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From: Ferdinando A. <na...@us...> - 2006-06-26 22:05:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28090/qlo Modified Files: capletvolstructure.cpp capletvolstructure.hpp Log Message: 1) exported capletvolstructure 2) refactored cap floor Index: capletvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capletvolstructure.hpp 26 Jun 2006 21:35:25 -0000 1.1 --- capletvolstructure.hpp 26 Jun 2006 22:05:48 -0000 1.2 *************** *** 29,35 **** class CapletConstantVolatility : public CapletVolatilityStructure { public: ! CapletConstantVolatility(QuantLib::Integer settlementDays, ! const QuantLib::Calendar& calendar, ! QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter); }; --- 29,33 ---- class CapletConstantVolatility : public CapletVolatilityStructure { public: ! CapletConstantVolatility(QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter); }; Index: capletvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capletvolstructure.cpp 26 Jun 2006 21:35:25 -0000 1.1 --- capletvolstructure.cpp 26 Jun 2006 22:05:48 -0000 1.2 *************** *** 26,38 **** CapletConstantVolatility::CapletConstantVolatility( - QuantLib::Integer settlementDays, - const QuantLib::Calendar& calendar, QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::CapletConstantVolatility(settlementDays, ! calendar, ! volatility, dayCounter)); } --- 26,34 ---- CapletConstantVolatility::CapletConstantVolatility( QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::CapletConstantVolatility(volatility, dayCounter)); } |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:35:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13701/qlo Modified Files: .cvsignore Added Files: capletvolstructure.cpp capletvolstructure.hpp Log Message: 1) exported capletvolstructure 2) refactored cap floor Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** .cvsignore 25 Jun 2006 09:53:31 -0000 1.8 --- .cvsignore 26 Jun 2006 21:35:25 -0000 1.9 *************** *** 11,14 **** --- 11,15 ---- vo_bonds.*pp vo_calendar.*pp + vo_capletvolstructure.*pp vo_capfloor.*pp vo_couponvectors.*pp --- NEW FILE: capletvolstructure.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_capletvolstructure_hpp #define qla_capletvolstructure_hpp #include <oh/objhandler.hpp> #include <ql/capvolstructures.hpp> #include <qlo/termstructures.hpp> namespace QuantLibAddin { class CapletVolatilityStructure : public TermStructure {}; class CapletConstantVolatility : public CapletVolatilityStructure { public: CapletConstantVolatility(QuantLib::Integer settlementDays, const QuantLib::Calendar& calendar, QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter); }; } #endif --- NEW FILE: capletvolstructure.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/capletvolstructure.hpp> #include <ql/Volatilities/capletconstantvol.hpp> namespace QuantLibAddin { CapletConstantVolatility::CapletConstantVolatility( QuantLib::Integer settlementDays, const QuantLib::Calendar& calendar, QuantLib::Volatility volatility, const QuantLib::DayCounter& dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::CapletConstantVolatility(settlementDays, calendar, volatility, dayCounter)); } } |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:35:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13701/gensrc/metadata Added Files: capletvolstructure.xml Log Message: 1) exported capletvolstructure 2) refactored cap floor --- NEW FILE: capletvolstructure.xml --- <Category name='capletvolstructure'> <description>functions to construct QuantLib Caplet Volatility Term Structure objects</description> <displayName>Swaption Volatility Term Structures</displayName> <includes> <include>qlo/capletvolstructure.hpp</include> <include>qlo/vo_capletvolstructure.hpp</include> <include>ql/Volatilities/capletconstantvol.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> <!-- CapletVolatilityStructure interface--> <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strike'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>volatility</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='expiry' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>swaption expiry date</description> </Parameter> <Parameter name='strike'> <type>double</type> <tensorRank>vector</tensorRank> <description>swaption strike vector</description> </Parameter> <Parameter name='allowExtrapolation'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>Extrapolation Flag (TRUE allows extrapolation)</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> <description>vector of volatilities</description> </ReturnValue> </Member> <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> <description>Returns the minimum strike for which the term structure can return vols.</description> <libraryFunction>minStrike</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>minimum strike</description> </ReturnValue> </Member> <Member name='qlCapletVTSMaxStrike' libraryClass='CapletVolatilityStructure'> <description>Returns the maximum strike for which the term structure can return vols.</description> <libraryFunction>maxStrike</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>maximum strike</description> </ReturnValue> </Member> <!-- Handle<CapletVolatilityStructure> --> <Constructor name='qlHandleCapletVolatilityStructuree'> <libraryFunction>Handle<QuantLib::CapletVolatilityStructure></libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> <description>ID of the CapletVolatilityStructure object</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle<QuantLib::CapletVolatilityStructure>'> <libraryFunction>linkTo</libraryFunction> <functionCategory>QuantLib</functionCategory> <description>relink handle</description> <ParameterList> <Parameters> <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>ID of the CapletVolatilityStructure object</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> <description>success/failure</description> </ReturnValue> </Member> <!-- CapletVolatilityStructure constructors --> <Constructor name='qlCapletVTSConstant'> <libraryFunction>CapletConstantVolatility</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EGO</platforms> <ParameterList> <Parameters> <Parameter name='nDays' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> <description>number of days to advance from EvaluationDate (usually zero or two): it fixes the date from which expiry time is calculated</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET) to advance from global EvaluationDate</description> </Parameter> <Parameter name='volatility'> <type>double</type> <tensorRank>scalar</tensorRank> <description>swaption constant volatilities </description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:35:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13701/Docs/pages Modified Files: .cvsignore Log Message: 1) exported capletvolstructure 2) refactored cap floor Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/.cvsignore,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** .cvsignore 22 Jun 2006 09:56:58 -0000 1.3 --- .cvsignore 26 Jun 2006 21:35:25 -0000 1.4 *************** *** 2,5 **** --- 2,6 ---- bonds.docs calendar.docs + capletvolstructure.docs capfloor.docs categories.docs |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:31:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11101/qlo Modified Files: capfloor.cpp capfloor.hpp pricingengines.cpp pricingengines.hpp swap.cpp swap.hpp swaption.hpp swaptionvolstructure.cpp vanillaoption.hpp vanillaswap.cpp vanillaswap.hpp Log Message: cap floor refactored Index: pricingengines.