quantlibaddin-cvs Mailing List for QuantLibAddin (Page 53)
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From: Ferdinando A. <na...@us...> - 2006-06-23 10:34:39
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6642/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** swaptionvolstructure.xml 22 Jun 2006 18:51:19 -0000 1.13 --- swaptionvolstructure.xml 23 Jun 2006 10:34:30 -0000 1.14 *************** *** 208,212 **** <type>double</type> <tensorRank>matrix</tensorRank> ! <description>swaption volatilities </description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> --- 208,212 ---- <type>double</type> <tensorRank>matrix</tensorRank> ! <description>swaption volatilities</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> |
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From: Ferdinando A. <na...@us...> - 2006-06-23 07:22:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16156 Modified Files: QuantLibObjects.vcproj Log Message: VC7 catching up Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** QuantLibObjects.vcproj 22 Jun 2006 18:47:40 -0000 1.12 --- QuantLibObjects.vcproj 23 Jun 2006 07:22:21 -0000 1.13 *************** *** 561,565 **** </File> <File ! RelativePath="qlo\options.hpp"> </File> <File --- 561,565 ---- </File> <File ! RelativePath=".\qlo\options.hpp"> </File> <File *************** *** 582,585 **** --- 582,591 ---- </File> <File + RelativePath=".\qlo\swaption.cpp"> + </File> + <File + RelativePath=".\qlo\swaption.hpp"> + </File> + <File RelativePath="qlo\vanillaoption.cpp"> </File> *************** *** 624,627 **** --- 630,659 ---- </File> </Filter> + <Filter + Name="PricingEngines" + Filter=""> + <File + RelativePath=".\qlo\pricingengines.cpp"> + </File> + <File + RelativePath=".\qlo\pricingengines.hpp"> + </File> + </Filter> + <Filter + Name="Volatilities" + Filter=""> + <File + RelativePath=".\qlo\swaptionvolstructure.cpp"> + </File> + <File + RelativePath="qlo\swaptionvolstructure.hpp"> + </File> + <File + RelativePath="qlo\volatilities.cpp"> + </File> + <File + RelativePath="qlo\volatilities.hpp"> + </File> + </Filter> <File RelativePath="qlo\auto_link.hpp"> *************** *** 655,664 **** </File> <File - RelativePath=".\qlo\pricingengines.cpp"> - </File> - <File - RelativePath=".\qlo\pricingengines.hpp"> - </File> - <File RelativePath="qlo\processes.cpp"> </File> --- 687,690 ---- *************** *** 679,694 **** </File> <File - RelativePath=".\qlo\swaption.cpp"> - </File> - <File - RelativePath=".\qlo\swaption.hpp"> - </File> - <File - RelativePath=".\qlo\swaptionvolstructure.cpp"> - </File> - <File - RelativePath="qlo\swaptionvolstructure.hpp"> - </File> - <File RelativePath="qlo\typefactory.hpp"> </File> --- 705,708 ---- *************** *** 702,711 **** RelativePath="qlo\utilities.hpp"> </File> - <File - RelativePath="qlo\volatilities.cpp"> - </File> - <File - RelativePath="qlo\volatilities.hpp"> - </File> </Files> <Globals> --- 716,719 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-23 07:18:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13892/qlo Added Files: options.hpp Log Message: reverting wrong deletion --- NEW FILE: options.hpp --- /* Copyright (C) 2005, 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_options_hpp #define qla_options_hpp #include <qlo/asianoption.hpp> #include <qlo/barrieroption.hpp> #include <qlo/cliquetoption.hpp> #include <qlo/dividendvanillaoption.hpp> #include <qlo/europeanoption.hpp> #include <qlo/forwardvanillaoption.hpp> #include <qlo/quantoforwardvanillaoption.hpp> #include <qlo/quantovanillaoption.hpp> #include <qlo/vanillaoption.hpp> #endif |
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From: Ferdinando A. <na...@us...> - 2006-06-23 07:13:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12057/qlo Removed Files: options.hpp Log Message: useless file removed --- options.hpp DELETED --- |
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From: Ferdinando A. <na...@us...> - 2006-06-22 20:49:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26650 Modified Files: QuantLibObjects_vc8.vcproj todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** todonando.txt 22 Jun 2006 18:37:16 -0000 1.18 --- todonando.txt 22 Jun 2006 20:49:48 -0000 1.19 *************** *** 2,6 **** MODULES - reorganize file/folder/projectfolder ! - getting back all module into QuantLib - create QuantLib-other CVS mailing list --- 2,6 ---- MODULES - reorganize file/folder/projectfolder ! - getting back all module into QuantLib project - create QuantLib-other CVS mailing list *************** *** 17,20 **** --- 17,22 ---- QUANTLIBADDIN + - SWAPTION PRICING + - export discount,loglinear selection - enforce version number check - export Quote (see RateHelpers) *************** *** 22,29 **** - creare EURIBOR indexes enumeration - type coercion QUANTLIBXL - enforce version number check ! - perche' il YCbootstrapping non funzione se rateHelpers e' aperto - more calendar drop down cell menu - CALENDAR: default parameter (Following doesn't work) --- 24,38 ---- - creare EURIBOR indexes enumeration - type coercion + - implicit convertion of QuantLib::Rate input parameter is failing + - BOND: add loopparameters + - bootstrap: First Future stub period flag QUANTLIBXL + - SWAPTIONVOLMATRIX bug + - overwritten value vol Swaption ATM vols + - why RateHelpersReutersFeed keeps changing? + - merge old QuantLibXL functions - enforce version number check ! - why YCbootstrapping fails if RateHelpers.xls is open? - more calendar drop down cell menu - CALENDAR: default parameter (Following doesn't work) *************** *** 33,37 **** - INSTALLER: Excel must be closed - INSTALLER: what about rebooting? - - merge old QuantLibXL functions - INTERPOLATION: SABR verification - INTERPOLATION: spostare vecchi spreadsheets --- 42,45 ---- *************** *** 39,44 **** - signed spreadsheet and macro - normsdist bug - - overwritten value vol Swaption ATM vols - - why RateHelpersReutersFeed keeps changing? QuantLib --- 47,50 ---- *************** *** 58,62 **** - fare tutti i metodi che restituiscono un InterestRate - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? - - add loopparameters QuantLib RATEHELPERS --- 64,67 ---- *************** *** 74,80 **** - revise bondhelpers - ratehelper usato da piu' curve: funziona? - - export discount,loglinear selection - bootstrap ForwardSpreadedYieldCurve - - First Future stub period LUIGI --- 79,83 ---- Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** QuantLibObjects_vc8.vcproj 22 Jun 2006 10:18:47 -0000 1.20 --- QuantLibObjects_vc8.vcproj 22 Jun 2006 20:49:48 -0000 1.21 *************** *** 327,536 **** <Files> <Filter ! Name="Source Files" ! Filter="cpp;c;cxx;rc;def;r;odl;idl;hpj;bat" > <File ! 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RelativePath="qlo\volatilities.hpp" > </File> </Filter> + <File + RelativePath="qlo\auto_link.hpp" + > + </File> + <File + RelativePath="qlo\complextyperegistry.cpp" + > + </File> + <File + RelativePath=".\qlo\conversions.cpp" + > + </File> + <File + RelativePath=".\qlo\conversions.hpp" + > + </File> + <File + RelativePath="qlo\enumregistry.cpp" + > + </File> + <File + RelativePath="qlo\exercise.cpp" + > + </File> + <File + RelativePath="qlo\exercise.hpp" + > + </File> + <File + RelativePath="qlo\handle.hpp" + > + </File> + <File + RelativePath=".\qlo\index.cpp" + > + </File> + <File + RelativePath=".\qlo\index.hpp" + > + </File> + <File + RelativePath="qlo\processes.cpp" + > + </File> + <File + RelativePath="qlo\processes.hpp" + > + </File> + <File + RelativePath="qlo\qladdin.hpp" + > + </File> + <File + RelativePath="qlo\qladdindefines.hpp" + > + </File> + <File + RelativePath="qlo\schedule.cpp" + > + </File> + <File + RelativePath="qlo\schedule.hpp" + > + </File> + <File + RelativePath="qlo\typefactory.hpp" + > + </File> + <File + RelativePath="qlo\typeregistry.hpp" + > + </File> + <File + RelativePath="qlo\utilities.cpp" + > + </File> + <File + RelativePath="qlo\utilities.hpp" + > + </File> </Files> <Globals> |
