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From: Eric E. <eri...@us...> - 2006-06-20 10:59:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20549/qlo Modified Files: conversions.cpp conversions.hpp Log Message: support conversion for return types: - std::vector<QuantLib::DayCounter> - std::vector<QuantLib::Period> Index: conversions.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** conversions.cpp 13 Jun 2006 10:39:41 -0000 1.2 --- conversions.cpp 20 Jun 2006 10:59:21 -0000 1.3 *************** *** 38,45 **** } ! std::vector < long > libraryToVector(const std::vector < QuantLib::Date > &v) { ! std::vector < long > ret; ! for (std::vector < QuantLib::Date >::const_iterator i = v.begin(); ! i != v.end(); i++) ret.push_back(i->serialNumber()); return ret; --- 38,57 ---- } ! std::vector<std::string> libraryToVector(const std::vector<QuantLib::Period> &v) { ! std::vector<std::string> ret; ! for (std::vector<QuantLib::Period>::const_iterator i = v.begin(); ! i != v.end(); i++) ! ret.push_back(libraryToScalar(*i)); ! return ret; ! } ! ! std::string libraryToScalar(const QuantLib::DayCounter &dayCounter) { ! return dayCounter.name(); ! } ! ! std::vector<long> libraryToVector(const std::vector<QuantLib::Date> &v) { ! std::vector<long> ret; ! for (std::vector<QuantLib::Date>::const_iterator i = v.begin(); ! i != v.end(); i++) ret.push_back(i->serialNumber()); return ret; Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** conversions.hpp 13 Jun 2006 10:39:41 -0000 1.2 --- conversions.hpp 20 Jun 2006 10:59:21 -0000 1.3 *************** *** 41,45 **** long libraryToScalar(const QuantLib::Date&); std::string libraryToScalar(const QuantLib::Period&); ! std::vector < long > libraryToVector(const std::vector<QuantLib::Date>&); } --- 41,47 ---- long libraryToScalar(const QuantLib::Date&); std::string libraryToScalar(const QuantLib::Period&); ! std::string libraryToScalar(const QuantLib::DayCounter&); ! std::vector<long> libraryToVector(const std::vector<QuantLib::Date>&); ! std::vector<std::string> libraryToVector(const std::vector<QuantLib::Period>&); } |
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From: Eric E. <eri...@us...> - 2006-06-20 10:59:24
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20549/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: support conversion for return types: - std::vector<QuantLib::DayCounter> - std::vector<QuantLib::Period> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** swaptionvolstructure.xml 20 Jun 2006 09:18:11 -0000 1.9 --- swaptionvolstructure.xml 20 Jun 2006 10:59:21 -0000 1.10 *************** *** 151,155 **** </Constructor> ! <!--Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the underlying swap day counter.</description> <libraryFunction>dayCounter</libraryFunction> --- 151,155 ---- </Constructor> ! <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the underlying swap day counter.</description> <libraryFunction>dayCounter</libraryFunction> *************** *** 159,168 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter</description> </ReturnValue> ! </Member--> <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> --- 159,168 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter</description> </ReturnValue> ! </Member> <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> *************** *** 181,185 **** </Member> ! <!--Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of underlying swap lengths.</description> <libraryFunction>lengths</libraryFunction> --- 181,185 ---- </Member> ! <Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the vector of underlying swap lengths.</description> <libraryFunction>lengths</libraryFunction> *************** *** 194,198 **** <description>underlying swap lengths</description> </ReturnValue> ! </Member--> --- 194,198 ---- <description>underlying swap lengths</description> </ReturnValue> ! </Member> |
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From: Ferdinando A. <na...@us...> - 2006-06-20 10:05:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28332/qlo Modified Files: swaption.cpp swaption.hpp Added Files: pricingengines.cpp pricingengines.hpp Removed Files: fixedcouponbond.cpp fixedcouponbond.hpp instruments.hpp pricingengine.hpp zerocouponbond.cpp zerocouponbond.hpp Log Message: 1) doc projects renamed 2) obsolete files removed 3) introduced proper PricingEngine Object and files --- NEW FILE: pricingengines.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. */ #include <qlo/pricingengines.hpp> namespace QuantLibAddin { BlackSwaptionEngine::BlackSwaptionEngine( QuantLib::Volatility vol, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { boost::shared_ptr<QuantLib::Quote> vol_q( new QuantLib::SimpleQuote(vol)); QuantLib::Handle<QuantLib::Quote> vol_hq(vol_q); boost::shared_ptr<QuantLib::BlackModel> model( new QuantLib::BlackModel(vol_hq, hYTS)); boost::shared_ptr<QuantLib::PricingEngine> eng( new QuantLib::BlackSwaptionEngine(model)); libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>( new QuantLib::BlackSwaptionEngine(model)); } } --- fixedcouponbond.cpp DELETED --- --- fixedcouponbond.hpp DELETED --- --- NEW FILE: pricingengines.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Cristina Duminuco 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_pricingengine_hpp #define qla_pricingengine_hpp #include <oh/objhandler.hpp> #include <ql/pricingengine.hpp> #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> namespace QuantLibAddin { class PricingEngine : public ObjHandler::LibraryObject<QuantLib::PricingEngine> { }; class BlackSwaptionEngine : public PricingEngine { public: BlackSwaptionEngine( QuantLib::Volatility vol, const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS); }; } #endif Index: swaption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaption.cpp 19 Jun 2006 14:18:01 -0000 1.1 --- swaption.cpp 20 Jun 2006 10:05:09 -0000 1.2 *************** *** 28,49 **** Swaption::Swaption(const boost::shared_ptr<QuantLib::VanillaSwap>& swap, const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS ! //, ! //const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine ! ) { - boost::shared_ptr<QuantLib::Quote> vol_me( - new QuantLib::SimpleQuote(0.2)); - QuantLib::Handle<QuantLib::Quote> vol_rh(vol_me); - boost::shared_ptr<QuantLib::BlackModel> model( - new QuantLib::BlackModel(vol_rh, hYTS)); - boost::shared_ptr<QuantLib::PricingEngine> eng( - new QuantLib::BlackSwaptionEngine(model)); - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::Swaption(swap, exercise, hYTS, eng)); } - } - --- 28,37 ---- Swaption::Swaption(const boost::shared_ptr<QuantLib::VanillaSwap>& swap, const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine) { libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::Swaption(swap, exercise, hYTS, engine)); } } --- zerocouponbond.hpp DELETED --- Index: swaption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaption.hpp 19 Jun 2006 14:18:01 -0000 1.1 --- swaption.hpp 20 Jun 2006 10:05:09 -0000 1.2 *************** *** 30,37 **** Swaption(const boost::shared_ptr<QuantLib::VanillaSwap>& swap, const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS ! //, ! //const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine ! ); std::string underlyingSwap() { --- 30,35 ---- Swaption(const boost::shared_ptr<QuantLib::VanillaSwap>& swap, const boost::shared_ptr<QuantLib::Exercise>& exercise, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS, ! const boost::shared_ptr<QuantLib::BlackSwaptionEngine>& engine); std::string underlyingSwap() { --- pricingengine.hpp DELETED --- --- zerocouponbond.cpp DELETED --- --- instruments.hpp DELETED --- |