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** pricingengines.cpp 22 Jun 2006 16:58:04 -0000 1.6 --- pricingengines.cpp 26 Jun 2006 21:31:03 -0000 1.7 *************** *** 29,32 **** --- 29,38 ---- } + BlackCapFloorEngine::BlackCapFloorEngine( + const QuantLib::Handle<QuantLib::CapletVolatilityStructure>& vol) + { + libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( + new QuantLib::BlackCapFloorEngine(vol)); + } BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility vol) *************** *** 48,51 **** --- 54,64 ---- } + AnalyticCapFloorEngine::AnalyticCapFloorEngine( + const boost::shared_ptr < QuantLib::AffineModel >& model) { + + libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( + new QuantLib::AnalyticCapFloorEngine(model)); + } + } Index: pricingengines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** pricingengines.hpp 22 Jun 2006 16:58:04 -0000 1.5 --- pricingengines.hpp 26 Jun 2006 21:31:03 -0000 1.6 *************** *** 24,27 **** --- 24,29 ---- #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> #include <ql/PricingEngines/CapFloor/blackcapfloorengine.hpp> + #include <ql/ShortRateModels/model.hpp> + #include <ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp> namespace QuantLibAddin { *************** *** 38,46 **** class BlackCapFloorEngine : public PricingEngine { public: ! BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility); private: boost::shared_ptr<QuantLib::SimpleQuote> quote_; QuantLib::Handle<QuantLib::Quote> quoteHandle_; }; } --- 40,57 ---- class BlackCapFloorEngine : public PricingEngine { public: ! BlackCapFloorEngine(QuantLib::Volatility); ! BlackCapFloorEngine( ! const QuantLib::Handle<QuantLib::CapletVolatilityStructure>&); private: boost::shared_ptr<QuantLib::SimpleQuote> quote_; QuantLib::Handle<QuantLib::Quote> quoteHandle_; }; + + class AnalyticCapFloorEngine : public ObjHandler::LibraryObject<QuantLib::PricingEngine> { + public: + AnalyticCapFloorEngine( + const boost::shared_ptr < QuantLib::AffineModel >& model); + }; + } Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** swaptionvolstructure.cpp 23 Jun 2006 17:53:29 -0000 1.5 --- swaptionvolstructure.cpp 26 Jun 2006 21:31:03 -0000 1.6 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Silvia Frasson Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capfloor.cpp 16 Jun 2006 17:37:16 -0000 1.4 --- capfloor.cpp 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet *************** *** 20,58 **** #include <qlo/config.hpp> #endif #include <qlo/capfloor.hpp> - #include <qlo/couponvectors.hpp> - #include <qlo/termstructures.hpp> - #include <qlo/typefactory.hpp> namespace QuantLibAddin { CapFloor::CapFloor( ! const std::string& couponVectorID, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, ! const QuantLib::CapFloor::Type& option) { ! ! OH_GET_REFERENCE(engine, engineID, ! AnalyticCapFloorEngine, QuantLib::PricingEngine) ! ! OH_GET_OBJECT(couponVectorWrapper, couponVectorID, CouponVector) ! const CashFlowVector& couponVector = couponVectorWrapper->getVector(); ! libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::CapFloor(option, ! couponVector, ! capStrikes, ! floorStrikes, ! hYTS, engine)); } ! AnalyticCapFloorEngine::AnalyticCapFloorEngine( ! const boost::shared_ptr < QuantLib::AffineModel >& model) { ! ! libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( ! new QuantLib::AnalyticCapFloorEngine(model)); } --- 21,54 ---- #include <qlo/config.hpp> #endif + #include <qlo/capfloor.hpp> namespace QuantLibAddin { CapFloor::CapFloor( ! QuantLib::CapFloor::Type type, ! const boost::shared_ptr<CouponVector>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& capRates, ! const std::vector<QuantLib::Rate>& floorRates, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, ! const boost::shared_ptr<QuantLib::PricingEngine>& engine) ! { ! const CashFlowVector& floatingLeg = floatingLegWrapper->getVector(); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::CapFloor(type, ! floatingLeg, ! capRates, ! floorRates, ! termStructure, engine)); } ! std::vector<std::vector<double> > CapFloor::legAnalysis() ! { ! const boost::shared_ptr<QuantLib::CapFloor> temp = ! getLibraryObject<QuantLib::CapFloor>(); ! const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = ! temp->floatingLeg(); ! return flowAnalysis(cashflows); } Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** vanillaswap.hpp 22 Jun 2006 10:18:49 -0000 1.7 --- vanillaswap.hpp 26 Jun 2006 21:31:03 -0000 1.8 *************** *** 21,26 **** #define qla_simpleswap_hpp - #include <qlo/index.hpp> - #include <ql/Instruments/vanillaswap.hpp> #include <qlo/swap.hpp> --- 21,24 ---- Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** vanillaswap.cpp 20 Jun 2006 09:44:18 -0000 1.6 --- vanillaswap.cpp 26 Jun 2006 21:31:03 -0000 1.7 *************** *** 25,33 **** #include <qlo/vanillaswap.hpp> ! #include <qlo/termstructures.hpp> ! #include <qlo/typefactory.hpp> ! #include <ql/CashFlows/fixedratecoupon.hpp> ! #include <ql/CashFlows/parcoupon.hpp> ! #include <vector> namespace QuantLibAddin { --- 25,29 ---- #include <qlo/vanillaswap.hpp> ! #include <ql/Instruments/vanillaswap.hpp> namespace QuantLibAddin { Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capfloor.hpp 16 Jun 2006 17:37:16 -0000 1.4 --- capfloor.hpp 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet *************** *** 20,26 **** #include <qlo/baseinstruments.hpp> ! #include <qlo/shortratemodels.hpp> #include <ql/Instruments/capfloor.hpp> - #include <ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp> namespace QuantLibAddin { --- 21,26 ---- #include <qlo/baseinstruments.hpp> ! #include <qlo/couponvectors.hpp> #include <ql/Instruments/capfloor.hpp> namespace QuantLibAddin { *************** *** 28,46 **** class CapFloor : public Instrument { public: ! CapFloor( ! const std::string& couponVectorID, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, ! const QuantLib::CapFloor::Type& option); }; - class AnalyticCapFloorEngine : public ObjHandler::LibraryObject<QuantLib::PricingEngine> { - public: - AnalyticCapFloorEngine( - const boost::shared_ptr < QuantLib::AffineModel >& model); - }; - } --- 28,41 ---- class CapFloor : public Instrument { public: ! CapFloor(QuantLib::CapFloor::Type type, ! const boost::shared_ptr<CouponVector>& floatingLegWrapper, ! const std::vector<QuantLib::Rate>& capRates, ! const std::vector<QuantLib::Rate>& floorRates, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& termStructure, ! const boost::shared_ptr<QuantLib::PricingEngine>& engine); ! ! std::vector<std::vector<double> > legAnalysis(); }; } Index: swaption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaption.hpp 23 Jun 2006 10:35:49 -0000 1.4 --- swaption.hpp 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 21,25 **** #include <qlo/baseinstruments.hpp> - #include <qlo/termstructures.hpp> #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> --- 21,24 ---- Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** swap.cpp 20 Jun 2006 09:17:11 -0000 1.10 --- swap.cpp 26 Jun 2006 21:31:03 -0000 1.11 *************** *** 25,30 **** #include <qlo/swap.hpp> ! #include <qlo/couponvectors.hpp> ! #include <ql/CashFlows/parcoupon.hpp> namespace QuantLibAddin { --- 25,29 ---- #include <qlo/swap.hpp> ! #include <ql/Instruments/swap.hpp> namespace QuantLibAddin { Index: vanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** vanillaoption.hpp 9 Jun 2006 18:58:47 -0000 1.3 --- vanillaoption.hpp 26 Jun 2006 21:31:03 -0000 1.4 *************** *** 20,25 **** #include <qlo/baseinstruments.hpp> - #include <qlo/processes.hpp> #include <ql/Instruments/vanillaoption.hpp> namespace QuantLibAddin { --- 20,25 ---- #include <qlo/baseinstruments.hpp> #include <ql/Instruments/vanillaoption.hpp> + #include <qlo/processes.hpp> namespace QuantLibAddin { Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** swap.hpp 23 Jun 2006 10:35:49 -0000 1.8 --- swap.hpp 26 Jun 2006 21:31:03 -0000 1.9 *************** *** 25,30 **** #include <qlo/baseinstruments.hpp> #include <qlo/couponvectors.hpp> - #include <qlo/termstructures.hpp> - #include <ql/Instruments/swap.hpp> namespace QuantLibAddin { --- 25,28 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:31:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11101/gensrc/metadata Modified Files: bonds.xml capfloor.xml pricingengines.xml processes.xml ratehelpers.