='qlCapFloor'> <libraryFunction>CapFloor</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 71,74 ---- *************** *** 114,118 **** <description>The cap/floor cash flow analysis</description> <libraryFunction>legAnalysis</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 110,113 ---- Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** exercise.xml 4 Jul 2006 10:06:52 -0000 1.5 --- exercise.xml 11 Jul 2006 13:30:53 -0000 1.6 *************** *** 2,9 **** <description>functions to construct QuantLib Exercise objects</description> <displayName>Exercise</displayName> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Cristina Duminuco ! Copyright (C) 2006 Eric Ehlers </copyright> <Functions> --- 2,10 ---- <description>functions to construct QuantLib Exercise objects</description> <displayName>Exercise</displayName> + <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Cristina Duminuco ! Copyright (C) 2006 Eric Ehlers </copyright> <Functions> *************** *** 12,16 **** <description>Returns all exercise dates</description> <libraryFunction>dates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 13,16 ---- *************** *** 25,29 **** <description>Returns last exercise date</description> <libraryFunction>lastDate</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> --- 25,28 ---- *************** *** 37,41 **** <Constructor name='qlAmericanExercise'> <libraryFunction>AmericanExercise</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 36,39 ---- *************** *** 61,65 **** <Constructor name='qlEuropeanExercise'> <libraryFunction>EuropeanExercise</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 59,62 ---- *************** *** 75,79 **** <Constructor name='qlBermudanExercise'> <libraryFunction>BermudanExercise</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> --- 72,75 ---- Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** utilities.xml 4 Jul 2006 10:06:53 -0000 1.4 --- utilities.xml 11 Jul 2006 13:30:53 -0000 1.5 *************** *** 1,88 **** <Category name='utilities'> ! <description>diagnostic and utility functions</description> ! <displayName>Utilities</displayName> ! <copyright> Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers </copyright> ! <Functions> ! <Procedure name='qlVersion'> ! <description>returns the version number of QuantLib</description> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlListEnumeratedTypes'> ! <description>list supported enumerated types</description> ! <functionCategory>QuantLib</functionCategory> ! <alias>QuantLibAddin::EnumTypeRegistry::instance().getAllRegisteredTypes</alias> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlEnumeratedType'> ! <description>return the members of a given enumerated type</description> ! <functionCategory>QuantLib</functionCategory> ! <alias>QuantLibAddin::EnumTypeRegistry::instance().getTypeElements</alias> ! <ParameterList> ! <Parameters> ! <Parameter name='enumId'> <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>name of enumerated type</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlListEnumeratedClasses'> ! <description>list supported enumerated classes</description> ! <functionCategory>QuantLib</functionCategory> ! <alias>QuantLibAddin::EnumClassRegistry::instance().getAllRegisteredTypes</alias> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlEnumeratedClass'> ! <description>return the members of a given enumerated class</description> ! <functionCategory>QuantLib</functionCategory> ! <alias>QuantLibAddin::EnumClassRegistry::instance().getTypeElements</alias> ! <ParameterList> ! <Parameters> ! <Parameter name='typeId'> <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>name of enumerated class</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! </Functions> </Category> - --- 1,83 ---- <Category name='utilities'> ! <description>diagnostic and utility functions</description> ! <displayName>Utilities</displayName> ! <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> ! <copyright> Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers </copyright> ! <Functions> ! <Procedure name='qlVersion'> ! <description>returns the version number of QuantLib</description> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlListEnumeratedTypes'> ! <description>list supported enumerated types</description> ! <alias>QuantLibAddin::EnumTypeRegistry::instance().getAllRegisteredTypes</alias> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlEnumeratedType'> ! <description>return the members of a given enumerated type</description> ! <alias>QuantLibAddin::EnumTypeRegistry::instance().getTypeElements</alias> ! <ParameterList> ! <Parameters> ! <Parameter name='enumId'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>name of enumerated type</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlListEnumeratedClasses'> ! <description>list supported enumerated classes</description> ! <alias>QuantLibAddin::EnumClassRegistry::instance().getAllRegisteredTypes</alias> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! <Procedure name='qlEnumeratedClass'> ! <description>return the members of a given enumerated class</description> ! <alias>QuantLibAddin::EnumClassRegistry::instance().getTypeElements</alias> ! <ParameterList> ! <Parameters> ! <Parameter name='typeId'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>name of enumerated class</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>string</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Procedure> ! </Functions> </Category> Index: randomsequencegenerator.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/randomsequencegenerator.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** randomsequencegenerator.xml 4 Jul 2006 10:06:53 -0000 1.3 --- randomsequencegenerator.xml 11 Jul 2006 13:30:53 -0000 1.4 *************** *** 2,17 **** <description>functions to generate random number sequences</description> <displayName>Random Sequence Generator</displayName> <copyright> Copyright (C) 2006 Aurelien Chanudet </copyright> ! <Functions> <Procedure name='qlRand'> <description>returns a random number between 0 and 1.</description> - <functionCategory>QuantLib</functionCategory> <alias>QuantLib::rand</alias> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> --- 2,17 ---- <description>functions to generate random number sequences</description> <displayName>Random Sequence Generator</displayName> + <xlFunctionWizardCategory>QuantLib - Math</xlFunctionWizardCategory> <copyright> Copyright (C) 2006 Aurelien Chanudet </copyright> ! <Functions> <Procedure name='qlRand'> <description>returns a random number between 0 and 1.</description> <alias>QuantLib::rand</alias> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> *************** *** 23,27 **** <!--Procedure name='qlRandomize'> <description>returns a random number between 0 and 1.</description> - <functionCategory>QuantLib</functionCategory> <alias>QuantLib::randomize</alias> <ParameterList> --- 23,26 ---- *************** *** 43,60 **** <description>generate variates</description> <libraryFunction>variates</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='samples'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <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> <ReturnValue> --- 42,58 ---- <description>generate variates</description> <libraryFunction>variates</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='samples'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <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> <ReturnValue> *************** *** 66,83 **** <Constructor name='qlMersenneTwisterRsg'> <libraryFunction>MersenneTwisterRsg</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> --- 64,80 ---- <Constructor name='qlMersenneTwisterRsg'> <libraryFunction>MersenneTwisterRsg</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> *************** *** 85,97 **** <Constructor name='qlFaureRsg'> <libraryFunction>FaureRsg</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> --- 82,93 ---- <Constructor name='qlFaureRsg'> <libraryFunction>FaureRsg</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> *************** *** 99,116 **** <Constructor name='qlHaltonRsg'> <libraryFunction>HaltonRsg</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> --- 95,111 ---- <Constructor name='qlHaltonRsg'> <libraryFunction>HaltonRsg</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> *************** *** 118,135 **** <Constructor name='qlSobolRsg'> <libraryFunction>SobolRsg</libraryFunction> - <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> --- 113,129 ---- <Constructor name='qlSobolRsg'> <libraryFunction>SobolRsg</libraryFunction> <ParameterList> ! <Parameters> ! <Parameter name='dimension'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>dimension</description> ! </Parameter> ! <Parameter name='seed'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>seed</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** mathf.xml 10 Jul 2006 18:08:20 -0000 1.8 --- mathf.xml 11 Jul 2006 13:30:53 -0000 1.9 *************** *** 2,5 **** --- 2,6 ---- <descriptio... 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From: Eric E. <eri...@us...