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From: Ferdinando A. <na...@us...> - 2006-06-22 18:51:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5011/gensrc/metadata Modified Files: index.xml swaptionvolstructure.xml Log Message: implicit conversion of input parameters of type QuantLib::Rate, QuantLib::Volatility, etc is failing because of improper (implicit?) cast to long Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** index.xml 22 Jun 2006 10:18:48 -0000 1.1 --- index.xml 22 Jun 2006 18:51:19 -0000 1.2 *************** *** 64,68 **** <description>fixing date</description> </Parameter> ! <Parameter name='fixing' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> --- 64,68 ---- <description>fixing date</description> </Parameter> ! <Parameter name='fixing'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 89,93 **** <description>fixing dates</description> </Parameter> ! <Parameter name='fixings' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> --- 89,93 ---- <description>fixing dates</description> </Parameter> ! <Parameter name='fixings'> <type>double</type> <tensorRank>vector</tensorRank> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** swaptionvolstructure.xml 22 Jun 2006 18:36:21 -0000 1.12 --- swaptionvolstructure.xml 22 Jun 2006 18:51:19 -0000 1.13 *************** *** 32,36 **** <description>Underlying swap length as period (e.g. 5Y)</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> --- 32,36 ---- <description>Underlying swap length as period (e.g. 5Y)</description> </Parameter> ! <Parameter name='strike'> <type>double</type> <tensorRank>vector</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-06-22 18:47:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3049/gensrc Modified Files: gensrc.vcproj Log Message: VC7 catching up Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** gensrc.vcproj 16 Jun 2006 10:11:29 -0000 1.6 --- gensrc.vcproj 22 Jun 2006 18:47:40 -0000 1.7 *************** *** 64,67 **** --- 64,70 ---- </File> <File + RelativePath=".\metadata\index.xml"> + </File> + <File RelativePath="metadata\instruments.xml"> </File> *************** *** 79,82 **** --- 82,88 ---- </File> <File + RelativePath=".\metadata\pricingengines.xml"> + </File> + <File RelativePath="metadata\processes.xml"> </File> *************** *** 97,100 **** --- 103,109 ---- </File> <File + RelativePath=".\metadata\swaption.xml"> + </File> + <File RelativePath=".\metadata\swaptionvolstructure.xml"> </File> *************** *** 111,117 **** RelativePath="metadata\volatilities.xml"> </File> - <File - RelativePath="metadata\xibor.xml"> - </File> </Filter> <Filter --- 120,123 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-22 18:47:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3049 Modified Files: QuantLibObjects.vcproj Log Message: VC7 catching up Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** QuantLibObjects.vcproj 20 Jun 2006 09:18:11 -0000 1.11 --- QuantLibObjects.vcproj 22 Jun 2006 18:47:40 -0000 1.12 *************** *** 341,396 **** </File> <File ! RelativePath="qlo\vo_calendar.cpp"> </File> <File ! RelativePath="qlo\vo_calendar.hpp"> </File> <File ! RelativePath="qlo\vo_capfloor.cpp"> </File> <File ! RelativePath="qlo\vo_capfloor.hpp"> </File> <File ! RelativePath="qlo\vo_couponvectors.cpp"> </File> <File ! RelativePath="qlo\vo_couponvectors.hpp"> </File> <File ! RelativePath="qlo\vo_exercise.cpp"> </File> <File ! RelativePath="qlo\vo_exercise.hpp"> </File> <File ! RelativePath="qlo\vo_forwardrateagreement.cpp"> </File> <File ! RelativePath="qlo\vo_forwardrateagreement.hpp"> </File> <File ! RelativePath="qlo\vo_interpolation.cpp"> </File> <File ! RelativePath="qlo\vo_interpolation.hpp"> </File> <File ! RelativePath="qlo\vo_options.cpp"> </File> <File ! RelativePath="qlo\vo_options.hpp"> </File> <File ! RelativePath="qlo\vo_processes.cpp"> </File> <File ! RelativePath="qlo\vo_processes.hpp"> </File> <File ! RelativePath="qlo\vo_randomsequencegenerator.cpp"> </File> <File ! RelativePath="qlo\vo_randomsequencegenerator.hpp"> </File> <File --- 341,408 ---- </File> <File ! RelativePath=".\qlo\vo_calendar.cpp"> </File> <File ! RelativePath=".\qlo\vo_calendar.hpp"> </File> <File ! RelativePath=".\qlo\vo_capfloor.cpp"> </File> <File ! RelativePath=".\qlo\vo_capfloor.hpp"> </File> <File ! RelativePath=".\qlo\vo_couponvectors.cpp"> </File> <File ! RelativePath=".\qlo\vo_couponvectors.hpp"> </File> <File ! RelativePath=".\qlo\vo_exercise.cpp"> </File> <File ! RelativePath=".\qlo\vo_exercise.hpp"> </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.cpp"> </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.hpp"> </File> <File ! RelativePath=".\qlo\vo_index.cpp"> </File> <File ! RelativePath=".\qlo\vo_index.hpp"> </File> <File ! RelativePath=".\qlo\vo_interpolation.cpp"> </File> <File ! RelativePath=".\qlo\vo_interpolation.hpp"> </File> <File ! RelativePath=".\qlo\vo_options.cpp"> </File> <File ! RelativePath=".\qlo\vo_options.hpp"> </File> <File ! RelativePath=".\qlo\vo_pricingengines.cpp"> </File> <File ! RelativePath=".\qlo\vo_pricingengines.hpp"> ! </File> ! <File ! RelativePath=".\qlo\vo_processes.cpp"> ! </File> ! <File ! RelativePath=".\qlo\vo_processes.hpp"> ! </File> ! <File ! RelativePath=".\qlo\vo_randomsequencegenerator.cpp"> ! </File> ! <File ! RelativePath=".\qlo\vo_randomsequencegenerator.hpp"> </File> <File *************** *** 401,454 **** </File> <File ! RelativePath="qlo\vo_schedule.cpp"> </File> <File ! RelativePath="qlo\vo_schedule.hpp"> </File> <File ! RelativePath="qlo\vo_shortratemodels.cpp"> </File> <File ! RelativePath="qlo\vo_shortratemodels.hpp"> </File> <File ! RelativePath="qlo\vo_swap.cpp"> </File> <File ! RelativePath="qlo\vo_swap.hpp"> </File> <File ! RelativePath="qlo\vo_termstructures.cpp"> </File> <File ! RelativePath="qlo\vo_termstructures.hpp"> </File> <File ! RelativePath="qlo\vo_vanillaswap.cpp"> </File> <File ! RelativePath="qlo\vo_vanillaswap.hpp"> </File> <File ! RelativePath="qlo\vo_volatilities.cpp"> </File> <File ! RelativePath="qlo\vo_volatilities.hpp"> </File> <File ! RelativePath="qlo\vo_xibor.cpp"> </File> <File ! RelativePath="qlo\vo_xibor.hpp"> </File> - </Filter> - <Filter - Name="Indexes" - Filter=""> <File ! RelativePath="qlo\xibor.cpp"> </File> <File ! RelativePath="qlo\xibor.hpp"> </File> </Filter> --- 413,462 ---- </File> <File ! RelativePath=".\qlo\vo_schedule.cpp"> </File> <File ! RelativePath=".\qlo\vo_schedule.hpp"> </File> <File ! RelativePath=".\qlo\vo_shortratemodels.cpp"> </File> <File ! RelativePath=".\qlo\vo_shortratemodels.hpp"> </File> <File ! RelativePath=".\qlo\vo_swap.cpp"> </File> <File ! RelativePath=".\qlo\vo_swap.hpp"> </File> <File ! RelativePath=".\qlo\vo_swaption.cpp"> </File> <File ! RelativePath=".\qlo\vo_swaption.hpp"> </File> <File ! RelativePath=".\qlo\vo_swaptionvolstructure.cpp"> </File> <File ! RelativePath=".\qlo\vo_swaptionvolstructure.hpp"> </File> <File ! RelativePath=".\qlo\vo_termstructures.cpp"> </File> <File ! RelativePath=".\qlo\vo_termstructures.hpp"> </File> <File ! RelativePath=".\qlo\vo_vanillaswap.cpp"> </File> <File ! RelativePath=".\qlo\vo_vanillaswap.hpp"> </File> <File ! RelativePath=".\qlo\vo_volatilities.cpp"> </File> <File ! RelativePath=".\qlo\vo_volatilities.hpp"> </File> </Filter> *************** *** 541,550 **** </File> <File - RelativePath="qlo\fixedcouponbond.cpp"> - </File> - <File - RelativePath="qlo\fixedcouponbond.hpp"> - </File> - <File RelativePath="qlo\forwardrateagreement.cpp"> </File> --- 549,552 ---- *************** *** 559,565 **** </File> <File - RelativePath="qlo\instruments.hpp"> - </File> - <File RelativePath="qlo\options.hpp"> </File> --- 561,564 ---- *************** *** 594,603 **** RelativePath="qlo\vanillaswap.hpp"> </File> - <File - RelativePath="qlo\zerocouponbond.cpp"> - </File> - <File - RelativePath="qlo\zerocouponbond.hpp"> - </File> </Filter> <Filter --- 593,596 ---- *************** *** 656,659 **** --- 649,664 ---- </File> <File + RelativePath=".\qlo\index.cpp"> + </File> + <File + RelativePath=".\qlo\index.hpp"> + </File> + <File + RelativePath=".\qlo\pricingengines.cpp"> + </File> + <File + RelativePath=".\qlo\pricingengines.hpp"> + </File> + <File RelativePath="qlo\processes.cpp"> </File> *************** *** 674,677 **** --- 679,691 ---- </File> <File + RelativePath=".\qlo\swaption.cpp"> + </File> + <File + RelativePath=".\qlo\swaption.hpp"> + </File> + <File + RelativePath=".