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml vanillaswap.xml volatilities.xml Log Message: cap floor refactored Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** vanillaswap.xml 19 Jun 2006 08:10:01 -0000 1.5 --- vanillaswap.xml 26 Jun 2006 21:31:03 -0000 1.6 *************** *** 2,5 **** --- 2,10 ---- <description>functions to construct and use QuantLib::VanillaSwap objects</description> <displayName>Vanilla Swap</displayName> + <includes> + <include>qlo/vanillaswap.hpp</include> + <include>qlo/vo_vanillaswap.hpp</include> + <include>qlo/termstructures.hpp</include> + </includes> <copyright> Copyright (C) 2005, 2006 Eric Ehlers *************** *** 57,61 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='fixStartFromEnd'> --- 62,66 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='fixStartFromEnd'> *************** *** 77,81 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='IndexID' libraryClass='Xibor'> --- 82,86 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='IndexID' libraryClass='Xibor'> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** swap.xml 19 Jun 2006 08:10:01 -0000 1.9 --- swap.xml 26 Jun 2006 21:31:03 -0000 1.10 *************** *** 2,5 **** --- 2,10 ---- <description>functions to construct and use QuantLib::Swap objects</description> <displayName>Swap</displayName> + <includes> + <include>qlo/swap.hpp</include> + <include>qlo/vo_swap.hpp</include> + <include>qlo/termstructures.hpp</include> + </includes> <copyright> Copyright (C) 2005 Eric Ehlers Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** ratehelpers.xml 22 Jun 2006 18:37:04 -0000 1.9 --- ratehelpers.xml 26 Jun 2006 21:31:03 -0000 1.10 *************** *** 128,132 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 128,132 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 172,176 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name="indexID" libraryClass='Xibor'> --- 172,176 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name="indexID" libraryClass='Xibor'> *************** *** 256,260 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='convexityAdj' default='0'> --- 256,260 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='convexityAdj' default='0'> Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaption.xml 23 Jun 2006 18:29:08 -0000 1.4 --- swaption.xml 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 3,11 **** <displayName>Swaption</displayName> <includes> - <include>qlo/pricingengines.hpp</include> <include>qlo/swaption.hpp</include> - <include>qlo/exercise.hpp</include> - <include>qlo/vanillaswap.hpp</include> <include>qlo/vo_swaption.hpp</include> </includes> <copyright> --- 3,12 ---- <displayName>Swaption</displayName> <includes> <include>qlo/swaption.hpp</include> <include>qlo/vo_swaption.hpp</include> + <include>qlo/vanillaswap.hpp</include> + <include>qlo/termstructures.hpp</include> + <include>qlo/pricingengines.hpp</include> + <include>qlo/exercise.hpp</include> </includes> <copyright> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** processes.xml 19 Jun 2006 08:10:01 -0000 1.4 --- processes.xml 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 25,29 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='settlementDate' libraryType='QuantLib::Date'> --- 25,29 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='settlementDate' libraryType='QuantLib::Date'> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** pricingengines.xml 22 Jun 2006 16:58:03 -0000 1.5 --- pricingengines.xml 26 Jun 2006 21:31:02 -0000 1.6 *************** *** 3,10 **** <displayName>Pricing Engines</displayName> <includes> - <include>qlo/termstructures.hpp</include> <include>qlo/pricingengines.hpp</include> - <include>qlo/swaptionvolstructure.hpp</include> <include>qlo/vo_pricingengines.hpp</include> </includes> <copyright> --- 3,12 ---- <displayName>Pricing Engines</displayName> <includes> <include>qlo/pricingengines.hpp</include> <include>qlo/vo_pricingengines.hpp</include> + <include>qlo/termstructures.hpp</include> + <include>qlo/swaptionvolstructure.hpp</include> + <include>qlo/capletvolstructure.hpp</include> + <include>qlo/shortratemodels.hpp</include> </includes> <copyright> *************** *** 32,35 **** --- 34,51 ---- <ParameterList> <Parameters> + <Parameter name='vol' libraryClass='CapletVolatilityStructure' ql_handle='true'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>CapletVolatilityStructure</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Constructor name='qlBlackCapFloorEngine2'> + <libraryFunction>BlackCapFloorEngine</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> <Parameter name='vol'> <type>double</type> *************** *** 41,44 **** --- 57,74 ---- </Constructor> + <Constructor name='qlAnalyticCapFloorEngine'> + <libraryFunction>AnalyticCapFloorEngine</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='handleModel' libraryClass='AffineModel'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>affine model (providing a discount bond option pricing formula)</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + </Functions> </Category> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** bonds.xml 19 Jun 2006 08:29:23 -0000 1.9 --- bonds.xml 26 Jun 2006 21:31:02 -0000 1.10 *************** *** 254,258 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> --- 254,258 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> *************** *** 323,327 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> --- 323,327 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> *************** *** 417,421 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> --- 417,421 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** volatilities.xml 20 Jun 2006 09:18:11 -0000 1.3 --- volatilities.xml 26 Jun 2006 21:31:03 -0000 1.4 *************** *** 25,29 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 25,29 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 59,63 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 59,63 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** termstructures.xml 22 Jun 2006 10:17:05 -0000 1.14 --- termstructures.xml 26 Jun 2006 21:31:03 -0000 1.15 *************** *** 334,338 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 334,338 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> *************** *** 363,367 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 363,367 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 387,391 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 387,391 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 411,415 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 411,415 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** swaptionvolstructure.xml 23 Jun 2006 17:53:29 -0000 1.15 --- swaptionvolstructure.xml 26 Jun 2006 21:31:03 -0000 1.16 *************** *** 176,180 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 176,180 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> *************** *** 221,225 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 221,225 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> *************** *** 256,260 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 256,260 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capfloor.xml 19 Jun 2006 08:10:00 -0000 1.4 --- capfloor.xml 26 Jun 2006 21:31:02 -0000 1.5 *************** *** 2,23 **** <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> <copyright> Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> ! <Constructor name='qlAnalyticCapFloorEngine'> ! <libraryFunction>AnalyticCapFloorEngine</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='handleModel' libraryClass='AffineModel'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>affine model (providing a discount bond option pricing formula)</description> </Parameter> </Parameters> </ParameterList> ! </Constructor> <Constructor name='qlCapFloor'> --- 2,78 ---- <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> + <includes> + <include>qlo/capfloor.hpp</include> + <include>qlo/vo_capfloor.hpp</include> + <include>qlo/termstructures.hpp</include> + <include>qlo/pricingengines.hpp</include> + </includes> <copyright> + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> ! <!