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From: Ferdinando A. <na...@us...> - 2006-06-20 10:05:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28332/gensrc/metadata Modified Files: instruments.xml swaption.xml Added Files: pricingengines.xml Log Message: 1) doc projects renamed 2) obsolete files removed 3) introduced proper PricingEngine Object and files Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** instruments.xml 19 Jun 2006 08:10:01 -0000 1.7 --- instruments.xml 20 Jun 2006 10:05:09 -0000 1.8 *************** *** 2,7 **** <description>functions to construct QuantLib instrument objects</description> <displayName>Instruments</displayName> <copyright> ! Copyright (C) 2005 Walter Penschke </copyright> --- 2,11 ---- <description>functions to construct QuantLib instrument objects</description> <displayName>Instruments</displayName> + <includes> + <include>qlo/baseinstruments.hpp</include> + </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Walter Penschke </copyright> Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaption.xml 19 Jun 2006 14:18:01 -0000 1.1 --- swaption.xml 20 Jun 2006 10:05:09 -0000 1.2 *************** *** 3,7 **** <displayName>Swaption</displayName> <includes> ! <include>qlo/pricingengine.hpp</include> <include>qlo/swaption.hpp</include> <include>qlo/exercise.hpp</include> --- 3,7 ---- <displayName>Swaption</displayName> <includes> ! <include>qlo/pricingengines.hpp</include> <include>qlo/swaption.hpp</include> <include>qlo/exercise.hpp</include> *************** *** 36,39 **** --- 36,44 ---- <description>discounting term structure</description> </Parameter> + <Parameter name='blackSwaptionEngineID' libraryClass='BlackSwaptionEngine'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Black swaption pricing engine</description> + </Parameter> </Parameters> </ParameterList> --- NEW FILE: pricingengines.xml --- <Category name='pricingengines'> <description>functions to construct QuantLib::PricingEngine objects</description> <displayName>Pricing Engines</displayName> <includes> <include>qlo/termstructures.hpp</include> <include>qlo/pricingengines.hpp</include> <include>qlo/vo_pricingengines.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> <Constructor name='qlBlackSwaptionEngine'> <libraryFunction>BlackSwaptionEngine</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='vol' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> <description>swaption Black volatility</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> <description>discounting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-20 10:05:13
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28332/gensrc/config Modified Files: config.xml Log Message: 1) doc projects renamed 2) obsolete files removed 3) introduced proper PricingEngine Object and files Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** config.xml 19 Jun 2006 14:18:00 -0000 1.6 --- config.xml 20 Jun 2006 10:05:09 -0000 1.7 *************** *** 22,25 **** --- 22,26 ---- <categoryName>options</categoryName> <categoryName>prices</categoryName> + <categoryName>pricingengines</categoryName> <categoryName>processes</categoryName> <categoryName>randomsequencegenerator</categoryName> |
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From: Ferdinando A. <na...@us...> - 2006-06-20 10:05:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28332/gensrc Modified Files: Makefile.vc Log Message: 1) doc projects renamed 2) obsolete files removed 3) introduced proper PricingEngine Object and files Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** Makefile.vc 16 Jun 2006 19:29:31 -0000 1.11 --- Makefile.vc 20 Jun 2006 10:05:09 -0000 1.12 *************** *** 22,25 **** --- 22,26 ---- metadata\options.xml \ metadata\prices.xml \ + metadata\pricingengines.xml \ metadata\processes.xml \ metadata\randomsequencegenerator.xml \ *************** *** 28,31 **** --- 29,33 ---- metadata\shortratemodels.xml \ metadata\swap.xml \ + metadata\swaption.xml \ metadata\swaptionvolstructure.xml \ metadata\termstructures.xml \ |
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From: Ferdinando A. <na...@us...> - 2006-06-20 10:05:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28332 Modified Files: QuantLibAddin_vc8.sln QuantLibObjects_vc8.vcproj Log Message: 1) doc projects renamed 2) obsolete files removed 3) introduced proper PricingEngine Object and files Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** QuantLibObjects_vc8.vcproj 20 Jun 2006 09:18:11 -0000 1.18 --- QuantLibObjects_vc8.vcproj 20 Jun 2006 10:05:09 -0000 1.19 *************** *** 383,390 **** </File> <File - RelativePath=".\qlo\fixedcouponbond.cpp" - > - </File> - <File RelativePath=".\qlo\forwardrateagreement.cpp" > --- 383,386 ---- *************** *** 399,402 **** --- 395,402 ---- </File> <File + RelativePath=".\qlo\pricingengines.cpp" + > + </File> + <File RelativePath="qlo\processes.cpp" > *************** *** 487,490 **** --- 487,494 ---- </File> <File + RelativePath=".\qlo\vo_pricingengines.cpp" + > + </File> + <File RelativePath="qlo\vo_processes.cpp" > *************** *** 542,549 **** > </File> - <File - RelativePath=".\qlo\zerocouponbond.cpp" - > - </File> </Filter> <Filter --- 546,549 ---- *************** *** 604,611 **** </File> <File - RelativePath=".\qlo\fixedcouponbond.hpp" - > - </File> - <File RelativePath=".\qlo\forwardrateagreement.hpp" > --- 604,607 ---- *************** *** 620,627 **** </File> <File - RelativePath="qlo\instruments.hpp" - > - </File> - <File RelativePath="qlo\interpolation.hpp" > --- 616,619 ---- *************** *** 636,640 **** </File> <File ! RelativePath=".\qlo\pricingengine.hpp" > </File> --- 628,632 ---- </File> <File ! RelativePath=".\qlo\pricingengines.hpp" > </File> *************** *** 744,747 **** --- 736,743 ---- </File> <File + RelativePath=".\qlo\vo_pricingengines.hpp" + > + </File> + <File RelativePath="qlo\vo_processes.hpp" > *************** *** 799,806 **** > </File> - <File - RelativePath=".\qlo\zerocouponbond.hpp" - > - </File> </Filter> </Files> --- 795,798 ---- Index: QuantLibAddin_vc8.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin_vc8.sln,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** QuantLibAddin_vc8.sln 16 Jun 2006 19:29:31 -0000 1.7 --- QuantLibAddin_vc8.sln 20 Jun 2006 10:05:09 -0000 1.8 *************** *** 27,34 **** EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "docs", "Docs\docs_vc8.vcproj", "{3A1AC508-8F57-4318-AC89-EE55513FE506}" ! ProjectSection(ProjectDependencies) = postProject ! {88BE5568-6E55-41C5-A251-670FAFB44336} = {88BE5568-6E55-41C5-A251-670FAFB44336} ! EndProjectSection EndProject Global --- 27,31 ---- EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibXL docs", "Docs\QuantLibXLdocs_vc8.vcproj", "{3A1AC508-8F57-4318-AC89-EE55513FE506}" EndProject Global |
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From: Ferdinando A. <na...@us...> - 2006-06-20 09:51:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22823 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** todonando.txt 18 Jun 2006 19:47:14 -0000 1.14 --- todonando.txt 20 Jun 2006 09:51:34 -0000 1.15 *************** *** 4,15 **** timestamp for the logfile ! permanent object as planned last error message, not last log message investigate earliestDate, latestDate behaviour - check double recalc for bootstrapping default parameter for handle as input parameter il metodo addfixings per gli indici? - ohsetlogfile nowiz - support for static function (as holidayList) earliest days dovrebbe tener conto dei fixing days --- 4,12 ---- timestamp for the logfile ! permanent object as discussed last error message, not last log message investigate earliestDate, latestDate behaviour default parameter for handle as input parameter il metodo addfixings per gli indici? earliest days dovrebbe tener conto dei fixing days *************** *** 18,21 **** --- 15,19 ---- - what to do with QuantLib default parameters - export Quote (see RateHelpers) + - check double recalc for bootstrapping DESIGN *************** *** 26,30 **** GENSRC ! - copyright on autogenerated files QuantLib --- 24,30 ---- GENSRC ! - return enumerations ! - omits ReturnValue description ! - add optional LongDescription QuantLib *************** *** 43,46 **** --- 43,49 ---- - verify RateHelpers initializeDates_ when evalDate changes(latestDate, earliestDate) - how to have QL_ERROR_LINES and QL_ERROR_FUNCTIONS only in header files? + - why Swap/Swaption do not take default empy handle? + - BlackModel dovrebbe accettare una swptionvoltermstructure e non avere la yield termstructure + - capfloor engine deve prendere la termstructure non da BlackModel PIECEWISEYIELDCURVE |
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From: Eric E. <eri...@us...> - 2006-06-20 09:48:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21568/qlo Modified Files: typefactory.hpp Log Message: clarify error message Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** typefactory.hpp 16 Jun 2006 08:29:11 -0000 1.4 --- typefactory.hpp 20 Jun 2006 09:48:24 -0000 1.5 *************** *** 55,59 **** RegistryClass::instance().getAllTypesMap().find(typeid(T).name()) != RegistryClass::instance().getAllTypesMap().end(), ! "Type not registered!"); type_map = RegistryClass::instance().getAllTypesMap().find(typeid(T).name())->second; --- 55,60 ---- RegistryClass::instance().getAllTypesMap().find(typeid(T).name()) != RegistryClass::instance().getAllTypesMap().end(), ! "Error retrieving Enumeration from Registry - the type '" ! << typeid(T).name() << "' is not available!"); type_map = RegistryClass::instance().getAllTypesMap().find(typeid(T).name())->second; |
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From: Eric E. <eri...@us...> - 2006-06-20 09:44:24