\qlo\swaptionvolstructure.cpp"> + </File> + <File RelativePath="qlo\swaptionvolstructure.hpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-06-22 18:37:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30666 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** todonando.txt 21 Jun 2006 12:50:21 -0000 1.17 --- todonando.txt 22 Jun 2006 18:37:16 -0000 1.18 *************** *** 1,28 **** ! reorganize file/folder/projectfolder ! getting back all module into QuantLib ! permanent object as discussed ! earliest days dovrebbe tener conto dei fixing days ! ERIC - export Quote (see RateHelpers) ! - check double recalc for bootstrapping ! DESIGN ! - refactor ObjectHandler /OHXL ! - move stubs in QuantLibObject - enforce version number check ! - use QL folder structure in QLA ! ! GENSRC ! - return enumerations ! - omits ReturnValue description ! - add optional LongDescription QuantLib - corregere OneAssetOption impliedVol - impliedVol per Swaption LUIGI --- 1,80 ---- ! MODULES ! - reorganize file/folder/projectfolder ! - getting back all module into QuantLib ! - create QuantLib-other CVS mailing list ! GENSRC ! - return enumerations ! - omits ReturnValue description ! - add optional LongDescription ! - move stubs in QuantLibObject + OH + - enforce version number check + - refactor ObjectHandler /OHXL + - permanent object as discussed ! QUANTLIBADDIN ! - enforce version number check - export Quote (see RateHelpers) ! - use QL folder structure ! - creare EURIBOR indexes enumeration ! - type coercion ! QUANTLIBXL - enforce version number check ! - perche' il YCbootstrapping non funzione se rateHelpers e' aperto ! - more calendar drop down cell menu ! - CALENDAR: default parameter (Following doesn't work) ! - DAYCOUNTER: default parameter? ! - DAYCOUNTER: loop parameters ! - YYYYDDMM_HHMM timestamp in log file name ! - INSTALLER: Excel must be closed ! - INSTALLER: what about rebooting? ! - merge old QuantLibXL functions ! - INTERPOLATION: SABR verification ! - INTERPOLATION: spostare vecchi spreadsheets ! - Next/Previous Day in YCBootstrapping ! - signed spreadsheet and macro ! - normsdist bug ! - overwritten value vol Swaption ATM vols ! - why RateHelpersReutersFeed keeps changing? QuantLib - corregere OneAssetOption impliedVol - impliedVol per Swaption + - SWAP implement fair rate for floating/fixed rate vector + - FRA use Index + - SWAP index objects + - add SABR factory + - use boost ublas + - use boost random number generators + - COUPON refactoring + - SCHEDULE refactoring + + QuantLib BOND + - perche' lo yield non ha la frequenza? + - fare tutti i metodi che restituiscono un InterestRate + - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? + - add loopparameters + + QuantLib RATEHELPERS + - earliest days dovrebbe tener conto dei fixing days + + QuantLib YIELDCURVEBOOTSTRAP + - add new flag: depo only to cover stub period + - check RateHelper prices and QL_FAIL for invalid input + - ALERT if bootstrap fails + + QuantLib PIECEWISEYIELDCURVE + - FRARateHelper deve avere dentro in FRA Instrument + - turn of year + - extended grid with all relevant dates + - revise bondhelpers + - ratehelper usato da piu' curve: funziona? + - export discount,loglinear selection + - bootstrap ForwardSpreadedYieldCurve + - First Future stub period LUIGI *************** *** 39,114 **** - generic ForwardSpreadedYieldCurve (spread term structure) - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve - - PIECEWISEYIELDCURVE - - FRARateHelper deve avere dentro in FRA Instrument - - turn of year - - extended grid with all relevant dates - - revise bondhelpers - - ratehelper usato da piu' curve: funziona? - - export discount,loglinear selection - - bootstrap ForwardSpreadedYieldCurve - - First Future stub period - - DATE - - CALENDAR - - default parameter (Following doesn't work) - - more calendar drop down cell menu - - DAYCOUNTER - - default parameter? - - loop parameters - why DayCounter::method is not static? (because they're virtual?) - - SWAP - - implement fair rate for floating/fixed rate vector - - trigger swap check calculation - - FRA - - use Index - - BOOST - - use ublas - - use random number generators - - INSTALLER - - Excel must be closed - - what about rebooting? - - INTERPOLATION - - SABR verification - - add SABR factory - - spostare vecchi spreadsheets interpolazione - - QUANTLIBXL - - merge old QuantLibXL functions - - VBA Framework - - YYYYDDMM_HHMM timestamp in log file name - - SPREADSHEETS - - Next/Previous Day in YCBootstrapping - - signed spreadsheet and macro - - normsdist bug - - RICHIESTE ASSURDE - - trigger a tempo - - XIBOR - - creare indexes enumeration - - possono mancare i fixings in un seasoned swap - - COUPON - * refactoring - - SCHEDULE - - refactoring - - BOND - - perche' lo yield non ha la frequenza? - - fare tutti i metodi che restituiscono un InterestRate - - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? - - add loopparameters - - BUG - - perche' il YCbootstrapping non funzione se rateHelpers e' aperto --- 91,93 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-22 18:37:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30492/gensrc/metadata Modified Files: ratehelpers.xml Log Message: smarter default value for RateHelpers constructor Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** ratehelpers.xml 22 Jun 2006 10:18:48 -0000 1.8 --- ratehelpers.xml 22 Jun 2006 18:37:04 -0000 1.9 *************** *** 100,104 **** <ParameterList> <Parameters> ! <Parameter name='quote'> <type>double</type> <tensorRank>scalar</tensorRank> --- 100,104 ---- <ParameterList> <Parameters> ! <Parameter name='quote' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 139,143 **** <ParameterList> <Parameters> ! <Parameter name='quote'> <type>double</type> <tensorRank>scalar</tensorRank> --- 139,143 ---- <ParameterList> <Parameters> ! <Parameter name='quote' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 228,232 **** <ParameterList> <Parameters> ! <Parameter name='price'> <type>double</type> <tensorRank>scalar</tensorRank> --- 228,232 ---- <ParameterList> <Parameters> ! <Parameter name='price' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-06-22 18:36:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30207/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: exported SwaptionConstantVolatility Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** swaptionvolstructure.xml 22 Jun 2006 10:18:08 -0000 1.11 --- swaptionvolstructure.xml 22 Jun 2006 18:36:21 -0000 1.12 *************** *** 3,6 **** --- 3,12 ---- <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> <displayName>Swaption Volatility Term Structures</displayName> + <includes> + <include>qlo/swaptionvolstructure.hpp</include> + <include>qlo/vo_swaptionvolstructure.hpp</include> + <include>ql/Volatilities/swaptionvolmatrix.hpp</include> + <include>ql/Volatilities/swaptionconstantvol.hpp</include> + </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano *************** *** 146,149 **** --- 152,187 ---- + + + <Constructor name='qlSwaptionVTSConstant'> + <libraryFunction>SwaptionConstantVolatility</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EGO</platforms> + <ParameterList> + <Parameters> + <Parameter name='referenceDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>reference date</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. 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='qlSwaptionVTSMatrix'> <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> |
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From: Ferdinando A. <na...@us...> - 2006-06-22 18:36:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30207/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: exported SwaptionConstantVolatility Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** swaptionvolstructure.cpp 20 Jun 2006 15:29:54 -0000 1.3 --- swaptionvolstructure.cpp 22 Jun 2006 18:36:21 -0000 1.4 *************** *** 21,32 **** #include <qlo/swaptionvolstructure.hpp> namespace QuantLibAddin { ! SwaptionVolatilityMatrix::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) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( --- 21,46 ---- #include <qlo/swaptionvolstructure.hpp> + #include <ql/Volatilities/swaptionvolmatrix.hpp> + #include <ql/Volatilities/swaptionconstantvol.hpp> namespace QuantLibAddin { ! SwaptionConstantVolatility::SwaptionConstantVolatility( ! const QuantLib::Date& referenceDate, ! const double volatility, ! const QuantLib::DayCounter& dayCounter) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionConstantVolatility(referenceDate, ! volatility, ! dayCounter)); ! } ! ! SwaptionVolatilityMatrix::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) { libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaptionvolstructure.hpp 20 Jun 2006 15:29:54 -0000 1.4 --- swaptionvolstructure.hpp 22 Jun 2006 18:36:21 -0000 1.5 *************** *** 23,27 **** #include <ql/swaptionvolstructure.hpp> #include <qlo/termstructures.hpp> - #include <ql/Volatilities/swaptionvolmatrix.hpp> namespace QuantLibAddin { --- 23,26 ---- *************** *** 29,32 **** --- 28,38 ---- class SwaptionVolatilityStructure : public TermStructure {}; + class SwaptionConstantVolatility : public SwaptionVolatilityStructure { + public: + SwaptionConstantVolatility(const QuantLib::Date& referenceDate, + const double volatility, + const QuantLib::DayCounter& dayCounter); + }; + class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { public: |
