quantlibaddin-cvs Mailing List for QuantLibAddin (Page 6)

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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5530/qlo

Modified Files:
	ratehelpers.cpp ratehelpers.hpp 
Log Message:
Updated qlRateHelperSelection with 1 more parameter, still unused.

Index: ratehelpers.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** ratehelpers.hpp	11 Dec 2006 09:40:05 -0000	1.7
--- ratehelpers.hpp	14 Dec 2006 15:22:48 -0000	1.8
***************
*** 73,76 ****
--- 73,78 ----
      };
  
+     // Process the set of curve bootstrapping instruments
+     // and selects a subset according to the given rules and parameters
      std::vector<std::string> qlRateHelperSelection(
          const std::vector<std::string>& instrumentIDs,
***************
*** 78,82 ****
          const std::vector<long>& priority,
          const long nFutures,
!         const long frontContractRollingDays);
  
  }
--- 80,85 ----
          const std::vector<long>& priority,
          const long nFutures,
!         const long frontFuturesRollingDays,
!         const bool depoIncludeFlag);
  
  }

Index: ratehelpers.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** ratehelpers.cpp	11 Dec 2006 09:40:05 -0000	1.12
--- ratehelpers.cpp	14 Dec 2006 15:22:47 -0000	1.13
***************
*** 143,158 ****
  
      std::vector<std::string> qlRateHelperSelection(
!         const std::vector<std::string>& instrumentID,
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
          const long nFutures,
!         const long frontContractRollingDays)
      {
!         QL_REQUIRE(!instrumentID.empty(), "no instrument given");
!         QL_REQUIRE(frontContractRollingDays>=0,
!             "negative (" << frontContractRollingDays <<
!             ")frontContractRollingDays");
! 
!         QuantLib::Size nInstruments = instrumentID.size();
          QL_REQUIRE(includeFlag.size()==nInstruments,
              "includeFlag / instruments mismatch");
--- 143,159 ----
  
      std::vector<std::string> qlRateHelperSelection(
!         const std::vector<std::string>& instrumentIDs,
          const std::vector<bool>& includeFlag,
          const std::vector<long>& priority,
          const long nFutures,
!         const long frontFuturesRollingDays,
!         const bool depoIncludeFlag)
      {
!         // Checks
!         QL_REQUIRE(!instrumentIDs.empty(), "no instrument given");
!         QL_REQUIRE(frontFuturesRollingDays>=0,
!             "negative (" << frontFuturesRollingDays <<
!             ")frontFuturesRollingDays");
!         QuantLib::Size nInstruments = instrumentIDs.size();
          QL_REQUIRE(includeFlag.size()==nInstruments,
              "includeFlag / instruments mismatch");
***************
*** 164,170 ****
          boost::shared_ptr<QuantLib::RateHelper> qlrh;
          QuantLib::Size i;
!         for (i=0; i<nInstruments; i++)
!         {
!             OH_GET_OBJECT(qlarh, instrumentID[i], RateHelper);
              bool isFutures;
              if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh))
--- 165,170 ----
          boost::shared_ptr<QuantLib::RateHelper> qlrh;
          QuantLib::Size i;
!         for (i=0; i<nInstruments; i++) {
!             OH_GET_OBJECT(qlarh, instrumentIDs[i], RateHelper);
              bool isFutures;
              if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh))
***************
*** 172,179 ****
              else
                  isFutures = false;
- 
              qlarh->getLibraryObject(qlrh);
              rhsAll.push_back(detail::RateHelperItem(isFutures,
!                                                     instrumentID[i],
                                                      includeFlag[i],
                                                      priority[i],
--- 172,178 ----
              else
                  isFutures = false;
              qlarh->getLibraryObject(qlrh);
              rhsAll.push_back(detail::RateHelperItem(isFutures,
!                                                     instrumentIDs[i],
                                                      includeFlag[i],
                                                      priority[i],
***************
*** 182,192 ****
          }
  
!         // preliminary sort RateHelperItems according to
          // their latest date and priority
          std::sort(rhsAll.begin(), rhsAll.end(),
              detail::RateHelperPrioritySorter());
  
!         // purge input rate helpers according to their includeFlag,
!         // their expiration, and maximum number of allowed futures
          long futuresCounter = 0;
          QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate();
--- 181,191 ----
          }
  
!         // Preliminary sort of RateHelperItems according to
          // their latest date and priority
          std::sort(rhsAll.begin(), rhsAll.end(),
              detail::RateHelperPrioritySorter());
  
!         // Select input rate helpers according to their includeFlag,
!         // their expiration, maximum number of allowed Futures and depoIncludeFlag
          long futuresCounter = 0;
          QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate();
***************
*** 197,201 ****
                      rhs.push_back(rhsAll[i]);
                  } else if (futuresCounter<nFutures &&
!                            (rhsAll[i].earliestDate-2-frontContractRollingDays >= evalDate)) {
                      futuresCounter++;
                      rhs.push_back(rhsAll[i]);
--- 196,200 ----
                      rhs.push_back(rhsAll[i]);
                  } else if (futuresCounter<nFutures &&
!                            (rhsAll[i].earliestDate-2-frontFuturesRollingDays >= evalDate)) {
                      futuresCounter++;
                      rhs.push_back(rhsAll[i]);
***************
*** 206,210 ****
          std::vector<std::string> result;
  
!         // zero or one rate helper left
          if (rhs.size()<2) {
              std::vector<detail::RateHelperItem>::const_iterator i;
--- 205,209 ----
          std::vector<std::string> result;
  
!         // Zero or one rate helper left
          if (rhs.size()<2) {
              std::vector<detail::RateHelperItem>::const_iterator i;
***************
*** 214,218 ****
          }
  
!         // sort rate helpers according to their latest date and priority
          std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter());
  
--- 213,217 ----
          }
  
!         // Sort rate helpers according to their latest date and priority
          std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter());
  
***************
*** 222,226 ****
                  result.push_back(rhs[i].objectID);
          }
!         // add the last one in any case
          result.push_back(rhs[i].objectID);
  
--- 221,225 ----
                  result.push_back(rhs[i].objectID);
          }
!         // Add the last one in any case
          result.push_back(rhs[i].objectID);

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