> - 2006-07-11 13:30:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18585/gensrc/config Modified Files: config.xml excel.xml Log Message: categorize functions in the Excel Function Wizard Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** config.xml 5 Jul 2006 19:27:48 -0000 1.11 --- config.xml 11 Jul 2006 13:30:52 -0000 1.12 *************** *** 1,43 **** <Config> ! <qlaRootDirectory>../../QuantLibAddin/qlo/</qlaRootDirectory> ! <voRootDirectory>../../QuantLibAddin/qlo/</voRootDirectory> ! <excelRootDirectory>../../QuantLibXL/qlxl/</excelRootDirectory> ! <usingEnumerations>true</usingEnumerations> ! <namespace>QuantLibAddin</namespace> ! <categoryNames> ! <categoryName>calendar</categoryName> ! <categoryName>capfloor</categoryName> ! <categoryName>couponvectors</categoryName> ! <categoryName>bonds</categoryName> ! <categoryName>date</categoryName> ! <categoryName>daycounter</categoryName> ! <categoryName>exercise</categoryName> ! <categoryName>forwardrateagreement</categoryName> ! <categoryName>index</categoryName> ! <categoryName>instruments</categoryName> ! <categoryName>interpolation</categoryName> ! <categoryName>mathf</categoryName> ! <categoryName>marketmodels</categoryName> ! <categoryName>options</categoryName> ! <categoryName>payoffs</categoryName> ! <categoryName>prices</categoryName> ! <categoryName>pricingengines</categoryName> ! <categoryName>processes</categoryName> ! <categoryName>randomsequencegenerator</categoryName> ! <categoryName>ratehelpers</categoryName> ! <categoryName>schedule</categoryName> ! <categoryName>shortratemodels</categoryName> ! <categoryName>swap</categoryName> ! <categoryName>swaption</categoryName> ! <categoryName>capletvolstructure</categoryName> ! <categoryName>swaptionvolstructure</categoryName> ! <categoryName>termstructures</categoryName> ! <categoryName>utilities</categoryName> ! <categoryName>vanillaswap</categoryName> ! <categoryName>volatilities</categoryName> ! </categoryNames> </Config> --- 1,43 ---- <Config> ! <qlaRootDirectory>../../QuantLibAddin/qlo/</qlaRootDirectory> ! <voRootDirectory>../../QuantLibAddin/qlo/</voRootDirectory> ! <excelRootDirectory>../../QuantLibXL/qlxl/</excelRootDirectory> ! <usingEnumerations>true</usingEnumerations> ! <namespace>QuantLibAddin</namespace> ! <categoryNames> ! <categoryName>calendar</categoryName> ! <categoryName>capfloor</categoryName> ! <categoryName>couponvectors</categoryName> ! <categoryName>bonds</categoryName> ! <categoryName>date</categoryName> ! <categoryName>daycounter</categoryName> ! <categoryName>exercise</categoryName> ! <categoryName>forwardrateagreement</categoryName> ! <categoryName>index</categoryName> ! <categoryName>instruments</categoryName> ! <categoryName>interpolation</categoryName> ! <categoryName>mathf</categoryName> ! <categoryName>marketmodels</categoryName> ! <categoryName>options</categoryName> ! <categoryName>payoffs</categoryName> ! <categoryName>prices</categoryName> ! <categoryName>pricingengines</categoryName> ! <categoryName>processes</categoryName> ! <categoryName>randomsequencegenerator</categoryName> ! <categoryName>ratehelpers</categoryName> ! <categoryName>schedule</categoryName> ! <categoryName>shortratemodels</categoryName> ! <categoryName>swap</categoryName> ! <categoryName>swaption</categoryName> ! <categoryName>capletvolstructure</categoryName> ! <categoryName>swaptionvolstructure</categoryName> ! <categoryName>termstructures</categoryName> ! <categoryName>utilities</categoryName> ! <categoryName>vanillaswap</categoryName> ! <categoryName>volatilities</categoryName> ! </categoryNames> </Config> Index: excel.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/excel.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** excel.xml 14 Jun 2006 18:14:04 -0000 1.3 --- excel.xml 11 Jul 2006 13:30:52 -0000 1.4 *************** *** 1,19 **** <root> ! <AddinFiles> ! <AddinFile name='qladdin.cpp'> ! <Buffer name='stub' fileName='stub.excel.register' local='true'/> ! </AddinFile> ! </AddinFiles> ! <implicitConversions> ! <implicitConversion>QuantLib::DiscountFactor</implicitConversion> ! <implicitConversion>QuantLib::Rate</implicitConversion> ! <implicitConversion>QuantLib::Spread</implicitConversion> ! <implicitConversion>QuantLib::Volatility</implicitConversion> ! <implicitConversion>QuantLib::Time</implicitConversion> ! <implicitConversion>QuantLib::Real</implicitConversion> ! <implicitConversion>QuantLib::Size</implicitConversion> ! </implicitConversions> </root> --- 1,19 ---- <root> ! <AddinFiles> ! <AddinFile name='qladdin.cpp'> ! <Buffer name='stub' fileName='stub.excel.register' local='true'/> ! </AddinFile> ! </AddinFiles> ! <implicitConversions> ! <implicitConversion>QuantLib::DiscountFactor</implicitConversion> ! <implicitConversion>QuantLib::Rate</implicitConversion> ! <implicitConversion>QuantLib::Spread</implicitConversion> ! <implicitConversion>QuantLib::Volatility</implicitConversion> ! <implicitConversion>QuantLib::Time</implicitConversion> ! <implicitConversion>QuantLib::Real</implicitConversion> ! <implicitConversion>QuantLib::Size</implicitConversion> ! </implicitConversions> </root> |
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From: Eric E. <eri...@us...> - 2006-07-11 09:28:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14330 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** todo.csv 10 Jul 2006 13:08:17 -0000 1.31 --- todo.csv 11 Jul 2006 09:28:43 -0000 1.32 *************** *** 1,48 **** "project","subproject","task","status","hours","priority","comp date","comment" ,,,,,,, ! "gensrc","Design","coercion implicit conversion between required datatypes for function input/output parameters",,,1,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." "gensrc","Design","complete the separation of core gensrc functionality from platform- and library-specific functionality",,,1,, ! "OH","Functions","ohPack() broken not removing empty cells from end of range e.g. for timeseries","???",,1,,"unable to recreate the problem" "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","Excel binding","categorize function names in Excel Function Wizard","on hold",,1,,"conflict with Adfin addin" ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files",,,1,, "QLA","Design","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,,2,, "QLA","Design","#include fewer headers to speed compilation",,,2,, ! "QLA","Docs","autogenerate documentation for datatype and default value",,,2,, ! "QLA","Functions","port old QLXL functionality into new QLXL",,,2,, ! "QLA","VBA framework","design for real-time live feed",,,2,, ! "OH","Design","allow objects to be grouped",,,3,, ! "gensrc","Design","Handle - automate conversions so it's not necessary for developer to implement linkTo for every class",,,,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,,,, ! "QLA","Design","raise exception if trigger parameter has value of #ERR!/#NULL!",,,,, ! "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector",,,,,"is there an example of an enum list containing 1 item?" ! "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA ?",,,,, ! "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open",,,,, ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,,,, ! "QLA","General Support","calculate memory usage of repository",,,,, ! "QLA","General Support","count the number of functions available in the addin","???",,,,"can you get this from the help file?" ! ,,,,,,, ! "QLA","Docs","provide more descriptive explanations of input/output parameters",,,2,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,,2,, ! "QLA","Enumerations","is Convention an enumeration?",,,2,, ! "QLA","VBA framework","interrogate object repository",,,2,,"Plamen?" ! "OH","Design","update design doc",,,3,, ! "OH","Design","""reflection"" - support member functions dynamically",,,3,, ! "QLA","Design","discontinue support for VC6","in progress",,3,, "QLA","Design","use Excel SmartTags to allow interrogation of objects",,,3,, ! "QLA","Design","improve formatting of log messages",,,3,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,,3,, ! "QLA","Functions","qlSwapLegAnalysis() to provide column headers in output",,,3,, "QLA","General Support","C++ examples - add VOs, NPV calculations",,,3,, "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,,3,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes",,,3,, ! "QLA","gensrc","Provide schema for XML",,,3,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,,3,, ! "QLA","VBA framework","access logfile",,,3,, ! "gensrc","Design","add optional long description to function metadata",,,,, ! "QLA","Docs","examples in Technical Documentation relate to Functional",,,,,"?" ! "QLA","Enumerations","take enumeration description from metadata",,,,, ! "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","in progress",,,, ,,,,,,, "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",4,,04/07/2006, --- 1,50 ---- "project","subproject","task","status","hours","priority","comp date","comment" ,,,,,,, ! "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open",,,0,, ! "gensrc","Design","enhance gensrc to support references to library objects e.g. QuantLib::Evolution. new XML tag libraryReference='xxx'",,,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." ! "OH","Design","update design doc",,,2,, ! "OH","Design","ohLastErrorMessage() - analyze a better approach for error handling and diagnostics",,,2,, "QLA","Design","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,,2,, "QLA","Design","#include fewer headers to speed compilation",,,2,, ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,,2,, ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files",,,2,, ! "QLA","Design","add support to take a QL object, wrap it in a QLA object, and store it in the OH repository",,,3,, "QLA","Design","use Excel SmartTags to allow interrogation of objects",,,3,, ! "QLA","Docs","autogenerate documentation for datatype and default value",,,3,, ! "QLA","Docs","more explicit web-site documentation",,,3,, ! "QLA","Enumerations","enums as function inputs: optional custom description suffixed with generic description taken from enum metadata",,,3,, ! "QLA","Functions","port old QLXL functionality into new QLXL",,,3,, "QLA","General Support","C++ examples - add VOs, NPV calculations",,,3,, "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,,3,, ! "QLA","VBA framework","design for real-time live feed",,,3,, ! "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","in progress",,3,, ! "OH","Design","""reflection"" - support member functions dynamically",,,4,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,,4,, ! "OH","Design","allow objects to be grouped",,,4,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,,4,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,,4,, ! "QLA","General Support","count the number of functions available in the addin",,,4,, ! "QLA","General Support","calculate memory usage of repository",,,4,, ! "QLA","gensrc","Provide schema for XML",,,4,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes",,,4,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,,4,, ! "QLA","VBA framework","access logfile (GUI browser)",,,4,, ! "QLA","VBA framework","interrogate object repository (GUI browser)",,,4,,"Plamen?" ,,,,,,, "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",4,,04/07/2006, *************** *** 150,151 **** --- 152,154 ---- "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",,1,06/14/2006,"also required for ctors otherwise GC breaks" "QLA","INDEX","get/set fixing for given date","done",,2,,"?" + "QLA","Design","improve formatting of log messages","done",,,, |