--Member name='qlCapFloorType' libraryClass='CapFloor'> ! <description>CapFloortype (e.g. Cap, Floor, Collar)</description> ! <libraryFunction>type</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::CapFloor::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description></description> ! </ReturnValue> ! </Member--> ! ! <Member name='qlCapFloorCapRates' libraryClass='CapFloor'> ! <description>cap rates</description> ! <libraryFunction>capRates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description></description> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorFloorRates' libraryClass='CapFloor'> ! <description>floor rates</description> ! <libraryFunction>floorRates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description></description> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorImpliedVolatility' libraryClass='CapFloor'> ! <description>implied volatility</description> ! <libraryFunction>impliedVolatility</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='price'> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Price used to infer the implied volatility</description> </Parameter> </Parameters> </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description></description> ! </ReturnValue> ! </Member> <Constructor name='qlCapFloor'> *************** *** 26,38 **** <ParameterList> <Parameters> ! <Parameter name='couponVectorID'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>coupon vector</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> <Parameter name='capStrikes'> --- 81,93 ---- <ParameterList> <Parameters> ! <Parameter name='optionType' enumeration='QuantLib::CapFloor::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>option type (cap, floor or collar)</description> </Parameter> ! <Parameter name='couponVectorID' objectClass='CouponVector'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>coupon vector</description> </Parameter> <Parameter name='capStrikes'> *************** *** 46,58 **** <description>floor strikes</description> </Parameter> ! <Parameter name='handleEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to pricing engine</description> </Parameter> ! <Parameter name='optionType' enumeration='QuantLib::CapFloor::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>option type (cap, floor or collar)</description> </Parameter> </Parameters> --- 101,113 ---- <description>floor strikes</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> ! <Parameter name='capFloorEngineID' libraryClass='BlackCapFloorEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Black cap floor pricing engine</description> </Parameter> </Parameters> *************** *** 60,63 **** --- 115,133 ---- </Constructor> + <Member name='qlCapFloorLegAnalysis' objectClass='CapFloor'> + <description>The cap/floor cash flow analysis</description> + <libraryFunction>legAnalysis</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description></description> + </ReturnValue> + </Member> + + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:31:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11101 Modified Files: QuantLibObjects.vcproj Log Message: cap floor refactored Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** QuantLibObjects.vcproj 25 Jun 2006 09:53:30 -0000 1.15 --- QuantLibObjects.vcproj 26 Jun 2006 21:31:02 -0000 1.16 *************** *** 356,359 **** --- 356,365 ---- </File> <File + RelativePath=".\qlo\vo_capletvolstructure.cpp"> + </File> + <File + RelativePath=".\qlo\vo_capletvolstructure.hpp"> + </File> + <File RelativePath=".\qlo\vo_couponvectors.cpp"> </File> *************** *** 665,668 **** --- 671,680 ---- Filter=""> <File + RelativePath=".\qlo\capletvolstructure.cpp"> + </File> + <File + RelativePath=".\qlo\capletvolstructure.hpp"> + </File> + <File RelativePath=".\qlo\swaptionvolstructure.cpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:31:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11101/gensrc Modified Files: Makefile.vc gensrc.vcproj Log Message: cap floor refactored Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** Makefile.vc 22 Jun 2006 10:18:48 -0000 1.13 --- Makefile.vc 26 Jun 2006 21:31:02 -0000 1.14 *************** *** 10,13 **** --- 10,14 ---- metadata\bonds.xml \ metadata\calendar.xml \ + metadata\capletvolstructure.xml \ metadata\capfloor.xml \ metadata\couponvectors.xml \ Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** gensrc.vcproj 22 Jun 2006 18:47:40 -0000 1.7 --- gensrc.vcproj 26 Jun 2006 21:31:02 -0000 1.8 *************** *** 46,49 **** --- 46,52 ---- </File> <File + RelativePath=".\metadata\capletvolstructure.xml"> + </File> + <File RelativePath="metadata\couponvectors.xml"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-06-26 21:31:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11101/gensrc/config Modified Files: config.xml Log Message: cap floor refactored Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** config.xml 22 Jun 2006 10:18:48 -0000 1.8 --- config.xml 26 Jun 2006 21:31:02 -0000 1.9 *************** *** 31,34 **** --- 31,35 ---- <categoryName>swap</categoryName> <categoryName>swaption</categoryName> + <categoryName>capletvolstructure</categoryName> <categoryName>swaptionvolstructure</categoryName> <categoryName>termstructures</categoryName> |
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From: Ferdinando A. <na...@us...> - 2006-06-25 09:53:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2366/qlo Modified Files: .cvsignore Log Message: VC71 catching up Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** .cvsignore 19 Jun 2006 17:08:22 -0000 1.7 --- .cvsignore 25 Jun 2006 09:53:31 -0000 1.8 *************** *** 9,12 **** enumregistry.cpp qladdin.hpp ! vo_*.*pp ! --- 9,32 ---- enumregistry.cpp qladdin.hpp ! vo_bonds.*pp ! vo_calendar.*pp ! vo_capfloor.*pp ! vo_couponvectors.*pp ! vo_exercise.*pp ! vo_forwardrateagreement.*pp ! vo_index.*pp ! vo_interpolation.*pp ! vo_mathf.*pp ! vo_options.*pp ! vo_pricingengines.*pp ! vo_processes.*pp ! vo_randomsequencegenerator.*pp ! vo_ratehelpers.*pp ! vo_schedule.*pp ! vo_shortratemodels.*pp ! vo_swap.*pp ! vo_swaption.*pp ! vo_swaptionvolstructure.*pp ! vo_termstructures.*pp ! vo_vanillaswap.*pp ! vo_volatilities.*pp |
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From: Ferdinando A. <na...@us...> - 2006-06-25 09:53:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2366 Modified Files: QuantLibObjects.vcproj Log Message: VC71 catching up Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** QuantLibObjects.vcproj 23 Jun 2006 18:39:00 -0000 1.14 --- QuantLibObjects.vcproj 25 Jun 2006 09:53:30 -0000 1.15 *************** *** 386,389 **** --- 386,395 ---- </File> <File + RelativePath=".\qlo\vo_mathf.cpp"> + </File> + <File + RelativePath=".\qlo\vo_mathf.hpp"> + </File> + <File RelativePath=".\qlo\vo_options.cpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-06-23 18:39:04