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From: Cristina D. <cdu...@us...> - 2006-06-22 16:58:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16402/qlo Modified Files: pricingengines.cpp pricingengines.hpp Log Message: exported BlackCapFloorEngine Index: pricingengines.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** pricingengines.cpp 22 Jun 2006 10:41:34 -0000 1.5 --- pricingengines.cpp 22 Jun 2006 16:58:04 -0000 1.6 *************** *** 32,41 **** BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility vol) { ! QuantLib::Handle<QuantLib::Quote> vol_hq( ! boost::shared_ptr<QuantLib::Quote>( ! new QuantLib::SimpleQuote(vol))); libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( ! new QuantLib::BlackCapFloorEngine(vol_hq)); } --- 32,49 ---- BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility vol) { ! ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( ! new QuantLib::SimpleQuote(vol)); ! quoteHandle_.linkTo(quote_); libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( ! new QuantLib::BlackCapFloorEngine(quoteHandle_)); ! ! //QuantLib::Handle<QuantLib::Quote> vol_hq( ! // boost::shared_ptr<QuantLib::Quote>( ! // new QuantLib::SimpleQuote(vol))); ! ! //libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( ! // new QuantLib::BlackCapFloorEngine(vol_hq)); } Index: pricingengines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** pricingengines.hpp 22 Jun 2006 10:41:34 -0000 1.4 --- pricingengines.hpp 22 Jun 2006 16:58:04 -0000 1.5 *************** *** 39,42 **** --- 39,45 ---- public: BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility); + private: + boost::shared_ptr<QuantLib::SimpleQuote> quote_; + QuantLib::Handle<QuantLib::Quote> quoteHandle_; }; } |
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From: Cristina D. <cdu...@us...> - 2006-06-22 16:58:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16402/gensrc/metadata Modified Files: pricingengines.xml Log Message: exported BlackCapFloorEngine Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** pricingengines.xml 22 Jun 2006 10:41:33 -0000 1.4 --- pricingengines.xml 22 Jun 2006 16:58:03 -0000 1.5 *************** *** 32,39 **** <ParameterList> <Parameters> ! <Parameter name='vol' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>cap/floor Black volatility</description> </Parameter> </Parameters> --- 32,39 ---- <ParameterList> <Parameters> ! <Parameter name='vol'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>cap/floor term volatility</description> </Parameter> </Parameters> |
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From: Ferdinando A. <na...@us...> - 2006-06-22 15:18:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3331/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: bug fix Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** ratehelpers.hpp 18 Jun 2006 18:54:32 -0000 1.3 --- ratehelpers.hpp 22 Jun 2006 15:18:13 -0000 1.4 *************** *** 81,85 **** std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentHandles, const std::vector<bool>& includeFlag, const std::vector<long>& priority, --- 81,85 ---- std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentIDs, const std::vector<bool>& includeFlag, const std::vector<long>& priority, Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** ratehelpers.cpp 20 Jun 2006 09:44:18 -0000 1.4 --- ratehelpers.cpp 22 Jun 2006 15:18:13 -0000 1.5 *************** *** 127,138 **** struct RateHelperItem { ! QuantLib::Date latestDate; ! long priority; std::string instanceName; ! RateHelperItem( ! const QuantLib::Date& latestDate, ! const long& priority, ! const std::string& instanceName) ! : latestDate(latestDate), priority(priority), instanceName(instanceName) {} }; --- 127,145 ---- struct RateHelperItem { ! bool isFutures; std::string instanceName; ! bool includeFlag; ! long priority; ! QuantLib::Date earliestDate; ! QuantLib::Date latestDate; ! RateHelperItem(bool isFutures, ! const std::string& instanceName, ! const bool includeFlag, ! const long& priority, ! const QuantLib::Date& earliestDate, ! const QuantLib::Date& latestDate) ! : isFutures(isFutures), instanceName(instanceName), ! includeFlag(includeFlag), priority(priority), ! earliestDate(earliestDate), latestDate(latestDate) {} }; *************** *** 161,165 **** std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentHandles, const std::vector<bool>& includeFlag, const std::vector<long>& priority, --- 168,172 ---- std::vector<std::string> qlRateHelperSelection( ! const std::vector<std::string>& instrumentID, const std::vector<bool>& includeFlag, const std::vector<long>& priority, *************** *** 167,176 **** const long frontContractRollingDays) { ! QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); QL_REQUIRE(frontContractRollingDays>=0, "negative (" << frontContractRollingDays << ")frontContractRollingDays"); ! QuantLib::Size nInstruments = instrumentHandles.size(); QL_REQUIRE(includeFlag.size()==nInstruments, "includeFlag / instruments mismatch"); --- 174,183 ---- const long frontContractRollingDays) { ! QL_REQUIRE(!instrumentID.empty(), "no instrument given"); QL_REQUIRE(frontContractRollingDays>=0, "negative (" << frontContractRollingDays << ")frontContractRollingDays"); ! QuantLib::Size nInstruments = instrumentID.size(); QL_REQUIRE(includeFlag.size()==nInstruments, "includeFlag / instruments mismatch"); *************** *** 178,213 **** "priority / instruments mismatch"); ! std::vector<boost::shared_ptr<RateHelper> > instruments; ! for (std::vector<std::string>::const_iterator it = instrumentHandles.begin(); ! it != instrumentHandles.end(); it++) { ! OH_GET_OBJECT(objectPointer, *it, RateHelper) ! instruments.push_back(objectPointer); } // purge input rate helpers according to their includeFlag, // their expiration, and maximum number of allowed futures - std::vector<detail::RateHelperItem> rhs; - QuantLib::Size i; long futuresCounter = 0; ! QuantLib::Date earliestDate, evalDate = QuantLib::Settings::instance().evaluationDate(); for (i=0; i<nInstruments; i++) { ! const boost::shared_ptr < QuantLib::RateHelper > temp = ! instruments[i]->getLibraryObject < QuantLib::RateHelper >(); ! earliestDate = temp->earliestDate(); ! if (includeFlag[i]) { ! if (!boost::dynamic_pointer_cast<FuturesRateHelper>(instruments[i]) && ! (earliestDate >= evalDate)) { ! rhs.push_back(detail::RateHelperItem(temp->latestDate(), ! priority[i], instrumentHandles[i])); } else if (futuresCounter<nFutures && ! (earliestDate-2-frontContractRollingDays >= evalDate)) { futuresCounter++; ! rhs.push_back(detail::RateHelperItem(temp->latestDate(), ! priority[i], instrumentHandles[i])); } } } ! std::vector<std::string> instanceNames; // zero or one rate helper left --- 185,233 ---- "priority / instruments mismatch"); ! // RateHelperItem ! std::vector<detail::RateHelperItem> rhsAll; ! boost::shared_ptr<QuantLib::RateHelper> qlrh; ! QuantLib::Size i; ! for (i=0; i<nInstruments; i++) ! { ! OH_GET_OBJECT(qlarh, instrumentID[i], RateHelper); ! bool isFutures; ! if (boost::dynamic_pointer_cast<FuturesRateHelper>(qlarh)) ! isFutures = true; ! else ! isFutures = false; ! ! qlrh = qlarh->getLibraryObject<QuantLib::RateHelper>(); ! rhsAll.push_back(detail::RateHelperItem(isFutures, ! instrumentID[i], ! includeFlag[i], ! priority[i], ! qlrh->earliestDate(), ! qlrh->latestDate())); } + // preliminary sort RateHelperItems according to + // their latest date and priority + std::sort(rhsAll.begin(), rhsAll.end(), + detail::RateHelperPrioritySorter()); + // purge