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From: Katiuscia M. <kma...@us...> - 2006-07-10 18:10:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20572/qlo Modified Files: forwardrateagreement.cpp forwardrateagreement.hpp Log Message: in synch with QuantLib 0.3.13 Index: forwardrateagreement.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** forwardrateagreement.hpp 22 Jun 2006 10:18:48 -0000 1.7 --- forwardrateagreement.hpp 10 Jul 2006 18:10:30 -0000 1.8 *************** *** 35,55 **** QuantLib::Rate strike, double notional, - long settlementDays, - const QuantLib::DayCounter& dayCount, - const QuantLib::Calendar& calendar, - QuantLib::BusinessDayConvention businessDayConvention, - const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, - QuantLib::Compounding compounding = QuantLib::Simple, - QuantLib::Frequency frequency = QuantLib::Annual); - - ForwardRateAgreement( - const QuantLib::Date& valueDate, - const QuantLib::Date& maturityDate, - QuantLib::Position::Type type, - QuantLib::Rate strike, - double notional, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! QuantLib::Compounding compounding = QuantLib::Simple); }; --- 35,40 ---- QuantLib::Rate strike, double notional, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); }; Index: forwardrateagreement.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** forwardrateagreement.cpp 16 Jun 2006 17:37:17 -0000 1.6 --- forwardrateagreement.cpp 10 Jul 2006 18:10:30 -0000 1.7 *************** *** 33,69 **** QuantLib::Rate strike, double notional, - long settlementDays, - const QuantLib::DayCounter& dayCount, - const QuantLib::Calendar& calendar, - QuantLib::BusinessDayConvention businessDayConvention, - const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, - QuantLib::Compounding compounding, - QuantLib::Frequency frequency) - { - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( - new QuantLib::ForwardRateAgreement(valueDate, - maturityDate, - type, - strike, - notional, - settlementDays, - dayCount, - calendar, - businessDayConvention, - hYTS, - compounding, - frequency - )); - } - - ForwardRateAgreement::ForwardRateAgreement( - const QuantLib::Date& valueDate, - const QuantLib::Date& maturityDate, - QuantLib::Position::Type type, - QuantLib::Rate strike, - double notional, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! QuantLib::Compounding compounding) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( --- 33,38 ---- QuantLib::Rate strike, double notional, const boost::shared_ptr<QuantLib::Xibor>& index, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( *************** *** 74,80 **** notional, index, ! hYTS, ! compounding ! )); } --- 43,47 ---- notional, index, ! hYTS)); } |
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From: Katiuscia M. <kma...@us...> - 2006-07-10 18:10:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20572/gensrc/metadata Modified Files: forwardrateagreement.xml Log Message: in synch with QuantLib 0.3.13 Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** forwardrateagreement.xml 4 Jul 2006 10:06:52 -0000 1.8 --- forwardrateagreement.xml 10 Jul 2006 18:10:30 -0000 1.9 *************** *** 8,11 **** --- 8,12 ---- <Functions> + <Constructor name='qlFRA'> <libraryFunction>ForwardRateAgreement</libraryFunction> *************** *** 38,110 **** <description>Notional Amount</description> </Parameter> - <Parameter name='settlementDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement days</description> - </Parameter> - <Parameter name='dayCount' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual360)</description> - </Parameter> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> - <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Business Day Convention</description> - </Parameter> - <Parameter name='termStructureID' libraryClass='YieldTermStructure' libToHandle='true'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>discounting term structure</description> - </Parameter> - <Parameter name='compounding' enumeration='QuantLib::Compounding'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> - </Parameter> - <Parameter name='frequency' enumeration='QuantLib::Frequency'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Frequency</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - - <Constructor name='qlFRA2'> - <libraryFunction>ForwardRateAgreement</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='valueDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>value date</description> - </Parameter> - <Parameter name='maturityDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>maturity date</description> - </Parameter> - <Parameter name='position' enumeration='QuantLib::Position::Type'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>instrument position (Long for a purchase, Short for a sale)</description> - </Parameter> - <Parameter name='strike'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>strike rate</description> - </Parameter> - <Parameter name='notional'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>Notional Amount</description> - </Parameter> <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> --- 39,42 ---- *************** *** 117,125 **** <description>discounting term structure</description> </Parameter> - <Parameter name='compounding' enumeration='QuantLib::Compounding'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> - </Parameter> </Parameters> </ParameterList> --- 49,52 ---- |
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From: Ferdinando A. <na...@us...> - 2006-07-10 18:08:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19684/gensrc/metadata Modified Files: enumtypes.xml mathf.xml Log Message: exporting pseudoSqrt and rankReducedSqrt Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** enumtypes.xml 4 Jul 2006 09:06:11 -0000 1.2 --- enumtypes.xml 10 Jul 2006 18:08:20 -0000 1.3 *************** *** 9,12 **** --- 9,27 ---- <Enumeration> + <type>QuantLib::SalvagingAlgorithm::Type</type> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>None</string> + <value>QuantLib::SalvagingAlgorithm::None</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>Spectral</string> + <value>QuantLib::SalvagingAlgorithm::Spectral</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + + <Enumeration> <type>QuantLib::PriceType</type> <constructor>true</constructor> Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** mathf.xml 4 Jul 2006 13:38:46 -0000 1.7 --- mathf.xml 10 Jul 2006 18:08:20 -0000 1.8 *************** *** 5,8 **** --- 5,9 ---- <include>ql/Functions/mathf.hpp</include> <include>ql/Math/primenumbers.hpp</include> + <include>ql/Math/pseudosqrt.hpp</include> <include>qlo/symmetricschurdecomposition.hpp</include> <include>qlo/mathf.hpp</include> *************** *** 179,182 **** --- 180,244 ---- </ParameterList> </Constructor> + + <!-- Matrix functions --> + + <Procedure name="qlPseudoSqrt"> + <description>Returns the pseudo square root of a real symmetric matrix.</description> + <functionCategory>QuantLib</functionCategory> + <alias>QuantLib::pseudoSqrt</alias> + <ParameterList> + <Parameters> + <Parameter name="matrix" libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>symmetric matrix (hopefully positive semi-definite at least)</description> + </Parameter> + <Parameter name='salvagingAlgorithm' enumeration='QuantLib::SalvagingAlgorithm::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Salvaging algorithm for symmetric matrix not positive semi-definite (None, Spectral)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Procedure> + + <Procedure name="qlRankReducedSqrt"> + <description>Returns the rank reduced pseudo square root of a real symmetric matrix.</description> + <functionCategory>QuantLib</functionCategory> + <alias>QuantLib::rankReducedSqrt</alias> + <ParameterList> + <Parameters> + <Parameter name="matrix" libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>symmetric matrix (hopefully positive semi-definite at least)</description> + </Parameter> + <Parameter name="maxRank"> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>number of principal components retained, i.e. max rank for the result matrix</description> + </Parameter> + <Parameter name="componentPercentage"> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>principal components retained as percentage of eigenvalues' sum</description> + </Parameter> + <Parameter name='salvagingAlgorithm' enumeration='QuantLib::SalvagingAlgorithm::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Salvaging algorithm for symmetric matrix not positive semi-definite (None, Spectral)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Procedure> + </Functions> |
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From: Eric E. <eri...@us...> - 2006-07-10 13:58:47
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26647/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp typefactory.hpp Log Message: link enumerated EURIBORs to a global Handle<YieldTermStructure> Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** enumclassctors.cpp 10 Jul 2006 11:24:57 -0000 1.5 --- enumclassctors.cpp 10 Jul 2006 13:58:41 -0000 1.6 *************** *** 225,347 **** /* *** Euribor *** */ ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::EuriborSW(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor2W(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor3W(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor1M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor2M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor3M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor4M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor5M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor6M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor7M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor8M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor9M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor10M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor11M(handleYieldTermStructure)); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y( ! const std::string& handleYieldTermStructureID) { ! QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure = ! libToHandle<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure> ! (handleYieldTermStructureID); return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor1Y(handleYieldTermStructure)); } --- 225,302 ---- /* *** Euribor *** */ ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::EuriborSW( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor2W( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor3W( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor1M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor2M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor3M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor4M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor5M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor6M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor7M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor8M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor9M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor10M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor11M( ! EuriborHandle::instance().handleYieldTermStructure())); } ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y() { return boost::shared_ptr<QuantLib::Euribor>( ! new