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19920/qlo Modified Files: asianoption.cpp bonds.cpp cliquetoption.cpp dividendvanillaoption.cpp exercise.cpp processes.cpp ratehelpers.cpp termstructures.cpp vanillaswap.cpp volatilities.cpp xibor.cpp Log Message: remove #includes of generalutils.hpp Index: cliquetoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cliquetoption.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** cliquetoption.cpp 9 Jun 2006 18:58:47 -0000 1.3 --- cliquetoption.cpp 20 Jun 2006 09:44:18 -0000 1.4 *************** *** 22,26 **** #include <qlo/cliquetoption.hpp> #include <qlo/typefactory.hpp> - #include <qlo/generalutils.hpp> #include <qlo/exercise.hpp> --- 22,25 ---- Index: volatilities.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/volatilities.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** volatilities.cpp 20 Jun 2006 09:18:11 -0000 1.3 --- volatilities.cpp 20 Jun 2006 09:44:18 -0000 1.4 *************** *** 21,25 **** #endif #include <qlo/volatilities.hpp> - #include <qlo/generalutils.hpp> #include <qlo/typefactory.hpp> --- 21,24 ---- Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** vanillaswap.cpp 16 Jun 2006 17:37:20 -0000 1.5 --- vanillaswap.cpp 20 Jun 2006 09:44:18 -0000 1.6 *************** *** 25,29 **** #include <qlo/vanillaswap.hpp> - #include <qlo/generalutils.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> --- 25,28 ---- Index: processes.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/processes.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** processes.cpp 9 Jun 2006 18:58:47 -0000 1.3 --- processes.cpp 20 Jun 2006 09:44:18 -0000 1.4 *************** *** 21,25 **** #endif #include <qlo/processes.hpp> - #include <qlo/generalutils.hpp> #include <qlo/typefactory.hpp> #include <ql/quote.hpp> --- 21,24 ---- Index: xibor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** xibor.cpp 16 Jun 2006 17:37:20 -0000 1.9 --- xibor.cpp 20 Jun 2006 09:44:18 -0000 1.10 *************** *** 23,27 **** #include <qlo/xibor.hpp> - #include <qlo/generalutils.hpp> #include <qlo/typefactory.hpp> #include <ql/Indexes/indexmanager.hpp> --- 23,26 ---- Index: asianoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/asianoption.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** asianoption.cpp 9 Jun 2006 18:58:47 -0000 1.3 --- asianoption.cpp 20 Jun 2006 09:44:18 -0000 1.4 *************** *** 22,26 **** #include <qlo/asianoption.hpp> #include <qlo/typefactory.hpp> - #include <qlo/generalutils.hpp> #include <qlo/exercise.hpp> --- 22,25 ---- Index: exercise.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/exercise.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** exercise.cpp 19 Jun 2006 14:18:01 -0000 1.3 --- exercise.cpp 20 Jun 2006 09:44:18 -0000 1.4 *************** *** 20,24 **** #endif #include <qlo/exercise.hpp> - #include <qlo/generalutils.hpp> namespace QuantLibAddin { --- 20,23 ---- Index: dividendvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/dividendvanillaoption.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** dividendvanillaoption.cpp 9 Jun 2006 18:58:47 -0000 1.3 --- dividendvanillaoption.cpp 20 Jun 2006 09:44:18 -0000 1.4 *************** *** 21,25 **** #include <qlo/dividendvanillaoption.hpp> #include <qlo/typefactory.hpp> - #include <qlo/generalutils.hpp> #include <qlo/exercise.hpp> --- 21,24 ---- Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** bonds.cpp 18 Jun 2006 19:47:14 -0000 1.5 --- bonds.cpp 20 Jun 2006 09:44:18 -0000 1.6 *************** *** 25,29 **** #include <qlo/bonds.hpp> #include <qlo/couponvectors.hpp> - #include <qlo/generalutils.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> --- 25,28 ---- Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** termstructures.cpp 20 Jun 2006 09:18:49 -0000 1.10 --- termstructures.cpp 20 Jun 2006 09:44:18 -0000 1.11 *************** *** 26,30 **** #include <qlo/ratehelpers.hpp> #include <qlo/typefactory.hpp> - #include <qlo/generalutils.hpp> #include <ql/date.hpp> --- 26,29 ---- Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** ratehelpers.cpp 18 Jun 2006 18:54:32 -0000 1.3 --- ratehelpers.cpp 20 Jun 2006 09:44:18 -0000 1.4 *************** *** 25,29 **** #include <qlo/ratehelpers.hpp> #include <qlo/typefactory.hpp> - #include <qlo/generalutils.hpp> #include <ql/date.hpp> --- 25,28 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-20 09:22:25
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11004/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: 1) class TermStructure : public Extrapolator 2) class SwaptionVolatilityStructure : public TermStructure Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaptionvolstructure.cpp 19 Jun 2006 17:08:22 -0000 1.1 --- swaptionvolstructure.cpp 20 Jun 2006 09:22:19 -0000 1.2 *************** *** 28,36 **** const std::vector<QuantLib::Period>& lengths, const boost::shared_ptr<QuantLib::Matrix>& volatilities, ! const QuantLib::DayCounter& dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::SwaptionVolatilityStructure>( ! new QuantLib::SwaptionVolatilityMatrix(referenceDate, exerciseDates, lengths, *(volatilities.get()), dayCounter)); } } - --- 28,40 ---- const std::vector<QuantLib::Period>& lengths, const boost::shared_ptr<QuantLib::Matrix>& volatilities, ! const QuantLib::DayCounter& dayCounter) ! { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityMatrix(referenceDate, ! exerciseDates, ! lengths, ! *(volatilities.get()), ! dayCounter)); } } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** swaptionvolstructure.hpp 19 Jun 2006 17:08:22 -0000 1.2 --- swaptionvolstructure.hpp 20 Jun 2006 09:22:19 -0000 1.3 *************** *** 21,31 **** #include <oh/objhandler.hpp> #include <ql/Volatilities/swaptionvolmatrix.hpp> - #include <qlo/interpolation.hpp> namespace QuantLibAddin { ! class SwaptionVolatilityStructure : public ObjHandler::LibraryObject<QuantLib::SwaptionVolatilityStructure> { ! }; class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { --- 21,31 ---- #include <oh/objhandler.hpp> + #include <ql/swaptionvolstructure.hpp> + #include <qlo/termstructures.hpp> #include <ql/Volatilities/swaptionvolmatrix.hpp> namespace QuantLibAddin { ! class SwaptionVolatilityStructure : public TermStructure {}; class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { *************** *** 41,43 **** #endif - --- 41,42 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-20 09:18:52
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9397/qlo Modified Files: termstructures.cpp termstructures.hpp Log Message: YieldTermStructure inherits from Extrapolator Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** termstructures.hpp 16 Jun 2006 17:37:20 -0000 1.6 --- termstructures.hpp 20 Jun 2006 09:18:49 -0000 1.7 *************** *** 26,29 **** --- 26,30 ---- #include <ql/TermStructures/forwardspreadedtermstructure.hpp> #include <ql/TermStructures/ratehelpers.hpp> + #include <qlo/interpolation.hpp> #include <oh/objhandler.hpp> *************** *** 31,36 **** namespace QuantLibAddin { ! class YieldTermStructure : public ObjHandler::LibraryObject<QuantLib::YieldTermStructure> { ! }; class PiecewiseYieldCurve : public YieldTermStructure { --- 32,38 ---- namespace QuantLibAddin { ! class TermStructure : public Extrapolator {}; ! ! class YieldTermStructure : public TermStructure {}; class PiecewiseYieldCurve : public YieldTermStructure { Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** termstructures.cpp 16 Jun 2006 17:37:20 -0000 1.9 --- termstructures.cpp 20 Jun 2006 09:18:49 -0000 1.10 *************** *** 63,67 **** true); ! libraryObject_ = boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, QuantLib::LogLinear>( --- 63,67 ---- true); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, QuantLib::LogLinear>( *************** *** 89,93 **** const QuantLib::DayCounter &dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::DiscountCurve(dates, dfs, dayCounter)); } --- 89,93 ---- const QuantLib::DayCounter &dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::DiscountCurve(dates, dfs, dayCounter)); } *************** *** 98,102 **** const QuantLib::DayCounter &dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::ZeroCurve(dates, zeroRates, dayCounter)); } --- 98,102 ---- const QuantLib::DayCounter &dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::ZeroCurve(dates, zeroRates, dayCounter)); } *************** *** 107,111 **** const QuantLib::DayCounter &dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::ForwardCurve(dates, forwardRates, dayCounter)); } --- 107,111 ---- const QuantLib::DayCounter &dayCounter) { ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::ForwardCurve(dates, forwardRates, dayCounter)); } *************** *** 117,126 **** QuantLib::Handle<QuantLib::Quote> spreadQuote( ! boost::shared_ptr<QuantLib::Quote>(new QuantLib::SimpleQuote(spread))); ! libraryObject_ = boost::shared_ptr<QuantLib::YieldTermStructure>( new QuantLib::ForwardSpreadedTermStructure(hYTS, spreadQuote)); } - } --- 117,126 ---- QuantLib::Handle<QuantLib::Quote> spreadQuote( ! boost::shared_ptr<QuantLib::Quote>( ! new QuantLib::SimpleQuote(spread))); ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( new QuantLib::ForwardSpreadedTermStructure(hYTS, spreadQuote)); } } |