input rate helpers according to their includeFlag, // their expiration, and maximum number of allowed futures long futuresCounter = 0; ! QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate(); ! std::vector<detail::RateHelperItem> rhs; for (i=0; i<nInstruments; i++) { ! if (rhsAll[i].includeFlag) { ! if (!rhsAll[i].isFutures && (rhsAll[i].earliestDate >= evalDate)) { ! rhs.push_back(rhsAll[i]); } else if (futuresCounter<nFutures && ! (rhsAll[i].earliestDate-2-frontContractRollingDays >= evalDate)) { futuresCounter++; ! rhs.push_back(rhsAll[i]); } } } ! std::vector<std::string> result; // zero or one rate helper left *************** *** 215,220 **** std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! instanceNames.push_back(i->instanceName); ! return instanceNames; } --- 235,240 ---- std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! result.push_back(i->instanceName); ! return result; } *************** *** 222,233 **** std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); for (i=0; i<rhs.size()-1; i++) { if (rhs[i].latestDate < rhs[i+1].latestDate) ! instanceNames.push_back(rhs[i].instanceName); } // add the last one in any case ! instanceNames.push_back(rhs[i].instanceName); ! return instanceNames; } --- 242,254 ---- std::sort(rhs.begin(), rhs.end(), detail::RateHelperPrioritySorter()); + // remove RateHelpers with duplicate latestDate for (i=0; i<rhs.size()-1; i++) { if (rhs[i].latestDate < rhs[i+1].latestDate) ! result.push_back(rhs[i].instanceName); } // add the last one in any case ! result.push_back(rhs[i].instanceName); ! return result; } |
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From: Eric E. <eri...@us...> - 2006-06-22 11:00:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15478/Docs Modified Files: docs-QuantLibAddin.vcproj Log Message: restructure documentation Index: docs-QuantLibAddin.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin.vcproj,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** docs-QuantLibAddin.vcproj 22 Jun 2006 10:35:02 -0000 1.2 --- docs-QuantLibAddin.vcproj 22 Jun 2006 11:00:54 -0000 1.3 *************** *** 13,18 **** <Configuration Name="All|Win32" ! OutputDirectory="Debug" ! IntermediateDirectory="Debug" ConfigurationType="0"> <Tool --- 13,18 ---- <Configuration Name="All|Win32" ! OutputDirectory="build\vc" ! IntermediateDirectory="build\vc" ConfigurationType="0"> <Tool |
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From: Eric E. <eri...@us...> - 2006-06-22 10:56:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13624/Docs/pages Modified Files: evaluationdate.docs extending.docs faq.docs index.docs installation.docs Log Message: restructure documentation Index: index.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/index.docs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** index.docs 19 May 2006 16:56:16 -0000 1.1 --- index.docs 22 Jun 2006 10:56:35 -0000 1.2 *************** *** 1,66 **** ! /* ! Copyright (C) 2005, 2006 Eric Ehlers ! This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ ! QuantLib is free software developed by the QuantLib Group; you can ! redistribute it and/or modify it under the terms of the QuantLib License; ! either version 1.0, or (at your option) any later version. ! ! 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 ! QuantLib License for more details. ! ! You should have received a copy of the QuantLib License along with this ! program; if not, please email qua...@li... ! The QuantLib License is also available at http://quantlib.org/license.html ! The members of the QuantLib Group are listed in the QuantLib License */ ! /*! \page index QuantLibAddin \section overview Overview ! %QuantLibAddin implements an interface supporting a subset of QuantLib ! functionality. Constructor, member and utility functions are defined ! in XML metadata from which a Python application generates source code ! for supported platforms: ! ! \li Microsoft Excel ! \li OpenOffice.Org Calc (Windows and Linux) ! \li Guile ! \li C/C++ (standalone programs) ! ! <div class="center"><img src="images/screenshot.jpg"></div> ! ! The ObjectHandler repository is used to provide an object oriented ! environment even on procedural platforms such as spreadsheets - QuantLib ! objects may be constructed, interrogated, passed as arguments to other ! functions, and destructed. Polymorphism is supported, for example ! function qlNPV returns the NPV of an Instrument and can be invoked on ! an instance of any derived class - Swap, Bond, etc. ! ! \section quantlib QuantLib ! ! %QuantLibAddin shares the QuantLib project structure with regard to ! distribution, licensing, etc., all of which is documented on the main ! QuantLib website:<br> ! http://quantlib.org ! ! \section introduction Introduction ! Please refer to document \ref installation for instructions on ! building %QuantLibAddin. ! The section \ref functional provides platform-independent, ! end-user documentation of %QuantLibAddin functionality. ! Additional information is available from the links at the left, ! if you have a question which is not answered here please send ! email to qua...@li.... */ --- 1,118 ---- ! /* ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov ! 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. */ ! // this file generated automatically by gensrc.py ! // editing this file manually is not recommended + /*! \page index Indices \section overview Overview + functions to construct QuantLib Index objects + \section functionlist Function List + \ref qlIndexAddFixing ()\n + \ref qlIndexAddFixings ()\n + \ref qlIndexFixing ()\n + \ref qlIndexName ()\n + \ref qlXibor ()\n + \section documentation Function Documentation + \anchor qlIndexAddFixing \b qlIndexAddFixing + \code + void returnValue + qlIndexAddFixing( + string objectID + long fixingDate + double fixing) + \endcode + \par Description: + add a fixing for the given Index object + \param objectID id of existing QuantLib Index object + \param fixingDate fixing date + \param fixing fixing value + \return SUCCESS/FAILURE ! \anchor qlIndexAddFixings \b qlIndexAddFixings ! \code ! void returnValue ! qlIndexAddFixings( ! string objectID ! long fixingDates ! double fixings) ! \endcode ! \par Description: ! add fixings for the given Index object ! \param objectID id of existing ObjectHandler Index object ! \param fixingDates fixing dates ! \param fixings fixing values ! \return SUCCESS/FAILURE ! \anchor qlIndexFixing \b qlIndexFixing ! \code ! any returnValue ! qlIndexFixing( ! string objectID ! long fixingDate ! bool forecastTodaysFixing) ! \endcode ! \par Description: ! retrive the fixing for the given Index object ! \param objectID id of existing QuantLib Index object ! \param fixingDate fixing date(s) ! \param forecastTodaysFixing forecast today's fixing even if the actual fixing is already available ! \return index fixing(s) ! \anchor qlIndexName \b qlIndexName ! \code ! string returnValue ! qlIndexName( ! string objectID) ! \endcode ! \par Description: ! retrive the name for the given Index object ! \param objectID id of existing QuantLib Index object ! \return index name ! \anchor qlXibor \b qlXibor ! \code ! string returnValue ! qlXibor( ! string objectID ! string IndexName ! string tenor ! long fixingDays ! string Currency ! string calendar ! string BDayConvention ! string dayCounter ! string termStructureID ! any permanent) ! \endcode ! \par Description: ! Construct an object of class Xibor and return its id ! \param objectID id of existing QuantLib object ! \param IndexName index name ! \param tenor index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year) ! \param fixingDays fixing days (e.g. 2) ! \param Currency Index Currency ! \param calendar holiday calendar (e.g. TARGET) ! \param BDayConvention business day convention (e.g. ModifiedFollowing) ! \param dayCounter day counter (e.g. Actual360) ! \param termStructureID forecasting term structure ! \param permanent object permanent/nonpermanent ! \return id of newly created object */ Index: extending.