QuantLib::Euribor1Y( ! EuriborHandle::instance().handleYieldTermStructure())); } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** enumclassctors.hpp 10 Jul 2006 11:24:57 -0000 1.5 --- enumclassctors.hpp 10 Jul 2006 13:58:41 -0000 1.6 *************** *** 105,138 **** /* *** Euribor *** */ ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M( ! const std::string& handleYieldTermStructureID); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y( ! const std::string& handleYieldTermStructureID); /* *** YieldTermStructure *** */ --- 105,123 ---- /* *** Euribor *** */ ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_SW(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2W(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3W(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_2M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_3M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_4M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_5M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_6M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_7M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_8M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_9M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_10M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_11M(); ! boost::shared_ptr<QuantLib::Euribor> EURIBOR_1Y(); /* *** YieldTermStructure *** */ Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** typefactory.hpp 10 Jul 2006 11:24:57 -0000 1.17 --- typefactory.hpp 10 Jul 2006 13:58:41 -0000 1.18 *************** *** 208,211 **** --- 208,226 ---- }; + // a singleton to store the Handle<YieldTermStructure> + // shared by all enumerated Euribor classes + class EuriborHandle : public QuantLib::Singleton<EuriborHandle> { + friend class QuantLib::Singleton<EuriborHandle>; + public: + const QuantLib::Handle<QuantLib::YieldTermStructure> &handleYieldTermStructure() const { + return handleYieldTermStructure_; + } + void linkEuriborHandle(boost::shared_ptr<QuantLib::YieldTermStructure> yieldTermStructure) { + handleYieldTermStructure_.linkTo(yieldTermStructure); + } + private: + QuantLib::Handle<QuantLib::YieldTermStructure> handleYieldTermStructure_; + }; + /* *** YieldTermStructure *** */ typedef boost::shared_ptr<QuantLib::YieldTermStructure>(*YieldTermStructureConstructor)( |
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From: Eric E. <eri...@us...> - 2006-07-10 13:58:46
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26647/gensrc/metadata Modified Files: index.xml Log Message: link enumerated EURIBORs to a global Handle<YieldTermStructure> Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** index.xml 4 Jul 2006 10:06:52 -0000 1.4 --- index.xml 10 Jul 2006 13:58:41 -0000 1.5 *************** *** 148,151 **** --- 148,170 ---- </Constructor> + <Procedure name='qlSetEuriborTermStructure'> + <description>set the yield term structure which is linked to by the handle shared by all enumerated Euribor objects</description> + <functionCategory>QuantLib</functionCategory> + <alias>QuantLibAddin::EuriborHandle::instance().linkEuriborHandle</alias> + <ParameterList> + <Parameters> + <Parameter name='termStructureID' libraryClass='YieldTermStructure' handleToLib='true'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>yield term structure to be referenced by all enumerated Euribor objects</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Procedure> + </Functions> </Category> |
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From: Eric E. <eri...@us...> - 2006-07-10 13:08:21
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28505 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** todo.csv 4 Jul 2006 17:07:57 -0000 1.30 --- todo.csv 10 Jul 2006 13:08:17 -0000 1.31 *************** *** 1,72 **** "project","subproject","task","status","hours","priority","comp date","comment" ,,,,,,, ! "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold","- -",,,"requires redesign to allow multiple XLLs to share global Registry" ! "QLA","Enumerations","remove Create<> code from QLO ctors Create<> code to appear only in autogenerated Addin code","cancelled",0,,,"this is required when QLO classes wrap ECs" ! "QLA","Enumerations","transfer Calendar, DayCounter, Currency from ET -> EC","cancelled",2,,,"these belong as Enumerated Types" ! "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",4,,04/07/2006, ! "QLA","Enumerations","ET ctors use explicit ctors instead of default i.e. use ""HongKong::HKEx"" not ""HongKong""","done",0,,04/07/2006, ! "QLA","Enumerations","port gensrc EnumerationMember functionality from ETs -> ECs","done",4,,04/07/2006, ! "QLA","Enumerations","extend support for mixing ECs/Objects e.g. Calendar/JointCalendar, Index/EuriborXX","done",2,,04/07/2006, ! "QLA","Enumerations","implement EuriborXX as EC","done",2,,04/07/2006, ! "QLA","Enumerations","implement autogeneration of source code for ECs","done",2,,02/07/2006, ! "QLA","Enumerations","remove PricingEngine, StrikedTypePayoff from EC and implement as normal objects","done",4,,30/06/2006, ! "QLA","Enumerations","rename Enumerations->Enumerated Types (ETs), Complex Types->Enumerated Classes (ECs)","done",0,,29/06/2006, ! ,,,,,,, ! "QLA","Design","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class",,,0,, ! "QLA","Design","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template",,,0,, ! "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",,1,,"use id instead of instance name ???" ! "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",,1,18/06/2006,"also revise GC/deletion for permanent/nonpermanent objects" ! "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",,0,15/06/2006,"need to add support for creation of empty QuantLib::Handle" ! "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",,1,31/05/2006, ! ,,,,,,, ! "OH","Functions","ohPack() broken not removing empty cells from end of range e.g. for timeseries",,,1,, ! "gensrc",,"add support for QuantLib::Array as output","done",,1,04/07/2006,"e.g. qlEigenValues()" ! ,,,,,,, ! "gensrc",,"coercion implicit conversion between required datatypes for function input/output parameters",,,1,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." ! "gensrc",,"Function Wizard disabled by default","done",,1,04/07/2006, ! "gensrc",,"fix problem with implicit conversion for return values of type Rate/Spread/DiscountFactor/Time (double typedefs)","done",,1,04/07/2006, ! "gensrc",,"remove description of return value from function metadata","done",,,04/07/2006, ! "gensrc",,"complete the separation of core gensrc functionality from platform- and library-specific functionality",,,1,, ! "gensrc",,"add optional long description to function metadata",,,,, ! ,,"Handle - automate conversions so it's not necessary for developer to implement linkTo for every class",,,,, ! ,,"enumeration as return value (string) should be same as the input value Period, DayCounter",,,1,, ! ,,"performance profile of workbook YieldCurveMonitor.xls",,,,, ! ,,"YC bootstrap fails if workbook RateHelpers.xls is open",,,,, ! ,,"raise exception if trigger parameter has value of #ERR!/#NULL!",,,,, ! ,,"calculate memory usage of repository",,,,, ! ,,"count the number of functions available in the addin",,,,,"can you get this from the help file?" ! ,,"when input vector passed to loop function convert inputs on each loop iteration and catch exceptions one-by-one",,,,, ! ,,"Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,,,, ! ,,"delete VanillaOption->setEngine()","cancelled",,,,"can't until pricing engines are converted into objects" ! ,,"add support for Matrix as input / output","done",,,, ! ,,"add VC8 makefile to generate .chm documentation from metadata","done",,,16/06/2006, ! ,,"in autogenerated code - suppress call to objectPointer->setPermanent() if input parameter permanent is FALSE","done",,,15/06/2006, ! ,,"don't rely on try/catch to control processing flow for deriving Enumerations (in templates in qla/conversions.hpp)","done",,,16/06/2006, ! ,,"add facility to query the most recent error message","done",,,16/06/2006, ,,,,,,, ! "OH","Design","""reflection"" - support member functions dynamically",,,3,, "OH","Design","update design doc",,,3,, ! "OH","Design","allow objects to be grouped",,,3,, ! "OH","Functions","ohPack() - resolve flags and values","done",,1,14/06/2006, "QLA","Design","discontinue support for VC6","in progress",,3,, - "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,,3,, - "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly","done",,1,, - "QLA","Design","#include fewer headers to speed compilation",,,2,, - "QLA","Design","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,,2,, "QLA","Design","use Excel SmartTags to allow interrogation of objects",,,3,, "QLA","Design","improve formatting of log messages",,,3,, ! "QLA","Design","transfer qla/typefactory.hpp, qla/typeregistry to ObjectHandler?",,,,, ! "QLA","Docs","autogenerate documentation for datatype and default value",,,2,, ! "QLA","Docs","provide more descriptive explanations of input/output parameters",,,2,, ! "QLA","Docs","examples in Technical Documentation relate to Functional",,,,,"?" ! "QLA","Enumerations","is Convention an enumeration?",,,2,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,,2,, ! "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector",,,,,"is there an example of an enum list containing 1 item?" ! "QLA","Enumerations","take enumeration description from metadata",,,,, ! "QLA","Excel binding","categorize function names in Excel Function Wizard","on hold",,1,20/04/2006,"conflict with Adfin addin" ! "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",,1,14/06/2006,"also required for ctors otherwise GC breaks" ! "QLA","Functions","port old QLXL functionality into new QLXL",,,2,, "QLA","Functions","qlSwapLegAnalysis() to provide column headers in output",,,3,, - "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA ?",,,,, "QLA","General Support","C++ examples - add VOs, NPV calculations",,,3,, "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,,3,, --- 1,38 ---- "project","subproject","task","status","hours","priority","comp date","comment" ,,,,,,, ! "gensrc","Design","coercion implicit conversion between required datatypes for function input/output parameters",,,1,,"date->EuropeanExercise, volatility->BlackSwaptionEngine, etc." ! "gensrc","Design","complete the separation of core gensrc functionality from platform- and library-specific functionality",,,1,, ! "OH","Functions","ohPack() broken not removing empty cells from end of range e.g. for timeseries","???",,1,,"unable to recreate the problem" ! "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","Excel binding","categorize function names in Excel Function Wizard","on hold",,1,,"conflict with Adfin addin" ! "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files",,,1,, ! "QLA","Design","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,,2,, ! "QLA","Design","#include fewer headers to speed compilation",,,2,, ! "QLA","Docs","autogenerate documentation for datatype and default value",,,2,, ! "QLA","Functions","port old QLXL functionality into new QLXL",,,2,, ! "QLA","VBA framework","design for real-time live feed",,,2,, ! "OH","Design","allow objects to be grouped",,,3,, ! "gensrc","Design","Handle - automate conversions so it's not necessary for developer to implement linkTo for every class",,,,, ! "OH","Design","Object to hold reference to CallingRange so we can support Object->isOrphaned() etc.",,,,, ! "QLA","Design","raise exception if trigger parameter has value of #ERR!