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9277/qlo Modified Files: interpolation.cpp interpolation.hpp volatilities.cpp volatilities.hpp Removed Files: generalutils.cpp generalutils.hpp Log Message: automatic conversion of XLOPER to QuantLib::Matrix Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** interpolation.hpp 20 Jun 2006 08:29:54 -0000 1.11 --- interpolation.hpp 20 Jun 2006 09:18:11 -0000 1.12 *************** *** 74,82 **** std::vector<double> x_, y_; }; - - class Matrix : public ObjHandler::LibraryObject<QuantLib::Matrix> { - public: - Matrix(const std::vector<std::vector<double> >&); - }; } --- 74,77 ---- Index: volatilities.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/volatilities.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** volatilities.cpp 9 Jun 2006 18:58:47 -0000 1.2 --- volatilities.cpp 20 Jun 2006 09:18:11 -0000 1.3 *************** *** 42,51 **** const std::vector < QuantLib::Date > &dates, const std::vector < double > &strikes, ! const std::vector < std::vector < double > > &vols, const QuantLib::DayCounter &dayCounter) { - QuantLib::Matrix volsQL = - vectorVectorToMatrix(vols); - libraryObject_ = boost::shared_ptr<QuantLib::BlackVolTermStructure> ( new QuantLib::BlackVarianceSurface( --- 42,48 ---- const std::vector < QuantLib::Date > &dates, const std::vector < double > &strikes, ! const boost::shared_ptr<QuantLib::Matrix> &vols, const QuantLib::DayCounter &dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::BlackVolTermStructure> ( new QuantLib::BlackVarianceSurface( *************** *** 53,57 **** dates, strikes, ! volsQL, dayCounter)); } --- 50,54 ---- dates, strikes, ! *vols, dayCounter)); } Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** interpolation.cpp 20 Jun 2006 08:29:53 -0000 1.8 --- interpolation.cpp 20 Jun 2006 09:18:11 -0000 1.9 *************** *** 98,115 **** t, forward, beta, nu, alpha, rho)); } - - Matrix::Matrix(const std::vector < std::vector < double > > &input) { - int numRows = input.size(); - int numCols = numRows ? input[0].size() : 0; - libraryObject_ = boost::shared_ptr<QuantLib::Matrix>( - new QuantLib::Matrix(numRows, numCols)); - QuantLib::Matrix::iterator matrixIter = libraryObject_->begin(); - for (std::vector<std::vector<double> >::const_iterator i = input.begin(); - i != input.end(); i++) { - std::vector<double> row = *i; - for (std::vector<double>::const_iterator j = row.begin(); j != row.end(); j++) - *matrixIter++ = *j; - } - } } --- 98,101 ---- --- generalutils.hpp DELETED --- --- generalutils.cpp DELETED --- Index: volatilities.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/volatilities.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** volatilities.hpp 9 Jun 2006 18:58:47 -0000 1.2 --- volatilities.hpp 20 Jun 2006 09:18:11 -0000 1.3 *************** *** 42,46 **** const std::vector < QuantLib::Date > &dates, const std::vector < double > &strikes, ! const std::vector < std::vector < double > > &vols, const QuantLib::DayCounter &dayCounter); }; --- 42,46 ---- const std::vector < QuantLib::Date > &dates, const std::vector < double > &strikes, ! const boost::shared_ptr<QuantLib::Matrix> &vols, const QuantLib::DayCounter &dayCounter); }; |
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From: Eric E. <eri...@us...> - 2006-06-20 09:18:15
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9277 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj todo.csv Log Message: automatic conversion of XLOPER to QuantLib::Matrix Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** QuantLibObjects_vc8.vcproj 19 Jun 2006 17:08:21 -0000 1.17 --- QuantLibObjects_vc8.vcproj 20 Jun 2006 09:18:11 -0000 1.18 *************** *** 395,402 **** </File> <File - RelativePath="qlo\generalutils.cpp" - > - </File> - <File RelativePath="qlo\interpolation.cpp" > --- 395,398 ---- *************** *** 620,627 **** </File> <File - RelativePath="qlo\generalutils.hpp" - > - </File> - <File RelativePath="qlo\handle.hpp" > --- 616,619 ---- Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** QuantLibObjects.vcproj 18 Jun 2006 12:54:25 -0000 1.10 --- QuantLibObjects.vcproj 20 Jun 2006 09:18:11 -0000 1.11 *************** *** 653,662 **** </File> <File - RelativePath="qlo\generalutils.cpp"> - </File> - <File - RelativePath="qlo\generalutils.hpp"> - </File> - <File RelativePath="qlo\handle.hpp"> </File> --- 653,656 ---- Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** todo.csv 18 Jun 2006 13:42:03 -0000 1.17 --- todo.csv 20 Jun 2006 09:18:11 -0000 1.18 *************** *** 3,7 **** "QLA","Design","expose INDEX public interface instead of XIBOR QL changes required",,1,, "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","cancelled",2,,"lazy instantiation?" ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","done",2,14/06/2006, "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",3,09/06/2006,"consolidate code for returning object references" "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","done",1,12/06/2006,"represent stateful objects as singletons rather than Enumerations?" --- 3,7 ---- "QLA","Design","expose INDEX public interface instead of XIBOR QL changes required",,1,, "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","cancelled",2,,"lazy instantiation?" ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","done",2,"14/06/2006", "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",3,09/06/2006,"consolidate code for returning object references" "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","done",1,12/06/2006,"represent stateful objects as singletons rather than Enumerations?" *************** *** 10,17 **** "QLA","Design","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template",,0,, "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",1,,"use id instead of instance name ???" ! "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",1,18/06/2006,"also revise GC/deletion for permanent/nonpermanent objects" ! "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",0,15/06/2006,"need to add support for creation of empty QuantLib::Handle" ! "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",1,31/05/2006, ,,,,,, ,,"performance profile of workbook YieldCurveMonitor.xls",,,, ,,"YC bootstrap fails if workbook RateHelpers.xls is open",,,, --- 10,18 ---- "QLA","Design","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template",,0,, "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",1,,"use id instead of instance name ???" ! "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",1,"18/06/2006","also revise GC/deletion for permanent/nonpermanent objects" ! "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",0,"15/06/2006","need to add support for creation of empty QuantLib::Handle" ! "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",1,"31/05/2006", ,,,,,, + ,,"add support for Matrix / Array as input / output","in progress",,, ,,"performance profile of workbook YieldCurveMonitor.xls",,,, ,,"YC bootstrap fails if workbook RateHelpers.xls is open",,,, *************** *** 19,32 **** ,,"calculate memory usage of repository",,,, ,,"count the number of functions available in the addin",,,, ! ,,"add VC8 makefile to generate .chm documentation from metadata","done",,16/06/2006, ,,"delete VanillaOption->setEngine()","cancelled",,,"can't until pricing engines are converted into objects" ! ,,"in autogenerated code - suppress call to objectPointer->setPermanent() if input parameter permanent is FALSE","done",,15/06/2006, ! ,,"don't rely on try/catch to control processing flow for deriving Enumerations (in templates in qla/conversions.hpp)","done",,16/06/2006, ! ,,"add facility to query the most recent error message","done",,16/06/2006, ,,,,,, "OH","Design","""reflection"" - support member functions dynamically",,3,, "OH","Design","update design doc",,3,, "OH","Design","allow objects to be grouped",,3,, ! "OH","Functions","ohPack() - resolve flags and values","done",1,14/06/2006, "QLA","Design","discontinue support for VC6","in progress",3,, "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,3,, --- 20,33 ---- ,,"calculate memory usage of repository",,,, ,,"count the number of functions available in the addin",,,, ! ,,"add VC8 makefile to generate .chm documentation from metadata","done",,"16/06/2006", ,,"delete VanillaOption->setEngine()","cancelled",,,"can't until pricing engines are converted into objects" ! ,,"in autogenerated code - suppress call to objectPointer->setPermanent() if input parameter permanent is FALSE","done",,"15/06/2006", ! ,,"don't rely on try/catch to control processing flow for deriving Enumerations (in templates in qla/conversions.hpp)","done",,"16/06/2006", ! ,,"add facility to query the most recent