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4947 Modified Files: QuantLibObjects.vcproj Log Message: VC71 catching up Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** QuantLibObjects.vcproj 23 Jun 2006 07:22:21 -0000 1.13 --- QuantLibObjects.vcproj 23 Jun 2006 18:39:00 -0000 1.14 *************** *** 332,338 **** <Files> <Filter ! Name="ValueObjects" Filter=""> <File RelativePath=".\qlo\vo_bonds.cpp"> </File> --- 332,341 ---- <Files> <Filter ! Name="Autogenerated" Filter=""> <File + RelativePath="qlo\enumregistry.cpp"> + </File> + <File RelativePath=".\qlo\vo_bonds.cpp"> </File> *************** *** 487,491 **** </File> <File ! RelativePath="qlo\math.hpp"> </File> </Filter> --- 490,506 ---- </File> <File ! RelativePath=".\qlo\interpolation2D.cpp"> ! </File> ! <File ! RelativePath=".\qlo\interpolation2D.hpp"> ! </File> ! <File ! RelativePath=".\qlo\mathf.hpp"> ! </File> ! <File ! RelativePath=".\qlo\symmetricschurdecomposition.cpp"> ! </File> ! <File ! RelativePath=".\qlo\symmetricschurdecomposition.hpp"> </File> </Filter> *************** *** 669,675 **** </File> <File - RelativePath="qlo\enumregistry.cpp"> - </File> - <File RelativePath="qlo\exercise.cpp"> </File> --- 684,687 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-23 18:29:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv422 Modified Files: todonando.txt Log Message: exported Swaption implied vol Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** todonando.txt 23 Jun 2006 17:20:55 -0000 1.20 --- todonando.txt 23 Jun 2006 18:29:09 -0000 1.21 *************** *** 18,23 **** QUANTLIBADDIN - SWAP GRID ! - SWAPTION PRICING ! - check matrix functions - why qlSwaptionVTSMatrix (not qlSwaptionVTSMatrix2) crash - export discount, loglinear selection --- 18,24 ---- QUANTLIBADDIN - SWAP GRID ! - VANILLA SWAP signature ! - SWAP with fixedcouponstream ! - SWAPTION implied vol - why qlSwaptionVTSMatrix (not qlSwaptionVTSMatrix2) crash - export discount, loglinear selection *************** *** 34,39 **** QUANTLIBXL - SWAPTIONVOLMATRIX bug - - overwritten value vol Swaption ATM vols - why RateHelpersReutersFeed keeps changing? - merge old QuantLibXL functions --- 35,40 ---- QUANTLIBXL + - time series fixing ohpack - SWAPTIONVOLMATRIX bug - why RateHelpersReutersFeed keeps changing? - merge old QuantLibXL functions *************** *** 56,59 **** --- 57,61 ---- - corregere OneAssetOption impliedVol - impliedVol per Swaption + - spreaded swaption vol matrix - SWAP implement fair rate for floating/fixed rate vector - FRA use Index |
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From: Ferdinando A. <na...@us...> - 2006-06-23 18:29:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv422/gensrc/metadata Modified Files: swaption.xml Log Message: exported Swaption implied vol Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** swaption.xml 21 Jun 2006 12:49:51 -0000 1.3 --- swaption.xml 23 Jun 2006 18:29:08 -0000 1.4 *************** *** 45,49 **** </Constructor> ! <Member name='qlUnderlyingSwap' objectClass='Swaption'> <description>the underlying swap</description> <libraryFunction>underlyingSwap</libraryFunction> --- 45,49 ---- </Constructor> ! <Member name='qlSwaptionUnderlyingSwap' objectClass='Swaption'> <description>the underlying swap</description> <libraryFunction>underlyingSwap</libraryFunction> *************** *** 64,68 **** </ReturnValue> </Member> ! </Functions> </Category> --- 64,88 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionImpliedVolatility' libraryClass='Swaption'> ! <description>implied volatility</description> ! <libraryFunction>impliedVolatility</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='price'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Price used to infer the implied volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description></description> ! </ReturnValue> ! </Member> ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:53:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15771/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: more constructors added to SwaptionVolMatrix. WARNING: The volatility matrix must have: a) increasing exercise dates or periods from top to bottom b) increasing lenghts from left to right Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaptionvolstructure.cpp 22 Jun 2006 18:36:21 -0000 1.4 --- swaptionvolstructure.cpp 23 Jun 2006 17:53:29 -0000 1.5 *************** *** 38,42 **** SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( - const QuantLib::Date& referenceDate, const std::vector<QuantLib::Date>& exerciseDates, const std::vector<QuantLib::Period>& lengths, --- 38,41 ---- *************** *** 45,50 **** { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityMatrix(referenceDate, ! exerciseDates, lengths, volatilities, --- 44,48 ---- { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityMatrix(exerciseDates, lengths, volatilities, *************** *** 52,54 **** --- 50,68 ---- } + SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( + const std::vector<QuantLib::Period>& expiries, + const QuantLib::Calendar& calendar, + const QuantLib::BusinessDayConvention bdc, + const std::vector<QuantLib::Period>& tenors, + const QuantLib::Matrix& volatilities, + const QuantLib::DayCounter& dayCounter) + { + libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( + new QuantLib::SwaptionVolatilityMatrix(expiries, + calendar, + bdc, + tenors, + volatilities, + dayCounter)); + } } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** swaptionvolstructure.hpp 22 Jun 2006 18:36:21 -0000 1.5 --- swaptionvolstructure.hpp 23 Jun 2006 17:53:29 -0000 1.6 *************** *** 37,45 **** class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { public: ! SwaptionVolatilityMatrix(const QuantLib::Date& referenceDate, ! const std::vector<QuantLib::Date>& exerciseDates, ! const std::vector<QuantLib::Period>& lengths, const QuantLib::Matrix& volatilities, const QuantLib::DayCounter& dayCounter); }; --- 37,50 ---- class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { public: ! SwaptionVolatilityMatrix(const std::vector<QuantLib::Date>& exerciseDates, ! const std::vector<QuantLib::Period>& tenors, const QuantLib::Matrix& volatilities, const QuantLib::DayCounter& dayCounter); + SwaptionVolatilityMatrix(const std::vector<QuantLib::Period>& expiries, + const QuantLib::Calendar& calendar, + const QuantLib::BusinessDayConvention bdc, + const std::vector<QuantLib::Period>& tenors, + const QuantLib::Matrix& volatilities, + const QuantLib::DayCounter& dayCounter); }; |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:53:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15771/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: more constructors added to SwaptionVolMatrix. WARNING: The volatility matrix must have: a) increasing exercise dates or periods from top to bottom b) increasing lenghts from left to right Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** swaptionvolstructure.xml 23 Jun 2006 10:34:30 -0000 1.14 --- swaptionvolstructure.xml 23 Jun 2006 17:53:29 -0000 1.15 *************** *** 15,18 **** --- 15,20 ---- <Functions> + <!-- SwaptionVolatilityStructure interface--> + <Member name='qlSwaptionVTSVolatility' libraryClass='SwaptionVolatilityStructure' loopParameter='strike'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> *************** *** 116,119 **** --- 118,122 ---- </Member> + <!-- Handle<SwaptionVolatilityStructure> --> <Constructor name='qlHandleSwaptionVolatilityStructure'> *************** *** 152,156 **** ! <Constructor name='qlSwaptionVTSConstant'> --- 155,159 ---- ! <!-- SwaptionVolatilityStructure constructors --> <Constructor name='qlSwaptionVTSConstant'> *************** *** 190,198 **** <ParameterList> <Parameters> ! <Parameter name='referenceDate' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>reference date</description> </Parameter> <Parameter name='exerciseDates' libraryType='QuantLib::Date'> <type>long</type> --- 193,241 ---- <ParameterList> <Parameters> ! <Parameter name='expiries' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>swaption expiries as periods</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries</description> ! </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Business day convention used for calculating the exercise dates from the expiries</description> </Parameter> + <Parameter name='swapLengths' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>underlying swap lengths</description> + </Parameter> + <Parameter name='volatilities' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>swaption volatilities</description> + </Parameter> + <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter (e.g. Actual365Fixed)</description> + </Parameter> + <Parameter name='trigger' ignore='true'> + <type>any</type> + <tensorRank>scalar</tensorRank> + <description>dependency tracking trigger</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Constructor name='qlSwaptionVTSMatrix2'> + <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EGO</platforms> + <ParameterList> + <Parameters> <Parameter name='exerciseDates' libraryType='QuantLib::Date'> <type>long</type> *************** *** 224,227 **** --- 267,272 ---- </Constructor> + <!