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From: Eric E. <eri...@us...> - 2006-06-19 15:13:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14860/gensrc/metadata Modified Files: xibor.xml Log Message: return empty QuantLib::Handle if user supplies null ID Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** xibor.xml 19 Jun 2006 08:10:01 -0000 1.10 --- xibor.xml 19 Jun 2006 15:13:09 -0000 1.11 *************** *** 143,147 **** <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> --- 143,147 ---- <description>day counter (e.g. Actual360)</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Cristina D. <cdu...@us...> - 2006-06-19 14:22:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24439/gensrc/metadata Modified Files: exercise.xml Log Message: 1) exported swaption 2) exported Exercise interface Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** exercise.xml 19 Jun 2006 14:18:01 -0000 1.3 --- exercise.xml 19 Jun 2006 14:22:19 -0000 1.4 *************** *** 23,27 **** </Member> ! <Member name='qlLastDate' libraryClass='Exercise'> <description>Returns last exercise date</description> <libraryFunction>lastDate</libraryFunction> --- 23,27 ---- </Member> ! <Member name='qlExerciseLastDate' libraryClass='Exercise'> <description>Returns last exercise date</description> <libraryFunction>lastDate</libraryFunction> |
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From: Cristina D. <cdu...@us...> - 2006-06-19 14:18:16
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22040 Modified Files: QuantLibObjects_vc8.vcproj Log Message: 1) exported swaption 2) exported Exercise interface Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** QuantLibObjects_vc8.vcproj 15 Jun 2006 20:23:55 -0000 1.15 --- QuantLibObjects_vc8.vcproj 19 Jun 2006 14:18:00 -0000 1.16 *************** *** 431,434 **** --- 431,438 ---- </File> <File + RelativePath=".\qlo\swaption.cpp" + > + </File> + <File RelativePath="qlo\termstructures.cpp" > *************** *** 503,506 **** --- 507,514 ---- </File> <File + RelativePath=".\qlo\vo_swaption.cpp" + > + </File> + <File RelativePath="qlo\vo_termstructures.cpp" > *************** *** 612,615 **** --- 620,627 ---- </File> <File + RelativePath=".\qlo\pricingengine.hpp" + > + </File> + <File RelativePath="qlo\processes.hpp" > *************** *** 652,655 **** --- 664,671 ---- </File> <File + RelativePath=".\qlo\swaption.hpp" + > + </File> + <File RelativePath=".\qlo\swaptionvolstructure.hpp" > *************** *** 736,739 **** --- 752,759 ---- </File> <File + RelativePath=".\qlo\vo_swaption.hpp" + > + </File> + <File RelativePath="qlo\vo_termstructures.hpp" > |
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From: Cristina D. <cdu...@us...> - 2006-06-19 14:18:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22040/gensrc/metadata Modified Files: exercise.xml Added Files: swaption.xml Log Message: 1) exported swaption 2) exported Exercise interface --- NEW FILE: swaption.xml --- <Category name='swaption'> <description>functions to construct QuantLib swaption objects</description> <displayName>Swaption</displayName> <includes> <include>qlo/pricingengine.hpp</include> <include>qlo/swaption.hpp</include> <include>qlo/exercise.hpp</include> <include>qlo/vanillaswap.hpp</include> <include>qlo/vo_swaption.hpp</include> </includes> <copyright> Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Cristina Duminuco Copyright (C) 2006 Eric Ehlers </copyright> <Functions> <Constructor name='qlSwaption'> <libraryFunction>Swaption</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='vanillaSwap' libraryClass='VanillaSwap'> <type>string</type> <tensorRank>scalar</tensorRank> <description>underlying swap (vanilla)</description> </Parameter> <Parameter name='Exercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Exercise object</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> <Member name='qlUnderlyingSwap' objectClass='Swaption'> <description>the underlying swap</description> <libraryFunction>underlyingSwap</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> <description>the underlying swap</description> </ReturnValue> </Member> </Functions> </Category> Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** exercise.xml 19 Jun 2006 08:10:00 -0000 1.2 --- exercise.xml 19 Jun 