error message","done",,"16/06/2006", ,,,,,, "OH","Design","""reflection"" - support member functions dynamically",,3,, "OH","Design","update design doc",,3,, "OH","Design","allow objects to be grouped",,3,, ! "OH","Functions","ohPack() - resolve flags and values","done",1,"14/06/2006", "QLA","Design","discontinue support for VC6","in progress",3,, "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,3,, *************** *** 44,49 **** "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector",,,,"is there an example of an enum list containing 1 item?" "QLA","Enumerations","take enumeration description from metadata",,,, ! "QLA","Excel binding","categorize function names in Excel Function Wizard","on hold",1,20/04/2006,"conflict with Adfin addin" ! "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",1,14/06/2006,"also required for ctors otherwise GC breaks" "QLA","Functions","port old QLXL functionality into new QLXL",,2,, "QLA","Functions","qlSwapLegAnalysis() to provide column headers in output",,3,, --- 45,50 ---- "QLA","Enumerations","single return value gets repeated in calling range force scalar to be returned as vector",,,,"is there an example of an enum list containing 1 item?" "QLA","Enumerations","take enumeration description from metadata",,,, ! "QLA","Excel binding","categorize function names in Excel Function Wizard","on hold",1,"20/04/2006","conflict with Adfin addin" ! "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard","done",1,"14/06/2006","also required for ctors otherwise GC breaks" "QLA","Functions","port old QLXL functionality into new QLXL",,2,, "QLA","Functions","qlSwapLegAnalysis() to provide column headers in output",,3,, *************** *** 62,127 **** ,,,,,, "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,01/05/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",3,26/04/2006, ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",3,27/04/2006, "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,07/05/2006, ! "OH","Design","support for retrieval of undecorated handles","done",1,30/04/2006,"fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",3,26/04/2006, ! "OH","Design","class FunctionCall to encapsulate function state","done",2,26/04/2006, "OH","Design","include cell address in error message?","done",3,01/05/2006, "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",2,26/04/2006,"renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",1,18/05/2006, ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,18/05/2006, ! "OH","Functions","remove EO macro / function","done",3,21/04/2006, "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",1,,"looks OK now?" "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,"it works OK" "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,01/05/2006,"it doesn't" "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",3,05/08/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",1,28/04/2006,"always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,23/05/2006, ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",1,30/04/2006,"this change will probably be reversed" "QLA","Design","export IMM dates e.g. H7 -> date","done",,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,28/04/2006, ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",2,28/04/2006,"also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,27/04/2006, ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,21/04/2006, ! "QLA","Docs","installation - refer to Release build not Debug","done",3,21/04/2006, "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",2,21/04/2006,"not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,18/05/2006,"retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,20/04/2006,"not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,20/04/2006,"not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",2,26/04/2006, ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",1,27/04/2006, "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,, "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,08/05/2006, ! "QLA","Functions","qlGetDf() to return vector","done",2,21/04/2006,"renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",1,26/04/2006, ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",1,18/05/2006, "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",2,08/05/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",3,28/04/2006,"thanks to Joe Byers" "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,03/05/2006, "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,19/04/2006, ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,19/04/2006, ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",3,19/05/2006, "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,26/04/2006,"the tag is in use" "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,06/05/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,26/04/2006, ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",3,30/04/2006, "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,06/05/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,26/04/2006, ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,28/04/2006, ! "QLA","gensrc","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,23/05/2006, ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",3,23/05/2006, "QLA","VBA framework","load XLLs","done",1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,18/04/2006, ! "QLA","VBA framework","skeleton structure","done",,18/04/2006, "QLA","VBA framework","create trade/market workbooks from templates","done",1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,18/04/2006, ! "QLA","Workstation Document","explanation of runtime libraries","done",2,21/04/2006, ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",2,21/04/2006, ! "QLA","Workstation Document","document use of Addin Manager","done",2,28/04/2006, ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,28/04/2006, ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,28/04/2006, --- 63,128 ---- ,,,,,, "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,01/05/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",3,"26/04/2006", ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",3,"27/04/2006", "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,07/05/2006, ! "OH","Design","support for retrieval of undecorated handles","done",1,"30/04/2006","fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",3,"26/04/2006", ! "OH","Design","class FunctionCall to encapsulate function state","done",2,"26/04/2006", "OH","Design","include cell address in error message?","done",3,01/05/2006, "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",2,"26/04/2006","renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",1,"18/05/2006", ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,"18/05/2006", ! "OH","Functions","remove EO macro / function","done",3,"21/04/2006", "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",1,,"looks OK now?" "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,"it works OK" "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,01/05/2006,"it doesn't" "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",3,05/08/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",1,"28/04/2006","always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,"23/05/2006", ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",1,"30/04/2006","this change will probably be reversed" "QLA","Design","export IMM dates e.g. H7 -> date","done",,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,"28/04/2006", ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",2,"28/04/2006","also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,"27/04/2006", ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,"21/04/2006", ! "QLA","Docs","installation - refer to Release build not Debug","done",3,"21/04/2006", "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",2,"21/04/2006","not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,"18/05/2006","retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,"20/04/2006","not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,"20/04/2006","not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",2,"26/04/2006", ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",1,"27/04/2006", "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,, "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,08/05/2006, ! "QLA","Functions","qlGetDf() to return vector","done",2,"21/04/2006","renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",1,"26/04/2006", ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",1,"18/05/2006", "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",2,08/05/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",3,"28/04/2006","thanks to Joe