/#NULL!",,,,, ! "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector",,,,,"is there an example of an enum list containing 1 item?" ! "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA ?",,,,, ! "QLA","General Support","YC bootstrap fails if workbook RateHelpers.xls is open",,,,, ! "QLA","General Support","performance profile of workbook YieldCurveMonitor.xls",,,,, ! "QLA","General Support","calculate memory usage of repository",,,,, ! "QLA","General Support","count the number of functions available in the addin","???",,,,"can you get this from the help file?" ,,,,,,, ! "QLA","Docs","provide more descriptive explanations of input/output parameters",,,2,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,,2,, ! "QLA","Enumerations","is Convention an enumeration?",,,2,, ! "QLA","VBA framework","interrogate object repository",,,2,,"Plamen?" "OH","Design","update design doc",,,3,, ! "OH","Design","""reflection"" - support member functions dynamically",,,3,, "QLA","Design","discontinue support for VC6","in progress",,3,, "QLA","Design","use Excel SmartTags to allow interrogation of objects",,,3,, "QLA","Design","improve formatting of log messages",,,3,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,,3,, "QLA","Functions","qlSwapLegAnalysis() to provide column headers in output",,,3,, "QLA","General Support","C++ examples - add VOs, NPV calculations",,,3,, "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,,3,, *************** *** 74,151 **** "QLA","gensrc","Provide schema for XML",,,3,, "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,,3,, - "QLA","VBA framework","design for real-time live feed",,,2,, - "QLA","VBA framework","interrogate object repository",,,2,,"Plamen?" - "QLA","VBA framework","network launcher/updater for VBA framework - to point to different environments / configuration files",,,1,, "QLA","VBA framework","access logfile",,,3,, "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","in progress",,,, - "QLA","INDEX","get/set fixing for given date",,,2,,"?" ,,,,,,, "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,,01/05/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",,3,26/04/2006, ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",,3,27/04/2006, "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,,07/05/2006, ! "OH","Design","support for retrieval of undecorated handles","done",,1,30/04/2006,"fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",,3,26/04/2006, ! "OH","Design","class FunctionCall to encapsulate function state","done",,2,26/04/2006, "OH","Design","include cell address in error message?","done",,3,01/05/2006, "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",,2,26/04/2006,"renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",,1,18/05/2006, ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,,18/05/2006, ! "OH","Functions","remove EO macro / function","done",,3,21/04/2006, "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",,1,,"looks OK now?" "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,,"it works OK" "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,,01/05/2006,"it doesn't" ! "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",,3,05/08/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",,1,28/04/2006,"always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,,23/05/2006, ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",,1,30/04/2006,"this change will probably be reversed" "QLA","Design","export IMM dates e.g. H7 -> date","done",,,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,,28/04/2006, ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",,2,28/04/2006,"also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,,27/04/2006, ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,,21/04/2006, ! "QLA","Docs","installation - refer to Release build not Debug","done",,3,21/04/2006, "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",,3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",,2,21/04/2006,"not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,,18/05/2006,"retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,,20/04/2006,"not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,,20/04/2006,"not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",,2,26/04/2006, ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",,1,27/04/2006, "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,,, "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,,08/05/2006, ! "QLA","Functions","qlGetDf() to return vector","done",,2,21/04/2006,"renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",,1,26/04/2006, ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",,1,18/05/2006, "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",,2,08/05/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",,3,28/04/2006,"thanks to Joe Byers" "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,,03/05/2006, "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,,19/04/2006, ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,,19/04/2006, ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",,3,19/05/2006, "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",,3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,,26/04/2006,"the tag is in use" "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,,06/05/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,,26/04/2006, ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",,3,30/04/2006, "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,,06/05/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,,26/04/2006, ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,,28/04/2006, ! "QLA","gensrc","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,,23/05/2006, ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",,3,23/05/2006, "QLA","VBA framework","load XLLs","done",,1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,,18/04/2006, ! "QLA","VBA framework","skeleton structure","done",,,18/04/2006, "QLA","VBA framework","create trade/market workbooks from templates","done",,1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,,18/04/2006, ! "QLA","Workstation Document","explanation of runtime libraries","done",,2,21/04/2006, ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",,2,21/04/2006, ! "QLA","Workstation Document","document use of Addin Manager","done",,2,28/04/2006, ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,,28/04/2006, ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,,28/04/2006, "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","cancelled",,2,,"lazy instantiation?" ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","done",,2,14/06/2006, "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",,3,09/06/2006,"consolidate code for returning object references" "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","done",,1,12/06/2006,"represent stateful objects as singletons rather than Enumerations?" --- 40,151 ---- "QLA","gensrc","Provide schema for XML",,,3,, "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,,3,, "QLA","VBA framework","access logfile",,,3,, + "gensrc","Design","add optional long description to function metadata",,,,, + "QLA","Docs","examples in Technical Documentation relate to Functional",,,,,"?" + "QLA","Enumerations","take enumeration description from metadata",,,,, "QLA","VBA framework","menu options to load/unload XLL/XLA implement as toggle","in progress",,,, ,,,,,,, + "QLA","Enumerations","QLO ctors which switch on ETs implement for YieldTermStructure, Extrapolator, PricingEngine(?)","done",4,,04/07/2006, + "QLA","Enumerations","ET ctors use explicit ctors instead of default i.e. use ""HongKong::HKEx"" not ""HongKong""","done",0,,04/07/2006, + "QLA","Enumerations","port gensrc EnumerationMember functionality from ETs -> ECs","done",4,,04/07/2006, + "QLA","Enumerations","extend support for mixing ECs/Objects e.g. Calendar/JointCalendar, Index/EuriborXX","done",2,,04/07/2006, + "QLA","Enumerations","implement EuriborXX as EC","done",2,,04/07/2006, + "QLA","Enumerations","implement autogeneration of source code for ECs","done",2,,02/07/2006, + "QLA","Enumerations","remove PricingEngine, StrikedTypePayoff from EC and implement as normal objects","done",4,,06/30/2006, + "QLA","Enumerations","rename Enumerations->Enumerated Types (ETs), Complex Types->Enumerated Classes (ECs)","done",0,,06/30/2006, + "QLA","Enumerations","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class","done",,,04/07/2006, + "QLA","Enumerations","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template","done",,,04/07/2006, + "QLA","Enumerations","port ET/EC registry from QuantLibXL to ObjectHandler","on hold","- -",,,"requires redesign to allow multiple XLLs to share global Registry" + "QLA","Enumerations","remove Create<> code from QLO ctors Create<> code to appear only in autogenerated Addin code","cancelled",0,,,"this is required when QLO classes wrap ECs" + "QLA","Enumerations","transfer Calendar, DayCounter, Currency from ET -> EC","cancelled",2,,,"these belong as Enumerated Types" + ,,,,,,, + "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",,1,06/18/2006,"also revise GC/deletion for permanent/nonpermanent objects" + "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",,0,06/15/2006,"need to add support for creation of empty QuantLib::Handle" + "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",,1,05/31/2006, + "OH","Functions","ohPack() - resolve flags and values","done",,1,06/14/2006, + ,,,,,,, + "gensrc","Design","add support for QuantLib::Array as output","done",,1,04/07/2006,"e.g. qlEigenValues()" + "gensrc","Design","Function Wizard disabled by default","done",,1,04/07/2006, + "gensrc","Design","fix problem with implicit conversion for return values of type Rate/Spread/DiscountFactor/Time (double typedefs)","done",,1,04/07/2006, + "gensrc","Design","remove description of return value from function metadata","done",,,04/07/2006, + ,,,,,,, + "QLA","Functions","delete