2006 14:18:01 -0000 1.3 *************** *** 1,68 **** <Category name='exercise'> ! <description>functions to construct QuantLib Exercise objects</description> ! <displayName>Exercise</displayName> ! <copyright> ! Copyright (C) 2006 Eric Ehlers ! </copyright> ! <Functions> ! <Constructor name='qlAmericanExercise'> ! <libraryFunction>AmericanExercise</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='earliestDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>earliest exercise date</description> ! </Parameter> ! <Parameter name='latestDate' libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>latest exercise date</description> ! </Parameter> ! <Parameter name='payoffAtExpiry' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>payoff at expiry</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlEuropeanExercise'> ! <libraryFunction>EuropeanExercise</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='expiryDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>expiry date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlBermudanExercise'> ! <libraryFunction>BermudanExercise</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </Parameter> ! <Parameter name='payoffAtExpiry' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>payoff at expiry</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> ! </Category> --- 1,97 ---- <Category name='exercise'> ! <description>functions to construct QuantLib Exercise objects</description> ! <displayName>Exercise</displayName> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Cristina Duminuco ! Copyright (C) 2006 Eric Ehlers ! </copyright> ! <Functions> ! <Member name='qlExerciseDates' libraryClass='Exercise'> ! <description>Returns all exercise dates</description> ! <libraryFunction>dates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>Exercise dates</description> ! </ReturnValue> ! </Member> ! <Member name='qlLastDate' libraryClass='Exercise'> ! <description>Returns last exercise date</description> ! <libraryFunction>lastDate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Last exercise date</description> ! </ReturnValue> ! </Member> ! <Constructor name='qlAmericanExercise'> ! <libraryFunction>AmericanExercise</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='earliestDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>earliest exercise date</description> ! </Parameter> ! <Parameter name='latestDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>latest exercise date</description> ! </Parameter> ! <Parameter name='payoffAtExpiry' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>payoff at expiry</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlEuropeanExercise'> ! <libraryFunction>EuropeanExercise</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='expiryDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>expiry date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlBermudanExercise'> ! <libraryFunction>BermudanExercise</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </Parameter> ! <Parameter name='payoffAtExpiry' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>payoff at expiry</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> + </Functions> + </Category> |
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From: Cristina D. <cdu...@us...> - 2006-06-19 14:18:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22040/gensrc Modified Files: gensrc_vc8.vcproj Log Message: 1) exported swaption 2) exported Exercise interface Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** gensrc_vc8.vcproj 15 Jun 2006 20:23:55 -0000 1.8 --- gensrc_vc8.vcproj 19 Jun 2006 14:18:00 -0000 1.9 *************** *** 135,138 **** --- 135,142 ---- </File> <File + RelativePath=".\metadata\swaption.xml" + > + </File> + <File RelativePath=".\metadata\swaptionvolstructure.xml" > |
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From: Cristina D. <cdu...@us...> - 2006-06-19 14:18:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22040/gensrc/config Modified Files: config.xml Log Message: 1) exported swaption 2) exported Exercise interface Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** config.xml 15 Jun 2006 20:23:55 -0000 1.5 --- config.xml 19 Jun 2006 14:18:00 -0000 1.6 *************** *** 28,31 **** --- 28,32 ---- <categoryName>shortratemodels</categoryName> <categoryName>swap</categoryName> + <categoryName>swaption</categoryName> <categoryName>swaptionvolstructure</categoryName> <categoryName>termstructures</categoryName> |