-- SwaptionVolatilityMatrix interface --> + <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the underlying swap day counter.</description> |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:53:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15771 Modified Files: QuantLibObjects_vc8.vcproj Log Message: more constructors added to SwaptionVolMatrix. WARNING: The volatility matrix must have: a) increasing exercise dates or periods from top to bottom b) increasing lenghts from left to right Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** QuantLibObjects_vc8.vcproj 22 Jun 2006 20:49:48 -0000 1.21 --- QuantLibObjects_vc8.vcproj 23 Jun 2006 17:53:29 -0000 1.22 *************** *** 327,333 **** <Files> <Filter ! Name="ValueObjects" > <File RelativePath=".\qlo\vo_bonds.cpp" > --- 327,337 ---- <Files> <Filter ! Name="Autogenerated" > <File + RelativePath="qlo\enumregistry.cpp" + > + </File> + <File RelativePath=".\qlo\vo_bonds.cpp" > *************** *** 394,397 **** --- 398,405 ---- </File> <File + RelativePath=".\qlo\vo_mathf.cpp" + > + </File> + <File RelativePath="qlo\vo_options.cpp" > *************** *** 530,534 **** </File> <File ! RelativePath=".\qlo\math.hpp" > </File> --- 538,558 ---- </File> <File ! RelativePath=".\qlo\interpolation2D.cpp" ! > ! </File> ! <File ! RelativePath=".\qlo\interpolation2D.hpp" ! > ! </File> ! <File ! RelativePath=".\qlo\mathf.hpp" ! > ! </File> ! <File ! RelativePath=".\qlo\symmetricschurdecomposition.cpp" ! > ! </File> ! <File ! RelativePath=".\qlo\symmetricschurdecomposition.hpp" > </File> *************** *** 626,629 **** --- 650,657 ---- </File> <File + RelativePath=".\qlo\options.hpp" + > + </File> + <File RelativePath="qlo\quantoforwardvanillaoption.cpp" > *************** *** 759,766 **** </File> <File - RelativePath="qlo\enumregistry.cpp" - > - </File> - <File RelativePath="qlo\exercise.cpp" > --- 787,790 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:21:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv475/gensrc/metadata Modified Files: mathf.xml Log Message: exported SymmetricSchurDecomposition Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** mathf.xml 19 Jun 2006 08:10:01 -0000 1.3 --- mathf.xml 23 Jun 2006 17:20:55 -0000 1.4 *************** *** 5,11 **** <include>ql/Functions/mathf.hpp</include> <include>ql/Math/primenumbers.hpp</include> </includes> <copyright> ! Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano </copyright> --- 5,14 ---- <include>ql/Functions/mathf.hpp</include> <include>ql/Math/primenumbers.hpp</include> + <include>qlo/symmetricschurdecomposition.hpp</include> + <include>qlo/mathf.hpp</include> + <include>qlo/vo_mathf.hpp</include> </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> *************** *** 18,28 **** <alias>QuantLib::PrimeNumbers::get</alias> <ParameterList> ! <Parameters> ! <Parameter name='N'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>index of the prime number (e.g N=2 returns 3)</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 21,31 ---- <alias>QuantLib::PrimeNumbers::get</alias> <ParameterList> ! <Parameters> ! <Parameter name='N'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>index of the prime number (e.g N=2 returns 3)</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 38,63 **** <alias>QuantLib::normDist</alias> <ParameterList> ! <Parameters> ! <Parameter name="X"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the value for which you want the distribution</description> ! </Parameter> ! <Parameter name="Mean" default="0.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the arithmetic mean of the distribution</description> ! </Parameter> ! <Parameter name="Standard_dev" default="1.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the standard deviation of the distribution, a positive number</description> ! </Parameter> ! <Parameter name="cumulative" default="TRUE"> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>is a logical value: for the cumulative distribution function, use TRUE; for the probability mass function, use FALSE</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 41,66 ---- <alias>QuantLib::normDist</alias> <ParameterList> ! <Parameters> ! <Parameter name="X"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the value for which you want the distribution</description> ! </Parameter> ! <Parameter name="Mean" default="0.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the arithmetic mean of the distribution</description> ! </Parameter> ! <Parameter name="Standard_dev" default="1.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the standard deviation of the distribution, a positive number</description> ! </Parameter> ! <Parameter name="cumulative" default="TRUE"> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>is a logical value: for the cumulative distribution function, use TRUE; for the probability mass function, use FALSE</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 73,83 **** <alias>QuantLib::normDist</alias> <ParameterList> ! <Parameters> ! <Parameter name="Z"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the value for which you want the distribution</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 76,86 ---- <alias>QuantLib::normDist</alias> <ParameterList> ! <Parameters> ! <Parameter name="Z"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the value for which you want the distribution</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 93,113 **** <alias>QuantLib::normInv</alias> <ParameterList> ! <Parameters> ! <Parameter name="Probability"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> ! </Parameter> ! <Parameter name="Mean" default="0.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the arithmetic mean of the distribution</description> ! </Parameter> ! <Parameter name="Standard_dev" default="1.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the standard deviation of the distribution, a positive number</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 96,116 ---- <alias>QuantLib::normInv</alias> <ParameterList> ! <Parameters> ! <Parameter name="Probability"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> ! </Parameter> ! <Parameter name="Mean" default="0.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the arithmetic mean of the distribution</description> ! </Parameter> ! <Parameter name="Standard_dev" default="1.0"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is the standard deviation of the distribution, a positive number</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 123,133 **** <alias>QuantLib::normInv</alias> <ParameterList> ! <Parameters> ! <Parameter name="Probability"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 126,136 ---- <alias>QuantLib::normInv</alias> <ParameterList> ! <Parameters> ! <Parameter name="Probability"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 138,141 **** --- 141,189 ---- </Procedure> + <!-- SymmetricSchurDecomposition interface --> + + <!--Member name='qlEigenvalues' libraryClass='SymmetricSchurDecomposition'> + <description>Returns the eigenvalues of a symmetrix matrix</description> + <libraryFunction>eigenvalues</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description></description> + </ReturnValue> + </Member--> + + <Member name='qlEigenvectors' libraryClass='SymmetricSchurDecomposition'> + <description>Returns the eigenvectors of a symmetrix matrix. Eigenvectors are returned columnwise.</description> + <libraryFunction>eigenvectors</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description></description> + </ReturnValue> + </Member> + + <!