Byers" "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,03/05/2006, "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,"19/04/2006", ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,"19/04/2006", ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",3,"19/05/2006", "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,"26/04/2006","the tag is in use" "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,06/05/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,"26/04/2006", ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",3,"30/04/2006", "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,06/05/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,"26/04/2006", ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,"28/04/2006", ! "QLA","gensrc","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,"23/05/2006", ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",3,"23/05/2006", "QLA","VBA framework","load XLLs","done",1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,"18/04/2006", ! "QLA","VBA framework","skeleton structure","done",,"18/04/2006", "QLA","VBA framework","create trade/market workbooks from templates","done",1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,"18/04/2006", ! "QLA","Workstation Document","explanation of runtime libraries","done",2,"21/04/2006", ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",2,"21/04/2006", ! "QLA","Workstation Document","document use of Addin Manager","done",2,"28/04/2006", ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,"28/04/2006", ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,"28/04/2006", |
|
From: Eric E. <eri...@us...> - 2006-06-20 09:18:14
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9277/gensrc/metadata Modified Files: interpolation.xml swaptionvolstructure.xml volatilities.xml Log Message: automatic conversion of XLOPER to QuantLib::Matrix Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** volatilities.xml 19 Jun 2006 08:10:01 -0000 1.2 --- volatilities.xml 20 Jun 2006 09:18:11 -0000 1.3 *************** *** 51,55 **** <description>strikes</description> </Parameter> ! <Parameter name='volatilities'> <type>double</type> <tensorRank>matrix</tensorRank> --- 51,55 ---- <description>strikes</description> </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Matrix'> <type>double</type> <tensorRank>matrix</tensorRank> Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** interpolation.xml 20 Jun 2006 08:29:52 -0000 1.13 --- interpolation.xml 20 Jun 2006 09:18:11 -0000 1.14 *************** *** 409,426 **** </Member> - <Constructor name='qlMatrix'> - <libraryFunction>Matrix</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='input' default='0'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>input matrix</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - </Functions> </Category> --- 409,412 ---- Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** swaptionvolstructure.xml 20 Jun 2006 07:55:07 -0000 1.8 --- swaptionvolstructure.xml 20 Jun 2006 09:18:11 -0000 1.9 *************** *** 132,138 **** <description>underlying swap lengths</description> </Parameter> ! <Parameter name='volatilities' libraryClass='Matrix'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> <description>swaption volatilities </description> </Parameter> --- 132,138 ---- <description>underlying swap lengths</description> </Parameter> ! <Parameter name='volatilities' libraryType='QuantLib::Matrix'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> <description>swaption volatilities </description> </Parameter> |
|
From: Ferdinando A. <na...@us...> - 2006-06-20 09:17:15
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8861/qlo Modified Files: swap.cpp Log Message: formatting Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** swap.cpp 16 Jun 2006 17:37:20 -0000 1.9 --- swap.cpp 20 Jun 2006 09:17:11 -0000 1.10 *************** *** 31,52 **** Swap::Swap( ! const boost::shared_ptr < CouponVector > &paidLegWrapper, ! const boost::shared_ptr < CouponVector > &recvLegWrapper, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) { ! const CashFlowVector& paidLeg = paidLegWrapper->getVector(); const CashFlowVector& recvLeg = recvLegWrapper->getVector(); - libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::Swap(hYTS, paidLeg, recvLeg)); } ! ! std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i) { const boost::shared_ptr<QuantLib::Swap> temp = getLibraryObject<QuantLib::Swap>(); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->leg(i); - return flowAnalysis(cashflows); } --- 31,50 ---- Swap::Swap( ! const boost::shared_ptr<CouponVector>& paidLegWrapper, ! const boost::shared_ptr<CouponVector>& recvLegWrapper, ! const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS) ! { const CashFlowVector& paidLeg = paidLegWrapper->getVector(); const CashFlowVector& recvLeg = recvLegWrapper->getVector(); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::Swap(hYTS, paidLeg, recvLeg)); } ! std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i) ! { const boost::shared_ptr<QuantLib::Swap> temp = getLibraryObject<QuantLib::Swap>(); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->leg(i); return flowAnalysis(cashflows); } |
|
From: Eric E. <eri...@us...> - 2006-06-20 08:29:58
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19116/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: add switch for linear interpolation constructor Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** interpolation.hpp 19 Jun 2006 11:07:12 -0000 1.10 --- interpolation.hpp 20 Jun 2006 08:29:54 -0000 1.11 *************** *** 38,62 **** class Interpolation : public Extrapolator {}; - class BackwardFlatInterpolation : public Interpolation { - public: - BackwardFlatInterpolation(const std::vector<double>& x, - const std::vector<double>& y); - private: - std::vector<double> x_, y_; - }; - - class ForwardFlatInterpolation : public Interpolation { - public: - ForwardFlatInterpolation(const std::vector<double>& x, - const std::vector<double>& y); - private: - std::vector<double> x_, y_; - }; - class LinearInterpolation : public Interpolation { public: ! LinearInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! QuantLibAddin::LinearInterpolationType type); private: std::vector<double> x_, y_; --- 38,46 ---- class Interpolation : public Extrapolator {}; class LinearInterpolation : public Interpolation { public: ! LinearInterpolation(const LinearInterpolationType t, ! const std::vector<double>& x, ! const std::vector<double>& y); private: std::vector<double> x_, y_; Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** interpolation.cpp 19 Jun 2006 11:07:12 -0000 1.7 --- interpolation.cpp 20 Jun 2006 08:29:53 -0000 1.8 *************** *** 29,65 **** namespace QuantLibAddin { ! BackwardFlatInterpolation::BackwardFlatInterpolation( const std::vector<double>& x, const std::vector<double>& y) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); - libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( - new QuantLib::BackwardFlatInterpolation(x_.begin(), - x_.end(), - y_.begin())); - } - - ForwardFlatInterpolation::ForwardFlatInterpolation( - const std::vector<double>& x, - const std::vector<double>& y) : x_(x), y_(y) { ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::ForwardFlatInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); ! } ! ! LinearInterpolation::LinearInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! QuantLibAddin::LinearInterpolationType type) : x_(x), y_(y) { - QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); - libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( - new QuantLib::LinearInterpolation(x_.begin(), - x_.end(), - y_.begin())); } --- 29,63 ---- namespace QuantLibAddin { ! LinearInterpolation::LinearInterpolation( ! 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(), ! y_.begin())); ! break; ! case BackwardFlatType: ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::BackwardFlatInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); ! break; ! case ForwardFlatType: ! libraryObject_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::ForwardFlatInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); ! break; ! default: ! QL_FAIL("Unknown LinearInterpolationType"); ! } } |
|
From: Eric E. <eri...@us...> - 2006-06-20 08:29:57