VanillaOption->setEngine()","done",,,10/07/2006, + "QLA","Design","when input vector passed to loop function convert inputs on each loop iteration and catch exceptions one-by-one","done",,,05/31/2006, + "QLA","Functions","add support for Matrix as input / output","done",,,, + "QLA","Documentation","add VC8 makefile to generate .chm documentation from metadata","done",,,06/16/2006, + "QLA","Design","in autogenerated code - suppress call to objectPointer->setPermanent() if input parameter permanent is FALSE","done",,,06/15/2006, + "QLA","Design","don't rely on try/catch to control processing flow for deriving Enumerations (in templates in qla/conversions.hpp)","done",,,06/16/2006, + "QLA","Design","add facility to query the most recent error message","done",,,06/16/2006, + ,,,,,,, + "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly","done",,1,, "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,,01/05/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",,3,04/26/2006, ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",,3,04/27/2006, "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,,07/05/2006, ! "OH","Design","support for retrieval of undecorated handles","done",,1,04/30/2006,"fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",,3,04/26/2006, ! "OH","Design","class FunctionCall to encapsulate function state","done",,2,04/26/2006, "OH","Design","include cell address in error message?","done",,3,01/05/2006, "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",,2,04/26/2006,"renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",,1,05/18/2006, ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,,05/18/2006, ! "OH","Functions","remove EO macro / function","done",,3,04/21/2006, "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",,1,,"looks OK now?" "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,,"it works OK" "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,,01/05/2006,"it doesn't" ! "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",,3,08/05/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",,1,04/28/2006,"always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,,05/23/2006, ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",,1,04/30/2006,"this change will probably be reversed" "QLA","Design","export IMM dates e.g. H7 -> date","done",,,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,,04/28/2006, ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",,2,04/28/2006,"also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,,04/27/2006, ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,,04/21/2006, ! "QLA","Docs","installation - refer to Release build not Debug","done",,3,04/21/2006, "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",,3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",,2,04/21/2006,"not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,,05/18/2006,"retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,,04/20/2006,"not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,,04/20/2006,"not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",,2,04/26/2006, ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",,1,04/27/2006, "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,,, "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,,08/05/2006, ! "QLA","Functions","qlGetDf() to return vector","done",,2,04/21/2006,"renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",,1,04/26/2006, ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",,1,05/18/2006, "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",,2,08/05/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",,3,04/28/2006,"thanks to Joe Byers" "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,,03/05/2006, "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,,04/19/2006, ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,,04/19/2006, ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",,3,05/19/2006, "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",,3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,,04/26/2006,"the tag is in use" "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,,06/05/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,,04/26/2006, ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",,3,04/30/2006, "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,,06/05/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,,04/26/2006, ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,,04/28/2006, ! "QLA","gensrc","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,,05/23/2006, ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",,3,05/23/2006, "QLA","VBA framework","load XLLs","done",,1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,,04/18/2006, ! "QLA","VBA framework","skeleton structure","done",,,04/18/2006, "QLA","VBA framework","create trade/market workbooks from templates","done",,1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,,04/18/2006, ! "QLA","Workstation Document","explanation of runtime libraries","done",,2,04/21/2006, ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",,2,04/21/2006, ! "QLA","Workstation Document","document use of Addin Manager","done",,2,04/28/2006, ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,,04/28/2006, ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,,04/28/2006, "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","cancelled",,2,,"lazy instantiation?" ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","done",,2,06/14/2006, "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",,3,09/06/2006,"consolidate code for returning object references" "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","done",,1,12/06/2006,"represent stateful objects as singletons rather than Enumerations?" + "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",,1,06/14/2006,"also required for ctors otherwise GC breaks" + "QLA","INDEX","get/set fixing for given date","done",,2,,"?" |
|
From: Eric E. <eri...@us...> - 2006-07-10 11:25:01
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7886/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp pricingengines.cpp typefactory.hpp Log Message: use same signature for all pricing engine constructors Index: pricingengines.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** pricingengines.cpp 29 Jun 2006 15:02:31 -0000 1.8 --- pricingengines.cpp 10 Jul 2006 11:24:57 -0000 1.9 *************** *** 30,34 **** PricingEngine::PricingEngine(const std::string &engineID) { ! libraryObject_ = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID); } --- 30,34 ---- PricingEngine::PricingEngine(const std::string &engineID) { ! libraryObject_ = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, 1); } Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** enumclassctors.cpp 4 Jul 2006 17:07:56 -0000 1.4 --- enumclassctors.cpp 10 Jul 2006 11:24:57 -0000 1.5 *************** *** 65,121 **** } ! /* *** PricingEngine - without timesteps *** */ ! boost::shared_ptr<QuantLib::PricingEngine> AB_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticBarrierEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> AC_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticCliquetEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ACGAPA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ADA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDigitalAmericanEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ADGAPA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ADE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDividendEuropeanEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> AE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticEuropeanEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> AP_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticPerformanceEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> BAWA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BaroneAdesiWhaleyApproximationEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> I_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::IntegralEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> BSA_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BjerksundStenslandApproximationEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> PE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine>(); } ! boost::shared_ptr<QuantLib::PricingEngine> SE_Engine() { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::StulzEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> FE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); --- 65,121 ---- } ! /* *** PricingEngine - timesteps ignored *** */ ! boost::shared_ptr<QuantLib::PricingEngine> AB_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticBarrierEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> AC_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticCliquetEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ACGAPA_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ADA_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDigitalAmericanEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ADGAPA_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> ADE_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticDividendEuropeanEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> AE_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticEuropeanEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> AP_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::AnalyticPerformanceEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> BAWA_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BaroneAdesiWhaleyApproximationEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> I_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::IntegralEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> BSA_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::BjerksundStenslandApproximationEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> PE_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine>(); } ! boost::shared_ptr<QuantLib::PricingEngine> SE_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( new QuantLib::StulzEngine); } ! boost::shared_ptr<QuantLib::PricingEngine> FE_Engine(const long& timeSteps) { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); *************** *** 124,128 **** QuantLib::VanillaOption::results>(underlyingEngine)); } ! boost::shared_ptr<QuantLib::PricingEngine> FPE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); --- 124,128 ---- QuantLib::VanillaOption::results>(underlyingEngine)); } ! boost::shared_ptr<QuantLib::PricingEngine> FPE_Engine(const long& timeSteps) { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); *************** *** 132,136 **** QuantLib::VanillaOption::results>(underlyingEngine)); } ! boost::shared_ptr<QuantLib::PricingEngine> QE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); --- 132,136 ---- QuantLib::VanillaOption::results>(underlyingEngine)); } ! boost::shared_ptr<QuantLib::PricingEngine> QE_Engine(const long& timeSteps) { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); *************** *** 139,143 **** QuantLib::VanillaOption::results>(underlyingEngine)); } ! boost::shared_ptr<QuantLib::PricingEngine> QFE_Engine() { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); --- 139,143 ---- QuantLib::VanillaOption::results>(underlyingEngine)); } ! boost::shared_ptr<QuantLib::PricingEngine> QFE_Engine(const long& timeSteps) { boost::shared_ptr<QuantLib::VanillaOption::engine> underlyingEngine(new QuantLib::AnalyticEuropeanEngine); *************** *** 150,154 **** } ! /* *** PricingEngine - with timesteps *** */ boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( --- 150,154 ---- } ! /* *** PricingEngine - timesteps required *** */ boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps) { return boost::shared_ptr<QuantLib::PricingEngine> ( Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** enumclassctors.hpp 4 Jul 2006 17:07:56 -0000 1.4 --- enumclassctors.hpp 10 Jul 2006 11:24:57 -0000 1.5 *************** *** 58,81 **** const double &strikeIncrement); ! /* *** PricingEngine - without timesteps *** */ ! boost::shared_ptr<QuantLib::PricingEngine> AB_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> AC_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> ACGAPA_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> ADA_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> ADGAPA_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> ADE_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> AE_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> AP_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> BAWA_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> I_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> BSA_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> PE_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> SE_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> FE_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> FPE_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> QE_Engine(); ! boost::shared_ptr<QuantLib::PricingEngine> QFE_Engine(); ! /* *** PricingEngine - with timesteps *** */ boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> CRR_Engine(const long& timeSteps); --- 58,81 ---- const double &strikeIncrement); ! /* *** PricingEngine - timesteps ignored *** */ ! boost::shared_ptr<QuantLib::PricingEngine> AB_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> AC_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> ACGAPA_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> ADA_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> ADGAPA_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> ADE_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> AE_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> AP_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> BAWA_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> I_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> BSA_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> PE_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> SE_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> FE_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> FPE_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> QE_Engine(const long& timeSteps); ! boost::shared_ptr<QuantLib::PricingEngine> QFE_Engine(const long& timeSteps); ! /* *** PricingEngine - timesteps required *** */ boost::shared_ptr<QuantLib::PricingEngine> AEQPB_Engine(const long& timeSteps); boost::shared_ptr<QuantLib::PricingEngine> CRR_Engine(const long& timeSteps); Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** typefactory.hpp 4 Jul 2006 17:07:56 -0000 1.16 --- typefactory.hpp 10 Jul 2006 11:24:57 -0000 1.17 *************** *** 138,143 **** /* *** PricingEngine *** */ ! typedef boost::shared_ptr<QuantLib::PricingEngine>(*PricingEngineConstructor1)(); ! typedef boost::shared_ptr<QuantLib::PricingEngine>(*PricingEngineConstructor2)( const long&); --- 138,142 ---- /* *** PricingEngine *** */ ! typedef boost::shared_ptr<QuantLib::PricingEngine>(*PricingEngineConstructor)( const long&); *************** *** 146,159 **** private RegistryManager<QuantLib::PricingEngine, EnumClassRegistry> { public: - boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID) { - PricingEngineConstructor1 pricingEngineConstructor = - getType<std::string, PricingEngineConstructor1>(engineID); - return pricingEngineConstructor(); - } boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID, const long& timeSteps) { QL_REQUIRE(timeSteps>0, "timeSteps must be positive"); // FIXME move this validation into QL ! PricingEngineConstructor2 pricingEngineConstructor = ! getType<std::string, PricingEngineConstructor2>(engineID); return pricingEngineConstructor(timeSteps); } --- 145,153 ---- private RegistryManager<QuantLib::PricingEngine, EnumClassRegistry> { public: boost::shared_ptr<QuantLib::PricingEngine> operator()(const std::string& engineID, const long& timeSteps) { QL_REQUIRE(timeSteps>0, "timeSteps must be positive"); // FIXME move this validation into QL ! PricingEngineConstructor pricingEngineConstructor = ! getType<std::string, PricingEngineConstructor>(engineID); return pricingEngineConstructor(timeSteps); } *************** *** 214,219 **** }; - - /* *** YieldTermStructure *** */ typedef boost::shared_ptr<QuantLib::YieldTermStructure>(*YieldTermStructureConstructor)( --- 208,211 ---- |
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From: Eric E. <eri...@us...> - 2006-07-10 11:25:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7886/gensrc/metadata Modified Files: pricingengines.xml Log Message: use same signature for all pricing engine constructors Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** pricingengines.xml 29 Jun 2006 15:02:31 -0000 1.8 --- pricingengines.xml 10 Jul 2006 11:24:57 -0000 1.9 *************** *** 29,33 **** </Constructor> ! <Constructor name='qlPricingEngine2'> <libraryFunction>PricingEngine</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 29,33 ---- </Constructor> ! <Constructor name='qlBinomialPricingEngine'> <libraryFunction>PricingEngine</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 39,43 **** <description>engine type</description> </Parameter> ! <Parameter name='timeSteps' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> --- 39,43 ---- <description>engine type</description> </Parameter> ! <Parameter name='timeSteps'> <type>long</type> <tensorRank>scalar</tensorRank> |
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From: Eric E. <eri...@us...> - 2006-07-10 09:40:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29260/qlo Modified Files: vanillaoption.cpp vanillaoption.hpp Log Message: implement qlSetPricingEngine() as member of Instrument not VanillaOption Index: vanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** vanillaoption.hpp 29 Jun 2006 16:52:12 -0000 1.6 --- vanillaoption.hpp 10 Jul 2006 09:40:12 -0000 1.7 *************** *** 33,39 **** const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); - bool setEngine( - const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine); - }; --- 33,36 ---- Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** vanillaoption.cpp 29 Jun 2006 16:52:12 -0000 1.5 --- vanillaoption.cpp 10 Jul 2006 09:40:12 -0000 1.6 *************** *** 43,52 **** } - bool VanillaOption::setEngine( - const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) { - libraryObject_->setPricingEngine(pricingEngine); - return true; - } - } --- 43,46 ---- |
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From: Eric E. <eri...@us...> - 2006-07-10 09:40:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29260/gensrc/metadata Modified Files: instruments.xml options.xml Log Message: implement qlSetPricingEngine() as member of Instrument not VanillaOption Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** options.xml 4 Jul 2006 10:06:53 -0000 1.9 --- options.xml 10 Jul 2006 09:40:11 -0000 1.10 *************** *** 252,274 **** </Constructor> - <Member name='qlOptionSetEngine' objectClass='VanillaOption'> - <description>change the pricing engine of an existing Option object</description> - <libraryFunction>setEngine</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='pricingEngine' libraryClass='PricingEngine'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>pricing engine</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>bool</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <Constructor name='qlVanillaOption'> <libraryFunction>VanillaOption</libraryFunction> --- 252,255 ---- Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** instruments.xml 4 Jul 2006 10:06:52 -0000 1.10 --- instruments.xml 10 Jul 2006 09:40:11 -0000 1.11 *************** *** 4,7 **** --- 4,8 ---- <includes> <include>qlo/baseinstruments.hpp</include> + <include>qlo/pricingengines.hpp</include> </includes> <copyright> *************** *** 69,73 **** </Member> </Functions> </Category> - --- 70,92 ---- </Member> + <Member name='qlSetPricingEngine' libraryClass='Instrument'> + <description>change the pricing engine of an instrument</description> + <libraryFunction>setPricingEngine</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='pricingEngine' libraryClass='PricingEngine'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>pricing engine</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-07-06 14:09:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26118 Modified Files: QuantLibObjects.vcproj Log Message: Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** QuantLibObjects.vcproj 5 Jul 2006 19:27:48 -0000 1.20 --- QuantLibObjects.vcproj 6 Jul 2006 14:09:24 -0000 1.21 *************** *** 411,414 **** --- 411,420 ---- </File> <File + RelativePath=".\qlo\vo_marketmodels.cpp"> + </File> + <File + RelativePath=".\qlo\vo_marketmodels.hpp"> + </File> + <File RelativePath="qlo\vo_mathf.cpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-07-06 13:43:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15664/qlo Modified Files: marketmodels.hpp Log Message: Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** marketmodels.hpp 6 Jul 2006 12:22:38 -0000 1.2 --- marketmodels.hpp 6 Jul 2006 13:43:15 -0000 1.3 *************** *** 61,65 **** ! QuantLib::Array drifts(const QuantLib::Matrix& pseudo, std::vector<double> vdisplacements, std::vector<double> vtaus, --- 61,65 ---- ! inline QuantLib::Array drifts(const QuantLib::Matrix& pseudo, std::vector<double> vdisplacements, std::vector<double> vtaus, |