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From: Cristina D. <cdu...@us...> - 2006-06-19 14:18:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22040/qlo Modified Files: .cvsignore exercise.cpp exercise.hpp Added Files: pricingengine.hpp swaption.cpp swaption.hpp Log Message: 1) exported swaption 2) exported Exercise interface Index: exercise.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/exercise.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** exercise.hpp 9 Jun 2006 18:58:47 -0000 1.2 --- exercise.hpp 19 Jun 2006 14:18:01 -0000 1.3 *************** *** 30,49 **** public: AmericanExercise( ! const QuantLib::Date &earliestDate, ! const QuantLib::Date &latestDate, ! const bool &payoffAtExpiry); }; class EuropeanExercise : public Exercise { public: ! EuropeanExercise( ! const QuantLib::Date &expiryDate); }; class BermudanExercise : public Exercise { public: ! BermudanExercise( ! const std::vector < QuantLib::Date > &dates, ! const bool &payoffAtExpiry); }; --- 30,47 ---- public: AmericanExercise( ! const QuantLib::Date& earliestDate, ! const QuantLib::Date& latestDate, ! const bool payoffAtExpiry); }; class EuropeanExercise : public Exercise { public: ! EuropeanExercise(const QuantLib::Date& expiryDate); }; class BermudanExercise : public Exercise { public: ! BermudanExercise(const std::vector<QuantLib::Date>& dates, ! const bool payoffAtExpiry); }; *************** *** 51,53 **** #endif - --- 49,50 ---- Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** .cvsignore 15 Jun 2006 20:23:55 -0000 1.5 --- .cvsignore 19 Jun 2006 14:18:01 -0000 1.6 *************** *** 9,29 **** enumregistry.cpp qladdin.hpp ! vo_bonds.*pp ! vo_calendar.*pp ! vo_capfloor.*pp ! vo_couponvectors.*pp ! vo_exercise.*pp ! vo_forwardrateagreement.*pp ! vo_interpolation.*pp ! vo_ohfunctions.*pp ! vo_options.*pp ! vo_processes.*pp ! vo_randomsequencegenerator.*pp ! vo_ratehelpers.*pp ! vo_schedule.*pp ! vo_shortratemodels.*pp ! vo_swap.*pp ! vo_termstructures.*pp ! vo_vanillaswap.*pp ! vo_volatilities.*pp ! vo_xibor.*pp --- 9,11 ---- enumregistry.cpp qladdin.hpp ! vo_*.*pp --- NEW FILE: swaption.cpp --- /* 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. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <qlo/swaption.hpp> #include <ql/Instruments/swaption.hpp> namespace QuantLibAddin { 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)); } } Index: exercise.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/exercise.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** exercise.cpp 9 Jun 2006 18:58:47 -0000 1.2 --- exercise.cpp 19 Jun 2006 14:18:01 -0000 1.3 *************** *** 25,52 **** AmericanExercise::AmericanExercise( ! const QuantLib::Date &earliestDate, ! const QuantLib::Date &latestDate, ! const bool &payoffAtExpiry) { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::AmericanExercise( ! earliestDate, ! latestDate, ! payoffAtExpiry)); } ! EuropeanExercise::EuropeanExercise( ! const QuantLib::Date &expiryDate) { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::EuropeanExercise( ! expiryDate)); } BermudanExercise::BermudanExercise( ! const std::vector < QuantLib::Date > &dates, ! const bool &payoffAtExpiry) { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::BermudanExercise( ! dates, ! payoffAtExpiry)); } --- 25,51 ---- AmericanExercise::AmericanExercise( ! const QuantLib::Date& earliestDate, ! const QuantLib::Date& latestDate, ! const bool payoffAtExpiry) ! { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::AmericanExercise(earliestDate, ! latestDate, ! payoffAtExpiry)); } ! EuropeanExercise::EuropeanExercise(const QuantLib::Date& expiryDate) ! { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::EuropeanExercise(expiryDate)); } BermudanExercise::BermudanExercise( ! const std::vector<QuantLib::Date>& dates, ! const bool payoffAtExpiry) ! { libraryObject_ = boost::shared_ptr<QuantLib::Exercise>( ! new QuantLib::BermudanExercise(dates, ! payoffAtExpiry)); } --- NEW FILE: swaption.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_swaption_hpp #define qla_swaption_cpp #include <qlo/baseinstruments.hpp> #include <qlo/termstructures.hpp> #include <ql/PricingEngines/Swaption/blackswaptionengine.hpp> namespace QuantLibAddin { class Swaption : public Instrument { public: 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() { return boost::any_cast<std::string>(propertyValue("vanillaSwap")); } }; } #endif --- NEW FILE: pricingengine.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 BlackSwaptionEngine : public ObjHandler::LibraryObject<QuantLib::BlackSwaptionEngine> { }; } #endif |