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19116/gensrc/metadata Modified Files: interpolation.xml Log Message: add switch for linear interpolation constructor Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** interpolation.xml 19 Jun 2006 11:07:11 -0000 1.12 --- interpolation.xml 20 Jun 2006 08:29:52 -0000 1.13 *************** *** 180,221 **** </Member> - <Constructor name='qlBackwardFlatInterpolation'> - <libraryFunction>BackwardFlatInterpolation</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <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> - </Parameters> - </ParameterList> - </Constructor> - - <Constructor name='qlForwardFlatInterpolation'> - <libraryFunction>ForwardFlatInterpolation</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <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> - </Parameters> - </ParameterList> - </Constructor> - <Constructor name='qlLinearInterpolation'> <libraryFunction>LinearInterpolation</libraryFunction> --- 180,183 ---- *************** *** 223,226 **** --- 185,193 ---- <ParameterList> <Parameters> + <Parameter name='type' enumeration='QuantLibAddin::LinearInterpolationType'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>linear interpolation type (e.g LinearType, BackwardFlatType, ForwardFlatType)</description> + </Parameter> <Parameter name='xArray'> <type>double</type> *************** *** 233,242 **** <description>y array</description> </Parameter> - <Parameter name='type' enumeration='QuantLibAddin::LinearInterpolationType'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <!--description>type (e.g. LinearType, BackwardFlatType, ForwardFlatType)</description--> - <description>not used yet</description> - </Parameter> </Parameters> </ParameterList> --- 200,203 ---- |
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From: Katiuscia M. <kma...@us...> - 2006-06-20 07:55:12
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5778/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: bug fixed: Period must be declared as QL libraryType and not Enum Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** swaptionvolstructure.xml 19 Jun 2006 19:28:04 -0000 1.7 --- swaptionvolstructure.xml 20 Jun 2006 07:55:07 -0000 1.8 *************** *** 22,26 **** <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 22,26 ---- <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Katiuscia M. <kma...@us...> - 2006-06-19 19:28:14
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6681/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: partial restoring of SwaptionVolStructure interface Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** swaptionvolstructure.xml 19 Jun 2006 17:08:21 -0000 1.6 --- swaptionvolstructure.xml 19 Jun 2006 19:28:04 -0000 1.7 *************** *** 1,11 **** <Category name='swaptionvolstructure'> ! <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> ! <displayName>Swaption Volatility Term Structures</displayName> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson ! </copyright> ! <Functions> <Constructor name='qlSwaptionVTSMatrix'> --- 1,113 ---- + <Category name='swaptionvolstructure'> ! <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> ! <displayName>Swaption Volatility Term Structures</displayName> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson ! </copyright> ! <Functions> ! ! ! <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> ! <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='swapLength' enumeration='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Underlying swap length as period (e.g. 5Y)</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <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='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> + <description>Returns the latest start date for which the term structure can return vols.</description> + <libraryFunction>maxStartDate</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EO</platforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>max swaption expiry date</description> + </ReturnValue> + </Member> + + <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> + <description>Returns the largest length for which the term structure can return vols.</description> + <libraryFunction>maxLength</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EO</platforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>max underlying swap length as period</description> + </ReturnValue> + </Member> + + <Member name='qlSwaptionVTSMinStrike' libraryClass='SwaptionVolatilityStructure'> + <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='qlSwaptionVTSMaxStrike' libraryClass='SwaptionVolatilityStructure'> + <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> <Constructor name='qlSwaptionVTSMatrix'> *************** *** 48,199 **** </ParameterList> </Constructor> ! <!-- ! <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> ! <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='swapLength' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Underlying swap length as period (e.g. 5Y)</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <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 libraryType='QuantLib::Volatility'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>vector of volatilities</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> ! <description>Returns the latest start date for which the term structure can return vols.</description> ! <libraryFunction>maxStartDate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>max swaption expiry date</description> ! </ReturnValue> ! </Member> ! <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> ! <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxLength</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>max underlying swap length as period</description> ! </ReturnValue> ! </Member> ! <Member name='qlSwaptionVTSMinStrike' libraryClass='SwaptionVolatilityStructure'> ! <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='qlSwaptionVTSMaxStrike' libraryClass='SwaptionVolatilityStructure'> - <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> ! <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the underlying swap day counter.</description> ! <libraryFunction>dayCounter</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>exerciseDates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>swaption exercise dates </description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of underlying swap lengths.</description> ! <libraryFunction>lengths</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>underlying swap lengths</description> ! </ReturnValue> ! </Member> ! --> ! </Functions> </Category> - --- 150,200 ---- </ParameterList> </Constructor> ! ! <!--Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the underlying swap day counter.</description> ! <libraryFunction>dayCounter</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </ReturnValue> ! </Member--> ! <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>exerciseDates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>swaption exercise dates</description> ! </ReturnValue> ! </Member> ! <!--Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of underlying swap lengths.</description> ! <libraryFunction>lengths</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>underlying swap lengths</description> ! </ReturnValue> ! </Member--> ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-19 17:59:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30832/Docs Modified Files: qladdin.vc.doxy Added Files: QuantLibXLdocs.vcproj QuantLibXLdocs_vc8.vcproj Removed Files: docs.vcproj docs_vc8.vcproj Log Message: projects renamed --- docs_vc8.vcproj DELETED --- --- NEW FILE: QuantLibXLdocs.vcproj --- <?xml version="1.0" encoding="Windows-1252"?> <VisualStudioProject ProjectType="Visual C++" Version="7.10" Name="QuantLibXL docs" ProjectGUID="{60E2EF10-4F8A-4745-81B2-363115E9A31A}" Keyword="MakeFileProj"> <Platforms> <Platform Name="Win32"/> </Platforms> <Configurations> <Configuration Name="All|Win32" OutputDirectory="Debug" IntermediateDirectory="Debug" ConfigurationType="0"> <Tool Name="VCNMakeTool" BuildCommandLine="NMAKE /f "Makefile.vc"" ReBuildCommandLine="NMAKE /f "Makefile.vc" /a" CleanCommandLine="NMAKE /f "Makefile.vc" clean"/> </Configuration> </Configurations> <References> </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> </Globals> </VisualStudioProject> Index: qladdin.vc.doxy =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qladdin.vc.doxy,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** qladdin.vc.doxy 16 Jun 2006 19:29:30 -0000 1.1 --- qladdin.vc.doxy 19 Jun 2006 17:59:19 -0000 1.2 *************** *** 126,130 **** GENERATE_HTMLHELP = YES CHM_FILE = quantlibxl.chm ! HHC_LOCATION = "C:\Program Files\HTML Help Workshop\hhc.exe" GENERATE_CHI = NO BINARY_TOC = NO --- 126,130 ---- GENERATE_HTMLHELP = YES CHM_FILE = quantlibxl.chm ! HHC_LOCATION = hhc.exe GENERATE_CHI = NO BINARY_TOC = NO --- NEW FILE: QuantLibXLdocs_vc8.vcproj --- <?xml version="1.0" encoding="Windows-1252"?> <VisualStudioProject ProjectType="Visual C++" Version="8.00" Name="QuantLibXL docs" ProjectGUID="{3A1AC508-8F57-4318-AC89-EE55513FE506}" Keyword="MakeFileProj" > <Platforms> <Platform Name="Win32" /> </Platforms> <ToolFiles> </ToolFiles> <Configurations> <Configuration Name="All|Win32" OutputDirectory="build\vc" IntermediateDirectory="build\vc" ConfigurationType="0" > <Tool Name="VCNMakeTool" BuildCommandLine="NMAKE /f "Makefile.vc"" ReBuildCommandLine="NMAKE /f "Makefile.vc" /a" CleanCommandLine="NMAKE /f "Makefile.vc" clean" Output="" PreprocessorDefinitions="WIN32;_DEBUG" IncludeSearchPath="" ForcedIncludes="" AssemblySearchPath="" ForcedUsingAssemblies="" CompileAsManaged="" /> </Configuration> </Configurations> <References> </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> </Globals> </VisualStudioProject> --- docs.vcproj DELETED --- |