-- SymmetricSchurDecomposition constructor --> + + <Constructor name='qlEigenDecomposition'> + <libraryFunction>SymmetricSchurDecomposition</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='symmetricMatrix' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>Symmetrix matrix to be decomposed</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> </Functions> |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:20:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv475/qlo Added Files: mathf.hpp symmetricschurdecomposition.cpp symmetricschurdecomposition.hpp Removed Files: math.hpp Log Message: exported SymmetricSchurDecomposition --- math.hpp DELETED --- --- NEW FILE: symmetricschurdecomposition.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_symmetricschurdecomposition_hpp #define qla_symmetricschurdecomposition_hpp #include <oh/objhandler.hpp> #include <ql/Math/symmetricschurdecomposition.hpp> namespace QuantLibAddin { class SymmetricSchurDecomposition : public ObjHandler::LibraryObject< QuantLib::SymmetricSchurDecomposition> { public: SymmetricSchurDecomposition::SymmetricSchurDecomposition( const QuantLib::Matrix & s); }; } #endif --- NEW FILE: symmetricschurdecomposition.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/symmetricschurdecomposition.hpp> namespace QuantLibAddin { SymmetricSchurDecomposition::SymmetricSchurDecomposition( const QuantLib::Matrix& s) { libraryObject_ = boost::shared_ptr< QuantLib::SymmetricSchurDecomposition>( new QuantLib::SymmetricSchurDecomposition(s)); } } --- NEW FILE: mathf.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_mathf_hpp #define qla_mathf_hpp #include <oh/objhandler.hpp> #endif |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:20:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv475 Modified Files: todonando.txt Log Message: exported SymmetricSchurDecomposition Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** todonando.txt 22 Jun 2006 20:49:48 -0000 1.19 --- todonando.txt 23 Jun 2006 17:20:55 -0000 1.20 *************** *** 9,13 **** - omits ReturnValue description - add optional LongDescription ! - move stubs in QuantLibObject OH --- 9,13 ---- - omits ReturnValue description - add optional LongDescription ! - move stub.qla.* in QuantLibObject OH *************** *** 17,22 **** QUANTLIBADDIN - SWAPTION PRICING ! - export discount,loglinear selection - enforce version number check - export Quote (see RateHelpers) --- 17,25 ---- QUANTLIBADDIN + - SWAP GRID - SWAPTION PRICING ! - check matrix functions ! - why qlSwaptionVTSMatrix (not qlSwaptionVTSMatrix2) crash ! - export discount, loglinear selection - enforce version number check - export Quote (see RateHelpers) *************** *** 25,30 **** - type coercion - implicit convertion of QuantLib::Rate input parameter is failing ! - BOND: add loopparameters - bootstrap: First Future stub period flag QUANTLIBXL --- 28,35 ---- - type coercion - implicit convertion of QuantLib::Rate input parameter is failing ! - BOND: add loopParameters - bootstrap: First Future stub period flag + - QuantLib::Array as input and output (see qlEigen*, and low discepancy + sequences) QUANTLIBXL |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:18:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31901/qlo Added Files: interpolation2D.cpp interpolation2D.hpp Log Message: exported Interpolation2D --- NEW FILE: interpolation2D.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_interpolation2D_hpp #define qla_interpolation2D_hpp #include <oh/objhandler.hpp> #include <qlo/interpolation.hpp> #include <ql/Math/matrix.hpp> namespace QuantLibAddin { enum Interpolation2DType { BiLinear, BiCubic }; class Interpolation2D : public Extrapolator { public: Interpolation2D(const Interpolation2DType t, const std::vector<double>& x, const std::vector<double>& y, const QuantLib::Matrix& dataMatrix); private: std::vector<double> x_, y_; QuantLib::Matrix dataMatrix_; }; } #endif --- NEW FILE: interpolation2D.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/interpolation2D.hpp> #include <ql/Math/bilinearinterpolation.hpp> #include <ql/Math/bicubicsplineinterpolation.hpp> namespace QuantLibAddin { Interpolation2D::Interpolation2D( const Interpolation2DType t, const std::vector<double>& x, const std::vector<double>& y, const QuantLib::Matrix& dataMatrix) : x_(x), y_(y), dataMatrix_(dataMatrix) { QL_REQUIRE(y.size()==dataMatrix_.rows(), "y size (" << y.size() << ") does not match number of rows in the data matrix (" << dataMatrix_.rows() << ")"); QL_REQUIRE(x.size()==dataMatrix_.columns(), "x size (" << x.size() << ") does not match number of columns in the data matrix (" << dataMatrix_.columns() << ")"); switch (t) { case BiLinear: libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::BilinearInterpolation(x_.begin(), x_.end(), y_.begin(), y_.end(), dataMatrix_)); break; case BiCubic: libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::BicubicSpline(x_.begin(), x_.end(), y_.begin(), y_.end(), dataMatrix_)); break; default: QL_FAIL("Unknown Interpolation2DType"); } } } |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:18:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31901/gensrc/metadata Modified Files: enumerations.xml interpolation.xml Log Message: exported Interpolation2D Index: enumerations.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumerations.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** enumerations.xml 19 Jun 2006 11:07:11 -0000 1.7 --- enumerations.xml 23 Jun 2006 17:18:14 -0000 1.8 *************** *** 78,81 **** --- 78,96 ---- <Enumeration> + <type>QuantLibAddin::Interpolation2DType</type> + <constructor>true</constructor> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>BiLinear</string> + <value>QuantLibAddin::BiLinear</value> + </EnumerationDefinition> + <EnumerationDefinition> + <string>BiCubic</string> + <value>QuantLibAddin::BiCubic</value> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> + + <Enumeration> <type>QuantLib::Average::Type</type> <constructor>true</constructor> Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** interpolation.xml 20 Jun 2006 09:18:11 -0000 1.14 --- interpolation.xml 23 Jun 2006 17:18:14 -0000 1.15 *************** *** 4,15 **** <includes> <include>qlo/interpolation.hpp</include> <include>qlo/vo_interpolation.hpp</include> <include>ql/Math/sabrinterpolation.hpp</include> </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> <Member name='qlEnableExtrapolation' libraryClass='Extrapolator'> <description>Sets the enable extrapolation flag</description> --- 4,20 ---- <includes> <include>qlo/interpolation.hpp</include> + <include>qlo/interpolation2D.hpp</include> <include>qlo/vo_interpolation.hpp</include> <include>ql/Math/sabrinterpolation.hpp</include> + <include>ql/Math/bilinearinterpolation.hpp</include> + <include>ql/Math/bicubicsplineinterpolation.hpp</include> </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> + <!-- Extrapolator interface --> + <Member name='qlEnableExtrapolation' libraryClass='Extrapolator'> <description>Sets the enable extrapolation flag</description> *************** *** 32,36 **** </Member> ! <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> <description>Returns interpolated values</description> <libraryFunction>operator()</libraryFunction> --- 37,43 ---- </Member> ! <!-- Interpolation interface --> ! ! <Member name='qlInterpolate' libraryClass='Interpolation' loopParameter='xValues'> <description>Returns interpolated values</description> <libraryFunction>operator()</libraryFunction> *************** *** 51,55 **** </ParameterList> <ReturnValue> ! <type>any</type> <tensorRank>vector</tensorRank> <description>interpolated y values</description> --- 58,62 ---- </ParameterList> <ReturnValue> ! <type>double</type> <tensorRank>vector</tensorRank> <description>interpolated y values</description> *************** *** 180,183 **** --- 187,192 ---- </Member> + <!-- Interpolation constructors --> + <Constructor name='qlLinearInterpolation'> <libraryFunction>LinearInterpolation</libraryFunction> *************** *** 297,300 **** --- 306,311 ---- </Constructor> + <!