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/extending.docs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** extending.docs 19 May 2006 16:56:16 -0000 1.1 --- extending.docs 22 Jun 2006 10:56:35 -0000 1.2 *************** *** 40,44 **** ... and implement new class <tt>%QuantLibAddin::%FixedCouponBond</tt>, which wraps \c QuantLib::FixedCouponBond. Workspaces for the core %QuantLibAddin project must be updated to pick up the new files. ! File <tt>%generalutils.hpp</tt> in the qla directory can be \c #included to pick up additional utility functions. \subsection clientscpp Clients/C++ --- 40,44 ---- ... and implement new class <tt>%QuantLibAddin::%FixedCouponBond</tt>, which wraps \c QuantLib::FixedCouponBond. Workspaces for the core %QuantLibAddin project must be updated to pick up the new files. ! File <tt>%generalutils.hpp</tt> in the qla directory can be \c included to pick up additional utility functions. \subsection clientscpp Clients/C++ Index: evaluationdate.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/evaluationdate.docs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** evaluationdate.docs 19 May 2006 16:56:16 -0000 1.1 --- evaluationdate.docs 22 Jun 2006 10:56:35 -0000 1.2 *************** *** 30,34 **** Alternatively QuantLib offers support for Sessions which allow the client application to implement multiple instances of the evaluation date. When this functionality is enabled, %QuantLibAddin defines a session as an Excel workbook, so that a group of related objects which require a common instance of the evaluation date can be isolated in a single workbook. ! Function \ref qlEvalDate can be called to query the value of the Evaluation Date in a given context. \section eval_quantlib QuantLib --- 30,34 ---- Alternatively QuantLib offers support for Sessions which allow the client application to implement multiple instances of the evaluation date. When this functionality is enabled, %QuantLibAddin defines a session as an Excel workbook, so that a group of related objects which require a common instance of the evaluation date can be isolated in a single workbook. ! Function \ref qlEvaluationDate can be called to query the value of the Evaluation Date in a given context. \section eval_quantlib QuantLib Index: installation.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/installation.docs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** installation.docs 19 May 2006 16:56:16 -0000 1.1 --- installation.docs 22 Jun 2006 10:56:35 -0000 1.2 *************** *** 24,28 **** /*! \page installation Installation ! \subsection installation_overview Overview This document provides general instructions for building and installing --- 24,28 ---- /*! \page installation Installation ! \section installation_overview Overview This document provides general instructions for building and installing *************** *** 42,46 **** <dt>\ref windows_installation</dt> <dt>\ref autoconf_installation</dt> ! <dd><dl> </dl> --- 42,46 ---- <dt>\ref windows_installation</dt> <dt>\ref autoconf_installation</dt> ! </dl></dd> </dl> Index: faq.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/faq.docs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** faq.docs 19 May 2006 16:56:16 -0000 1.1 --- faq.docs 22 Jun 2006 10:56:35 -0000 1.2 *************** *** 129,133 **** When you try to load an XLL into Excel, you may get a warning message ! such as "This file is not in a recognizable format" or "<filename>.xll is not a valid add-in". Excel may attempt to load the XLL as a text file. These errors indicate that the XLL has a runtime dependency which is --- 129,133 ---- When you try to load an XLL into Excel, you may get a warning message ! such as "This file is not in a recognizable format" or "XYZ.XLL is not a valid add-in". Excel may attempt to load the XLL as a text file. These errors indicate that the XLL has a runtime dependency which is *************** *** 205,209 **** \li do <strong>Build/Debug/Attach to Process</strong> \li Select Excel from the list of processes. (If the list of processes ! is empty: please refer to section \ref bugfix_vc) \li From VC, open up a file containing the source code you'd like to debug - for example file --- 205,209 ---- \li do <strong>Build/Debug/Attach to Process</strong> \li Select Excel from the list of processes. (If the list of processes ! is empty: please refer to section \ref faq_bugfix_vc) \li From VC, open up a file containing the source code you'd like to debug - for example file |
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From: Eric E. <eri...@us...> - 2006-06-22 10:56:39
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13624/qlo Modified Files: conversions.hpp Log Message: restructure documentation Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** conversions.hpp 22 Jun 2006 10:13:28 -0000 1.4 --- conversions.hpp 22 Jun 2006 10:56:36 -0000 1.5 *************** *** 33,37 **** namespace QuantLibAddin { ! /*! \group conversions Conversion of library types to C++ types. --- 33,37 ---- namespace QuantLibAddin { ! /*! conversions Conversion of library types to C++ types. |
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From: Cristina D. <cdu...@us...> - 2006-06-22 10:41:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6813/qlo Modified Files: pricingengines.cpp pricingengines.hpp Log Message: exported BlackCapFloorEngine Index: pricingengines.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** pricingengines.cpp 22 Jun 2006 09:18:16 -0000 1.4 --- pricingengines.cpp 22 Jun 2006 10:41:34 -0000 1.5 *************** *** 17,20 **** --- 17,22 ---- #include <qlo/pricingengines.hpp> + #include <ql/handle.hpp> + #include <ql/quote.hpp> namespace QuantLibAddin { *************** *** 27,29 **** --- 29,43 ---- } + + BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility vol) + { + QuantLib::Handle<QuantLib::Quote> vol_hq( + boost::shared_ptr<QuantLib::Quote>( + new QuantLib::SimpleQuote(vol))); + + libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( + new QuantLib::BlackCapFloorEngine(vol_hq)); + } + } + Index: pricingengines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/pricingengines.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** pricingengines.hpp 22 Jun 2006 09:18:16 -0000 1.3 --- pricingengines.hpp 22 Jun 2006 10:41:34 -0000 1.4 *************** *** 23,26 **** --- 23,27 ---- #include <ql/pricingengine.hpp> #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> + #include <ql/PricingEngines/CapFloor/blackcapfloorengine.hpp> namespace QuantLibAddin { *************** *** 34,37 **** --- 35,43 ---- const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>&); }; + + class BlackCapFloorEngine : public PricingEngine { + public: + BlackCapFloorEngine::BlackCapFloorEngine(QuantLib::Volatility); + }; } |
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From: Cristina D. <cdu...@us...> - 2006-06-22 10:41:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6813/gensrc/metadata Modified Files: pricingengines.xml Log Message: exported BlackCapFloorEngine Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** pricingengines.xml 22 Jun 2006 10:16:14 -0000 1.3 --- pricingengines.xml 22 Jun 2006 10:41:33 -0000 1.4 *************** *** 26,29 **** --- 26,43 ---- </ParameterList> </Constructor> + + <Constructor name='qlBlackCapFloorEngine'> + <libraryFunction>BlackCapFloorEngine</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='vol' libraryType='QuantLib::Volatility'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>cap/floor Black volatility</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> </Functions> |