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From: Silvia F. <s_f...@us...> - 2006-06-19 17:08:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5647/qlo Modified Files: .cvsignore swaptionvolstructure.hpp Added Files: swaptionvolstructure.cpp Log Message: added SwaptionVolMatrix Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** .cvsignore 19 Jun 2006 14:18:01 -0000 1.6 --- .cvsignore 19 Jun 2006 17:08:22 -0000 1.7 *************** *** 10,11 **** --- 10,12 ---- qladdin.hpp vo_*.*pp + --- NEW FILE: swaptionvolstructure.cpp --- /* Copyright (C) 2006 Silvia Frasson 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/swaptionvolstructure.hpp> namespace QuantLibAddin { SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(const QuantLib::Date& referenceDate, const std::vector<QuantLib::Date>& exerciseDates, const std::vector<QuantLib::Period>& lengths, const boost::shared_ptr<QuantLib::Matrix>& volatilities, const QuantLib::DayCounter& dayCounter) { libraryObject_ = boost::shared_ptr<QuantLib::SwaptionVolatilityStructure>( new QuantLib::SwaptionVolatilityMatrix(referenceDate, exerciseDates, lengths, *(volatilities.get()), dayCounter)); } } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaptionvolstructure.hpp 12 Jun 2006 14:08:18 -0000 1.1 --- swaptionvolstructure.hpp 19 Jun 2006 17:08:22 -0000 1.2 *************** *** 21,25 **** #include <oh/objhandler.hpp> ! #include <ql/swaptionvolstructure.hpp> namespace QuantLibAddin { --- 21,26 ---- #include <oh/objhandler.hpp> ! #include <ql/Volatilities/swaptionvolmatrix.hpp> ! #include <qlo/interpolation.hpp> namespace QuantLibAddin { *************** *** 28,31 **** --- 29,41 ---- }; + class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure { + public: + SwaptionVolatilityMatrix(const QuantLib::Date& referenceDate, + const std::vector<QuantLib::Date>& exerciseDates, + const std::vector<QuantLib::Period>& lengths, + const boost::shared_ptr<QuantLib::Matrix>& volatilities, + const QuantLib::DayCounter& dayCounter); + }; + } |
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From: Silvia F. <s_f...@us...> - 2006-06-19 17:08:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5647/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: added SwaptionVolMatrix Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** swaptionvolstructure.xml 19 Jun 2006 08:10:01 -0000 1.5 --- swaptionvolstructure.xml 19 Jun 2006 17:08:21 -0000 1.6 *************** *** 8,12 **** <Functions> ! <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> <libraryFunction>volatility</libraryFunction> --- 8,53 ---- <Functions> ! ! <Constructor name='qlSwaptionVTSMatrix'> ! <libraryFunction>SwaptionVolatilityMatrix</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='exerciseDates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>swaption exercise dates</description> ! </Parameter> ! <Parameter name='swapLengths' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>underlying swap lengths</description> ! </Parameter> ! <Parameter name='volatilities' libraryClass='Matrix'> ! <type>string</type> ! <tensorRank>scalar</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> ! <!-- ! <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> <libraryFunction>volatility</libraryFunction> *************** *** 20,24 **** <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 61,65 ---- <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 49,53 **** </Member> ! <Member name='qlSwaptionVTSVolatilityMaxExpiry' libraryClass='SwaptionVolatilityStructure'> <description>Returns the latest start date for which the term structure can return vols.</description> <libraryFunction>maxStartDate</libraryFunction> --- 90,94 ---- </Member> ! <Member name='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> <description>Returns the latest start date for which the term structure can return vols.</description> <libraryFunction>maxStartDate</libraryFunction> *************** *** 64,68 **** </Member> ! <Member name='qlSwaptionVTSVolatilityMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> <libraryFunction>maxLength</libraryFunction> --- 105,109 ---- </Member> ! <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> <libraryFunction>maxLength</libraryFunction> *************** *** 79,83 **** </Member> ! <Member name='qlSwaptionVTSVolatilityMinStrike' libraryClass='SwaptionVolatilityStructure'> <description>Returns the minimum strike for which the term structure can return vols.</description> <libraryFunction>minStrike</libraryFunction> --- 120,124 ---- </Member> ! <Member name='qlSwaptionVTSMinStrike' libraryClass='SwaptionVolatilityStructure'> <description>Returns the minimum strike for which the term structure can return vols.</description> <libraryFunction>minStrike</libraryFunction> *************** *** 94,98 **** </Member> ! <Member name='qlSwaptionVTSVolatilityMaxStrike' libraryClass='SwaptionVolatilityStructure'> <description>Returns the maximum strike for which the term structure can return vols.</description> <libraryFunction>maxStrike</libraryFunction> --- 135,139 ---- </Member> ! <Member name='qlSwaptionVTSMaxStrike' libraryClass='SwaptionVolatilityStructure'> <description>Returns the maximum strike for which the term structure can return vols.</description> <libraryFunction>maxStrike</libraryFunction> *************** *** 108,112 **** </ReturnValue> </Member> ! </Functions> </Category> --- 149,198 ---- </ReturnValue> </Member> ! ! <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the underlying swap day counter.</description> ! <libraryFunction>dayCounter</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>exerciseDates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>swaption exercise dates </description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of underlying swap lengths.</description> ! <libraryFunction>lengths</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>underlying swap lengths</description> ! </ReturnValue> ! </Member> ! --> </Functions> </Category> |
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From: Silvia F. <s_f...@us...> - 2006-06-19 17:08:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5647 Modified Files: QuantLibObjects_vc8.vcproj Log Message: added SwaptionVolMatrix Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** QuantLibObjects_vc8.vcproj 19 Jun 2006 14:18:00 -0000 1.16 --- QuantLibObjects_vc8.vcproj 19 Jun 2006 17:08:21 -0000 1.17 *************** *** 383,386 **** --- 383,390 ---- </File> <File + RelativePath=".\qlo\fixedcouponbond.cpp" + > + </File> + <File RelativePath=".\qlo\forwardrateagreement.cpp" > *************** *** 435,438 **** --- 439,446 ---- </File> <File + RelativePath=".\qlo\swaptionvolstructure.cpp" + > + </File> + <File RelativePath="qlo\termstructures.cpp" > *************** *** 511,514 **** --- 519,526 ---- </File> <File + RelativePath=".\qlo\vo_swaptionvolstructure.cpp" + > + </File> + <File RelativePath="qlo\vo_termstructures.cpp" > *************** *** 534,537 **** --- 546,553 ---- > </File> + <File + RelativePath=".\qlo\zerocouponbond.cpp" + > + </File> </Filter> <Filter *************** *** 592,595 **** --- 608,615 ---- </File> <File + RelativePath=".\qlo\fixedcouponbond.hpp" + > + </File> + <File RelativePath=".\qlo\forwardrateagreement.hpp" > *************** *** 616,619 **** --- 636,643 ---- </File> <File + RelativePath=".\qlo\math.hpp" + > + </File> + <File RelativePath="qlo\options.hpp" > *************** *** 756,759 **** --- 780,787 ---- </File> <File + RelativePath=".\qlo\vo_swaptionvolstructure.hpp" + > + </File> + <File RelativePath="qlo\vo_termstructures.hpp" > *************** *** 779,782 **** --- 807,814 ---- > </File> + <File + RelativePath=".\qlo\zerocouponbond.hpp" + > + </File> </Filter> </Files> |
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From: Silvia F. <s_f...@us...> - 2006-06-19 17:08:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5647/gensrc Modified Files: gensrc_vc8.vcproj Log Message: added SwaptionVolMatrix Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** gensrc_vc8.vcproj 19 Jun 2006 14:18:00 -0000 1.9 --- gensrc_vc8.vcproj 19 Jun 2006 17:08:21 -0000 1.10 *************** *** 5,8 **** --- 5,9 ---- Name="gensrc" ProjectGUID="{88BE5568-6E55-41C5-A251-670FAFB44336}" + RootNamespace="gensrc" Keyword="MakeFileProj" > |