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From: Ferdinando A. <na...@us...> - 2006-07-06 12:22:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15754/gensrc/metadata Modified Files: marketmodels.xml Log Message: Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** marketmodels.xml 6 Jul 2006 12:00:51 -0000 1.2 --- marketmodels.xml 6 Jul 2006 12:22:38 -0000 1.3 *************** *** 476,479 **** --- 476,524 ---- </Constructor> + <Procedure name='qlDrifts'> + <description>returns the drifts</description> + <alias>QuantLibAddin::drifts</alias> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='pseudo' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>Pseudo square root of the covariance matrix</description> + </Parameter> + <Parameter name='displacements'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>displacements</description> + </Parameter> + <Parameter name='taus'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>taus</description> + </Parameter> + <Parameter name='numeraire'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>numeraire</description> + </Parameter> + <Parameter name='alive'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>index of the first rates still alive</description> + </Parameter> + <Parameter name='forwards'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>forwards</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Procedure> + + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-07-06 12:22:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15754/qlo Modified Files: marketmodels.cpp marketmodels.hpp Log Message: Index: marketmodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** marketmodels.hpp 5 Jul 2006 19:27:48 -0000 1.1 --- marketmodels.hpp 6 Jul 2006 12:22:38 -0000 1.2 *************** *** 60,63 **** --- 60,77 ---- }; + + QuantLib::Array drifts(const QuantLib::Matrix& pseudo, + std::vector<double> vdisplacements, + std::vector<double> vtaus, + QuantLib::Size numeraire, + QuantLib::Size alive, + std::vector<double> vforwards) + { + QuantLib::Array drifts(vtaus.size()), displacements(vtaus.size()), taus(vtaus.size()), forwards(vtaus.size()); + QuantLib::DriftCalculator d(pseudo, displacements, taus, numeraire, alive); + d.compute(forwards, drifts); + return drifts; + } + class DriftCalculator : public ObjHandler::LibraryObject<QuantLib::DriftCalculator> { public: Index: marketmodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** marketmodels.cpp 5 Jul 2006 19:27:48 -0000 1.1 --- marketmodels.cpp 6 Jul 2006 12:22:38 -0000 1.2 *************** *** 68,75 **** DriftCalculator::DriftCalculator(const QuantLib::Matrix& pseudo, ! const QuantLib::Array& displacements, ! const QuantLib::Array& taus, ! QuantLib::Size numeraire, ! QuantLib::Size alive) : size_(taus.size()) { --- 68,75 ---- DriftCalculator::DriftCalculator(const QuantLib::Matrix& pseudo, ! const QuantLib::Array& displacements, ! const QuantLib::Array& taus, ! QuantLib::Size numeraire, ! QuantLib::Size alive) : size_(taus.size()) { |
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From: Eric E. <eri...@us...> - 2006-07-06 12:00:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6522/gensrc Modified Files: gensrc_vc8.vcproj Log Message: add conversions for: - std::vector<QuantLib::Array> as input - std::vector<QuantLib::Size> as return value Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** gensrc_vc8.vcproj 2 Jul 2006 15:50:26 -0000 1.15 --- gensrc_vc8.vcproj 6 Jul 2006 12:00:50 -0000 1.16 *************** *** 112,115 **** --- 112,119 ---- </File> <File + RelativePath="metadata\marketmodels.xml" + > + </File> + <File RelativePath="metadata\mathf.xml" > |
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From: Eric E. <eri...@us...> - 2006-07-06 12:00:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6522/gensrc/metadata Modified Files: marketmodels.xml Log Message: add conversions for: - std::vector<QuantLib::Array> as input - std::vector<QuantLib::Size> as return value Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** marketmodels.xml 5 Jul 2006 19:27:48 -0000 1.1 --- marketmodels.xml 6 Jul 2006 12:00:51 -0000 1.2 *************** *** 88,92 **** ! <!--Constructor name='qlExponentialCorrelation'> <libraryFunction>ExponentialCorrelation</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 88,92 ---- ! <Constructor name='qlExponentialCorrelation'> <libraryFunction>ExponentialCorrelation</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 135,139 **** </Parameters> </ParameterList> ! </Constructor--> --- 135,139 ---- </Parameters> </ParameterList> ! </Constructor> *************** *** 180,184 **** </Member> ! <!--Member name='qlEvolutionDescriptionNumeraires' libraryClass='EvolutionDescription'> <description>numeraires for the EvolutionDescription object</description> <libraryFunction>numeraires</libraryFunction> --- 180,184 ---- </Member> ! <Member name='qlEvolutionDescriptionNumeraires' libraryClass='EvolutionDescription'> <description>numeraires for the EvolutionDescription object</description> <libraryFunction>numeraires</libraryFunction> *************** *** 187,195 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>long</type> <tensorRank>vector</tensorRank> </ReturnValue> ! </Member--> <!--Member name='qlEvolutionDescriptionRelevanceRates' libraryClass='EvolutionDescription'--> --- 187,195 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> </ReturnValue> ! </Member> <!--Member name='qlEvolutionDescriptionRelevanceRates' libraryClass='EvolutionDescription'--> *************** *** 221,225 **** </Member> ! <!--Constructor name='qlEvolutionDescription'> <libraryFunction>EvolutionDescription</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 221,225 ---- </Member> ! <Constructor name='qlEvolutionDescription'> <libraryFunction>EvolutionDescription</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 236,240 **** <description>evolution times in the simulation</description> </Parameter> ! <Parameter name='numeraires'> <type>long</type> <tensorRank>vector</tensorRank> --- 236,240 ---- <description>evolution times in the simulation</description> </Parameter> ! <Parameter name='numeraires' libraryType='QuantLib::Size'> <type>long</type> <tensorRank>vector</tensorRank> *************** *** 243,252 **** </Parameters> </ParameterList> ! </Constructor--> <!-- CurveState class interface and costructor --> ! <!--Member name='qlCurveStateSetOnForwardRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>setOnForwardRates</libraryFunction> --- 243,252 ---- </Parameters> </ParameterList> ! </Constructor> <!-- CurveState class interface and costructor --> ! <Member name='qlCurveStateSetOnForwardRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of forward rates</description> <libraryFunction>setOnForwardRates</libraryFunction> *************** *** 265,271 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlCurveStateSetOnDiscountRatios' libraryClass='CurveState'> <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>setOnDiscountRatios</libraryFunction> --- 265,271 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlCurveStateSetOnDiscountRatios' libraryClass='CurveState'> <description>set the CurveState object on given vector of discount ratios</description> <libraryFunction>setOnDiscountRatios</libraryFunction> *************** *** 284,290 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> ! <!--Member name='qlCurveStateSetOnCoterminalSwapRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>setOnCoterminalSwapRates</libraryFunction> --- 284,290 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> ! <Member name='qlCurveStateSetOnCoterminalSwapRates' libraryClass='CurveState'> <description>set the CurveState object on given vector of coterminal swaps</description> <libraryFunction>setOnCoterminalSwapRates</libraryFunction> *************** *** 303,307 **** <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member--> <Member name='qlCurveStateForwardRates' libraryClass='CurveState'> --- 303,307 ---- <tensorRank>scalar</tensorRank> </ReturnValue> ! </Member> <Member name='qlCurveStateForwardRates' libraryClass='CurveState'> *************** *** 407,411 **** </Member> ! <!--Constructor name='qlCurveState'> <libraryFunction>CurveState</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 407,411 ---- </Member> ! <Constructor name='qlCurveState'> <libraryFunction>CurveState</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 419,427 **** </Parameters> </ParameterList> ! </Constructor--> ! <!-- DriftCalculator class interface and costructor --> ! <!--Member name='qlDriftCalculatorCompute' objectClass='DriftCalculator'> <description>compute the drifts using the DriftCalculator object</description> <libraryFunction>compute</libraryFunction> --- 419,427 ---- </Parameters> </ParameterList> ! </Constructor> ! <!-- DriftCalculator class interface and constructor --> ! <Member name='qlDriftCalculatorCompute' objectClass='DriftCalculator'> <description>compute the drifts using the DriftCalculator object</description> <libraryFunction>compute</libraryFunction> *************** *** 440,446 **** <tensorRank>vector</tensorRank> </ReturnValue> ! </Member--> ! <!--Constructor name='qlDriftCalculator'> <libraryFunction>DriftCalculator</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 440,446 ---- <tensorRank>vector</tensorRank> </ReturnValue> ! </Member> ! <Constructor name='qlDriftCalculator'> <libraryFunction>DriftCalculator</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 474,478 **** </Parameters> </ParameterList> ! </Constructor--> </Functions> --- 474,478 ---- </Parameters> </ParameterList> ! </Constructor> </Functions> |
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From: Eric E. <eri...@us...> - 2006-07-06 12:00:56
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6522 Modified Files: QuantLibObjects_vc8.vcproj Log Message: add conversions for: - std::vector<QuantLib::Array> as input - std::vector<QuantLib::Size> as return value Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** QuantLibObjects_vc8.vcproj 2 Jul 2006 15:50:25 -0000 1.26 --- QuantLibObjects_vc8.vcproj 6 Jul 2006 12:00:50 -0000 1.27 *************** *** 327,330 **** --- 327,342 ---- <Files> <Filter + Name="MarketModels" + > + <File + RelativePath="qlo\marketmodels.cpp" + > + </File> + <File + RelativePath="qlo\marketmodels.hpp" + > + </File> + </Filter> + <Filter Name="Enumerations" > *************** *** 430,437 **** --- 442,461 ---- </File> <File + RelativePath="qlo\vo_marketmodels.cpp" + > + </File> + <File + RelativePath="qlo\vo_marketmodels.hpp" + > + </File> + <File RelativePath="qlo\vo_mathf.cpp" > </File> <File + RelativePath="qlo\vo_mathf.hpp" + > + </File> + <File RelativePath="qlo\vo_options.cpp" > |