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From: Eric E. <eri...@us...> - 2006-06-22 10:35:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3558 Modified Files: QuantLibAddin.sln QuantLibAddin_vc8.sln Log Message: restructure documentation Index: QuantLibAddin.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.sln,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** QuantLibAddin.sln 22 Jun 2006 09:56:58 -0000 1.8 --- QuantLibAddin.sln 22 Jun 2006 10:35:03 -0000 1.9 *************** *** 45,48 **** --- 45,53 ---- EndProjectSection EndProject + Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "docs-QuantLibXL", "..\QuantLibXL\Docs\docs-QuantLibXL.vcproj", "{9B662676-2C96-42DC-88E2-15F3E79D66B4}" + ProjectSection(ProjectDependencies) = postProject + {19C36A53-51F2-4951-9A38-CCF6A250814F} = {19C36A53-51F2-4951-9A38-CCF6A250814F} + EndProjectSection + EndProject Global GlobalSection(SolutionConfiguration) = preSolution *************** *** 182,185 **** --- 187,204 ---- {60E2EF10-4F8A-4745-81B2-363115E9A31A}.Release SingleThread.ActiveCfg = All|Win32 {60E2EF10-4F8A-4745-81B2-363115E9A31A}.Release SingleThread.Build.0 = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.All.ActiveCfg = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.All.Build.0 = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Debug.ActiveCfg = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Debug.Build.0 = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Debug CRTDLL.ActiveCfg = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Debug CRTDLL.Build.0 = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Debug SingleThread.ActiveCfg = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Debug SingleThread.Build.0 = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release.ActiveCfg = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release.Build.0 = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release CRTDLL.ActiveCfg = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release CRTDLL.Build.0 = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release SingleThread.ActiveCfg = All|Win32 + {9B662676-2C96-42DC-88E2-15F3E79D66B4}.Release SingleThread.Build.0 = All|Win32 EndGlobalSection GlobalSection(ExtensibilityGlobals) = postSolution Index: QuantLibAddin_vc8.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin_vc8.sln,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** QuantLibAddin_vc8.sln 22 Jun 2006 09:56:59 -0000 1.9 --- QuantLibAddin_vc8.sln 22 Jun 2006 10:35:03 -0000 1.10 *************** *** 130,143 **** {3A1AC508-8F57-4318-AC89-EE55513FE506}.Release|Win32.ActiveCfg = All|Win32 {3A1AC508-8F57-4318-AC89-EE55513FE506}.Release|Win32.Build.0 = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.All|Win32.ActiveCfg = Release|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.All|Win32.Build.0 = Release|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug CRTDLL|Win32.ActiveCfg = Debug|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug CRTDLL|Win32.Build.0 = Debug|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug|Win32.ActiveCfg = Debug|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug|Win32.Build.0 = Debug|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release CRTDLL|Win32.ActiveCfg = Release|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release CRTDLL|Win32.Build.0 = Release|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.ActiveCfg = Release|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.Build.0 = Release|Win32 EndGlobalSection GlobalSection(SolutionProperties) = preSolution --- 130,143 ---- {3A1AC508-8F57-4318-AC89-EE55513FE506}.Release|Win32.ActiveCfg = All|Win32 {3A1AC508-8F57-4318-AC89-EE55513FE506}.Release|Win32.Build.0 = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.All|Win32.ActiveCfg = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.All|Win32.Build.0 = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug CRTDLL|Win32.ActiveCfg = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug CRTDLL|Win32.Build.0 = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug|Win32.ActiveCfg = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Debug|Win32.Build.0 = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release CRTDLL|Win32.ActiveCfg = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release CRTDLL|Win32.Build.0 = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.ActiveCfg = All|Win32 ! {A7768A12-75ED-480C-825A-BC70105281BC}.Release|Win32.Build.0 = All|Win32 EndGlobalSection GlobalSection(SolutionProperties) = preSolution |
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From: Eric E. <eri...@us...> - 2006-06-22 10:35:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3558/Docs Modified Files: docs-QuantLibAddin.vcproj Log Message: restructure documentation Index: docs-QuantLibAddin.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/docs-QuantLibAddin.vcproj,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** docs-QuantLibAddin.vcproj 22 Jun 2006 09:56:58 -0000 1.1 --- docs-QuantLibAddin.vcproj 22 Jun 2006 10:35:02 -0000 1.2 *************** *** 26,41 **** </References> <Files> <File RelativePath=".\Makefile.vc"> </File> <File ! RelativePath=".\qla_footer.vc.html"> </File> <File ! RelativePath=".\qla_header.vc.html"> </File> <File RelativePath=".\qladdin.vc.doxy"> </File> </Files> <Globals> --- 26,180 ---- </References> <Files> + <Filter + Name="pages" + Filter=""> + <File + RelativePath=".\pages\all.docs"> + </File> + <File + RelativePath=".\pages\bonds.docs"> + </File> + <File + RelativePath=".\pages\calc.docs"> + </File> + <File + RelativePath=".\pages\calendar.docs"> + </File> + <File + RelativePath=".\pages\capfloor.docs"> + </File> + <File + RelativePath=".\pages\categories.docs"> + </File> + <File + RelativePath=".\pages\couponvectors.docs"> + </File> + <File + RelativePath=".\pages\date.docs"> + </File> + <File + RelativePath=".\pages\daycounter.docs"> + </File> + <File + RelativePath=".\pages\design.docs"> + </File> + <File + RelativePath=".\pages\enums.docs"> + </File> + <File + RelativePath=".\pages\evaluationdate.docs"> + </File> + <File + RelativePath=".\pages\examples.docs"> + </File> + <File + RelativePath=".\pages\exercise.docs"> + </File> + <File + RelativePath=".\pages\extending.docs"> + </File> + <File + RelativePath=".\pages\faq.docs"> + </File> + <File + RelativePath=".\pages\forwardrateagreement.docs"> + </File> + <File + RelativePath=".\pages\functional.docs"> + </File> + <File + RelativePath=".\pages\history.docs"> + </File> + <File + RelativePath=".\pages\index.docs"> + </File> + <File + RelativePath=".\pages\installation.docs"> + </File> + <File + RelativePath=".\pages\instruments.docs"> + </File> + <File + RelativePath=".\pages\interpolation.docs"> + </File> + <File + RelativePath=".\pages\license.docs"> + </File> + <File + RelativePath=".\pages\mathf.docs"> + </File> + <File + RelativePath=".\pages\options.docs"> + </File> + <File + RelativePath=".\pages\people.docs"> + </File> + <File + RelativePath=".\pages\prices.docs"> + </File> + <File + RelativePath=".\pages\pricingengines.docs"> + </File> + <File + RelativePath=".\pages\processes.docs"> + </File> + <File + RelativePath=".\pages\randomsequencegenerator.docs"> + </File> + <File + RelativePath=".\pages\ratehelpers.docs"> + </File> + <File + RelativePath=".\pages\schedule.docs"> + </File> + <File + RelativePath=".\pages\shortratemodels.docs"> + </File> + <File + RelativePath=".\pages\srcgen.docs"> + </File> + <File + RelativePath=".\pages\swap.docs"> + </File> + <File + RelativePath=".\pages\swaption.docs"> + </File> + <File + RelativePath=".\pages\swaptionvolstructure.docs"> + </File> + <File + RelativePath=".\pages\termstructures.docs"> + </File> + <File + RelativePath=".\pages\troubleshooting.docs"> + </File> + <File + RelativePath=".\pages\utilities.docs"> + </File> + <File + RelativePath=".\pages\vanillaswap.docs"> + </File> + <File + RelativePath=".\pages\volatilities.docs"> + </File> + <File + RelativePath=".\pages\xibor.docs"> + </File> + </Filter> <File RelativePath=".\Makefile.vc"> </File> <File ! RelativePath=".\qla_footer.html"> </File> <File ! RelativePath=".\qla_header.html"> </File> <File RelativePath=".\qladdin.vc.doxy"> </File> + <File + RelativePath=".\style.css"> + </File> </Files> <Globals> |