-- SABRInterpolation interface --> + <Member name='qlSABRInterpolationBeta' libraryClass='SABRInterpolation'> <description>Returns the beta of the SABR fit</description> *************** *** 409,412 **** --- 420,612 ---- </Member> + + <!-- Interpolation2D interface --> + + <Member name='qlInterpolation2DXmin' libraryClass='Interpolation2D'> + <description>Returns the minimum value of the x array</description> + <libraryFunction>xMin</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>minimum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation2DXmax' libraryClass='Interpolation2D'> + <description>Returns the maximum value of the x array</description> + <libraryFunction>xMax</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>maximum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation2DXvalues' libraryClass='Interpolation2D'> + <description>Returns the x array grid</description> + <libraryFunction>xValues</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>vector</tensorRank> + <description></description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation2DYmin' libraryClass='Interpolation2D'> + <description>Returns the minimum value of the y array</description> + <libraryFunction>yMin</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>minimum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation2DYmax' libraryClass='Interpolation2D'> + <description>Returns the maximum value of the y array</description> + <libraryFunction>yMax</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>maximum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation2DYvalues' libraryClass='Interpolation2D'> + <description>Returns the y array grid</description> + <libraryFunction>yValues</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>vector</tensorRank> + <description></description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation2DzData' libraryClass='Interpolation2D'> + <description>Returns the y array grid</description> + <libraryFunction>zData</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description></description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation2DIsInRange' libraryClass='Interpolation2D' loopParameter='xValues'> + <description>Returns TRUE if the input (x,y) value is in the allowed interpolation range</description> + <libraryFunction>isInRange</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='yValue'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>y value</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>vector</tensorRank> + <description></description> + </ReturnValue> + </Member> + + + <Member name='qlInterpolate2D' libraryClass='Interpolation2D' loopParameter='xValues'> + <description>Returns interpolated values for the (x,y) inputs</description> + <libraryFunction>operator()</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>x values: must match the number of columns in the data matrix</description> + </Parameter> + <Parameter name='yValue'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>y value: must match the number of rows in the data matrix</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>interpolated z values</description> + </ReturnValue> + </Member> + + + <!-- Interpolation2D constructor --> + + <Constructor name='qlInterpolation2D'> + <libraryFunction>Interpolation2D</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='type' enumeration='QuantLibAddin::Interpolation2DType'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>2D-interpolation type (e.g BiLinear, BiCubic)</description> + </Parameter> + <Parameter name='xArray'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>x array</description> + </Parameter> + <Parameter name='yArray'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>y array</description> + </Parameter> + <Parameter name='zMatrix' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>z-matrix values</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:16:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31020/qlo Modified Files: interpolation.cpp Log Message: QuantLib::Extrapolator is the right base class Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** interpolation.cpp 20 Jun 2006 09:18:11 -0000 1.9 --- interpolation.cpp 23 Jun 2006 17:16:26 -0000 1.10 *************** *** 32,42 **** const LinearInterpolationType t, const std::vector<double>& x, ! const std::vector<double>& y) : x_(x), y_(y) { ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); switch (t) { case LinearType: ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( new QuantLib::LinearInterpolation(x_.begin(), x_.end(), --- 32,42 ---- const LinearInterpolationType t, const std::vector<double>& x, ! const std::vector<double>& y) : x_(x), y_(y) ! { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); switch (t) { case LinearType: ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::LinearInterpolation(x_.begin(), x_.end(), *************** *** 44,48 **** break; case BackwardFlatType: ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( new QuantLib::BackwardFlatInterpolation(x_.begin(), x_.end(), --- 44,48 ---- break; case BackwardFlatType: ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::BackwardFlatInterpolation(x_.begin(), x_.end(), *************** *** 50,54 **** break; case ForwardFlatType: ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( new QuantLib::ForwardFlatInterpolation(x_.begin(), x_.end(), --- 50,54 ---- break; case ForwardFlatType: ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::ForwardFlatInterpolation(x_.begin(), x_.end(), *************** *** 69,77 **** QuantLib::CubicSpline::BoundaryCondition rightCondition, double rightConditionValue, ! bool monotonicityConstraint) : x_(x), y_(y) { ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( new QuantLib::CubicSpline( x_.begin(), x_.end(), y_.begin(), --- 69,77 ---- QuantLib::CubicSpline::BoundaryCondition rightCondition, double rightConditionValue, ! bool monotonicityConstraint) : x_(x), y_(y) ! { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::CubicSpline( x_.begin(), x_.end(), y_.begin(), *************** *** 91,97 **** double nu, double alpha, ! double rho) : x_(x), y_(y) { ! ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), --- 91,97 ---- double nu, double alpha, ! double rho) : x_(x), y_(y) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::SABRInterpolation( x_.begin(), x_.end(), y_.begin(), |
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From: Ferdinando A. <na...@us...> - 2006-06-23 17:15:38
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30554/qlo Modified Files: interpolation.hpp Log Message: fixed include guards Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** interpolation.hpp 20 Jun 2006 09:18:11 -0000 1.12 --- interpolation.hpp 23 Jun 2006 17:15:31 -0000 1.13 *************** *** 17,21 **** #ifndef qla_interpolation_hpp ! #define qla_interpolation_cpp #include <oh/objhandler.hpp> --- 17,21 ---- #ifndef qla_interpolation_hpp ! #define qla_interpolation_hpp #include <oh/objhandler.hpp> |
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From: Ferdinando A. <na...@us...> - 2006-06-23 10:35:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7164/qlo Modified Files: swap.hpp swaption.hpp Log Message: fixed include guards Index: swaption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** swaption.hpp 21 Jun 2006 12:49:51 -0000 1.3 --- swaption.hpp 23 Jun 2006 10:35:49 -0000 1.4 *************** *** 18,22 **** #ifndef qla_swaption_hpp ! #define qla_swaption_cpp #include <qlo/baseinstruments.hpp> --- 18,22 ---- #ifndef qla_swaption_hpp ! #define qla_swaption_hpp #include <qlo/baseinstruments.hpp> Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** swap.hpp 16 Jun 2006 17:37:20 -0000 1.7 --- swap.hpp 23 Jun 2006 10:35:49 -0000 1.8 *************** *** 21,25 **** #ifndef qla_swap_hpp ! #define qla_swap_cpp #include <qlo/baseinstruments.hpp> --- 21,25 ---- #ifndef qla_swap_hpp ! #define qla_swap_hpp #include <qlo/baseinstruments.hpp> |