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28410/qlo Modified Files: bonds.hpp couponvectors.hpp forwardrateagreement.hpp vanillaswap.hpp Added Files: index.cpp index.hpp Removed Files: xibor.cpp xibor.hpp Log Message: xibor renamed index, according to the QuantLib class Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** couponvectors.hpp 18 Jun 2006 19:47:14 -0000 1.7 --- couponvectors.hpp 22 Jun 2006 10:18:48 -0000 1.8 *************** *** 22,26 **** #include <oh/objhandler.hpp> #include <qlo/schedule.hpp> ! #include <qlo/xibor.hpp> #include <ql/CashFlows/cashflowvectors.hpp> #include <ql/CashFlows/analysis.hpp> --- 22,26 ---- #include <oh/objhandler.hpp> #include <qlo/schedule.hpp> ! #include <qlo/index.hpp> #include <ql/CashFlows/cashflowvectors.hpp> #include <ql/CashFlows/analysis.hpp> --- NEW FILE: index.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Eric Ehlers Copyright (C) 2005 Plamen Neykov 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/index.hpp> #include <qlo/typefactory.hpp> #include <ql/Indexes/indexmanager.hpp> #include <ql/Indexes/xibor.hpp> namespace QuantLibAddin { void Index::addFixings(const std::vector<QuantLib::Date> dates, const std::vector<QuantLib::Rate> fixings) { QL_REQUIRE(fixings.size() == dates.size(), "Index::addFixings the nuber of given dates does not " "match the number of fixings!"); libraryObject_->addFixings(dates.begin(), dates.end(), fixings.begin()); } Xibor::Xibor(const std::string& indexName, const QuantLib::Period& p, const long fixingDays, const QuantLib::Currency& crr, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, const QuantLib::DayCounter& fltDayCounter, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { libraryObject_ = boost::shared_ptr<QuantLib::Xibor>( new QuantLib::Xibor(indexName, p, fixingDays, crr, calendar, fltBDC, fltDayCounter, hYTS)); } } --- xibor.hpp DELETED --- Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** vanillaswap.hpp 16 Jun 2006 17:37:20 -0000 1.6 --- vanillaswap.hpp 22 Jun 2006 10:18:49 -0000 1.7 *************** *** 21,25 **** #define qla_simpleswap_hpp ! #include <qlo/xibor.hpp> #include <ql/Instruments/vanillaswap.hpp> #include <qlo/swap.hpp> --- 21,25 ---- #define qla_simpleswap_hpp ! #include <qlo/index.hpp> #include <ql/Instruments/vanillaswap.hpp> #include <qlo/swap.hpp> --- xibor.cpp DELETED --- --- NEW FILE: index.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Eric Ehlers Copyright (C) 2005 Plamen Neykov 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_xibor_hpp #define qla_xibor_hpp #include <oh/objhandler.hpp> #include <ql/index.hpp> #include <ql/handle.hpp> #include <ql/yieldtermstructure.hpp> namespace QuantLibAddin { class Index : public ObjHandler::LibraryObject<QuantLib::Index> { public: void addFixings(const std::vector<QuantLib::Date> dates, const std::vector<QuantLib::Rate> fixings); }; class Xibor : public Index { public: Xibor(const std::string& indexName, const QuantLib::Period& p, const long fixingDays, const QuantLib::Currency& crr, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, const QuantLib::DayCounter& fltDayCounter, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); }; } #endif Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** bonds.hpp 18 Jun 2006 19:47:14 -0000 1.6 --- bonds.hpp 22 Jun 2006 10:18:48 -0000 1.7 *************** *** 23,27 **** #include <qlo/baseinstruments.hpp> ! #include <qlo/xibor.hpp> #include <ql/Indexes/xibor.hpp> --- 23,27 ---- #include <qlo/baseinstruments.hpp> ! #include <qlo/index.hpp> #include <ql/Indexes/xibor.hpp> Index: forwardrateagreement.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** forwardrateagreement.hpp 16 Jun 2006 17:37:20 -0000 1.6 --- forwardrateagreement.hpp 22 Jun 2006 10:18:48 -0000 1.7 *************** *** 23,27 **** #include <qlo/baseinstruments.hpp> #include <qlo/termstructures.hpp> ! #include <qlo/xibor.hpp> namespace QuantLibAddin { --- 23,27 ---- #include <qlo/baseinstruments.hpp> #include <qlo/termstructures.hpp> ! #include <qlo/index.hpp> namespace QuantLibAddin { |
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From: Ferdinando A. <na...@us...> - 2006-06-22 10:18:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28410/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: xibor renamed index, according to the QuantLib class Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** Makefile.vc 20 Jun 2006 10:05:09 -0000 1.12 --- Makefile.vc 22 Jun 2006 10:18:48 -0000 1.13 *************** *** 17,20 **** --- 17,21 ---- metadata\exercise.xml \ metadata\forwardrateagreement.xml \ + metadata\index.xml \ metadata\instruments.xml \ metadata\interpolation.xml \ *************** *** 34,39 **** metadata\utilities.xml \ metadata\vanillaswap.xml \ ! metadata\volatilities.xml \ ! metadata\xibor.xml CONFIG=config\config.xml \ --- 35,39 ---- metadata\utilities.xml \ metadata\vanillaswap.xml \ ! metadata\volatilities.xml CONFIG=config\config.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** gensrc_vc8.vcproj 20 Jun 2006 11:15:56 -0000 1.11 --- gensrc_vc8.vcproj 22 Jun 2006 10:18:48 -0000 1.12 *************** *** 92,95 **** --- 92,99 ---- </File> <File + RelativePath=".\metadata\index.xml" + > + </File> + <File RelativePath="metadata\instruments.xml" > *************** *** 163,170 **** > </File> - <File - RelativePath="metadata\xibor.xml" - > - </File> </Filter> <Filter --- 167,170 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-22 10:18:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28410/gensrc/metadata Modified Files: ratehelpers.xml Added Files: index.xml Removed Files: xibor.xml Log Message: xibor renamed index, according to the QuantLib class --- NEW FILE: index.xml --- <Category name='index'> <description>functions to construct QuantLib Index objects</description> <displayName>Indices</displayName> <includes> <include>qlo/index.hpp</include> <include>qlo/vo_index.hpp</include> <include>qlo/termstructures.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Eric Ehlers Copyright (C) 2005 Plamen Neykov </copyright> <Functions> <Member name='qlIndexName' libraryClass='Index'> <description>retrive the name for the given Index object</description> <libraryFunction>name</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> <description>index name</description> </ReturnValue> </Member> <Member name='qlIndexFixing' libraryClass='Index' loopParameter='fixingDate'> <description>retrive the fixing for the given Index object</description> <libraryFunction>fixing</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='fixingDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>fixing date(s)</description> </Parameter> <Parameter name='forecastTodaysFixing' default='0'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>forecast today's fixing even if the actual fixing is already available</description> </Parameter> </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Rate'> <type>any</type> <tensorRank>vector</tensorRank> <description>index fixing(s)</description> </ReturnValue> </Member> <Member name='qlIndexAddFixing' libraryClass='Index'> <description>add a fixing for the given Index object</description> <libraryFunction>addFixing</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='fixingDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing date</description> </Parameter> <Parameter name='fixing' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> <description>fixing value</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> <description>SUCCESS/FAILURE</description> </ReturnValue> </Member> <Member name='qlIndexAddFixings' objectClass='Index'> <description>add fixings for the given Index object</description> <libraryFunction>addFixings</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='fixingDates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>fixing dates</description> </Parameter> <Parameter name='fixings' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>fixing values</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> <description>SUCCESS/FAILURE</description> </ReturnValue> </Member> <Constructor name='qlXibor'> <libraryFunction>Xibor</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='IndexName'> <type>string</type> <tensorRank>scalar</tensorRank> <description>index name</description> </Parameter> <Parameter name='tenor' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> <description>index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='Currency' enumeration='QuantLib::Currency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Index Currency</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='BDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual360)</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> <description>forecasting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- xibor.xml DELETED --- Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** ratehelpers.xml 19 Jun 2006 08:29:45 -0000 1.7 --- ratehelpers.xml 22 Jun 2006 10:18:48 -0000 1.8 *************** *** 5,9 **** <include>qlo/ratehelpers.hpp</include> <include>qlo/vo_ratehelpers.hpp</include> ! <include>qlo/xibor.hpp</include> </includes> <copyright> --- 5,9 ---- <include>qlo/ratehelpers.hpp</include> <include>qlo/vo_ratehelpers.hpp</include> ! <include>qlo/index.hpp</include> </includes> <copyright> |