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From: Ferdinando A. <na...@us...> - 2006-06-19 11:07:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2043/gensrc/metadata Modified Files: enumerations.xml interpolation.xml Log Message: Index: enumerations.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumerations.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** enumerations.xml 19 Jun 2006 08:10:00 -0000 1.6 --- enumerations.xml 19 Jun 2006 11:07:11 -0000 1.7 *************** *** 59,76 **** <Enumeration> ! <type>QuantLib::LinearInterpolationType</type> <constructor>true</constructor> <EnumerationDefinitions> <EnumerationDefinition> <string>LinearType</string> ! <value>QuantLib::LinearType</value> </EnumerationDefinition> <EnumerationDefinition> <string>BackwardFlatType</string> ! <value>QuantLib::BackwardFlatType</value> </EnumerationDefinition> <EnumerationDefinition> <string>ForwardFlatType</string> ! <value>QuantLib::ForwardFlatType</value> </EnumerationDefinition> </EnumerationDefinitions> --- 59,76 ---- <Enumeration> ! <type>QuantLibAddin::LinearInterpolationType</type> <constructor>true</constructor> <EnumerationDefinitions> <EnumerationDefinition> <string>LinearType</string> ! <value>QuantLibAddin::LinearType</value> </EnumerationDefinition> <EnumerationDefinition> <string>BackwardFlatType</string> ! <value>QuantLibAddin::BackwardFlatType</value> </EnumerationDefinition> <EnumerationDefinition> <string>ForwardFlatType</string> ! <value>QuantLibAddin::ForwardFlatType</value> </EnumerationDefinition> </EnumerationDefinitions> Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** interpolation.xml 19 Jun 2006 08:10:01 -0000 1.11 --- interpolation.xml 19 Jun 2006 11:07:11 -0000 1.12 *************** *** 233,237 **** <description>y array</description> </Parameter> ! <Parameter name='type' enumeration='QuantLib::LinearInterpolationType'> <type>string</type> <tensorRank>scalar</tensorRank> --- 233,237 ---- <description>y array</description> </Parameter> ! <Parameter name='type' enumeration='QuantLibAddin::LinearInterpolationType'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-06-19 11:07:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2043/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** interpolation.hpp 19 Jun 2006 11:00:33 -0000 1.9 --- interpolation.hpp 19 Jun 2006 11:07:12 -0000 1.10 *************** *** 31,38 **** ForwardFlatType }; ! } ! ! namespace QuantLibAddin { ! class Extrapolator : public ObjHandler::LibraryObject<QuantLib::Extrapolator> { --- 31,35 ---- ForwardFlatType }; ! class Extrapolator : public ObjHandler::LibraryObject<QuantLib::Extrapolator> { *************** *** 61,65 **** LinearInterpolation(const std::vector<double>& x, const std::vector<double>& y, ! QuantLib::LinearInterpolationType type); private: std::vector<double> x_, y_; --- 58,62 ---- LinearInterpolation(const std::vector<double>& x, const std::vector<double>& y, ! QuantLibAddin::LinearInterpolationType type); private: std::vector<double> x_, y_; Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** interpolation.cpp 13 Jun 2006 18:56:56 -0000 1.6 --- interpolation.cpp 19 Jun 2006 11:07:12 -0000 1.7 *************** *** 54,58 **** const std::vector<double>& x, const std::vector<double>& y, ! QuantLib::LinearInterpolationType type) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); --- 54,58 ---- 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"); |
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From: Ferdinando A. <na...@us...> - 2006-06-19 11:00:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31326/qlo Modified Files: interpolation.hpp Log Message: temporary patch Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** interpolation.hpp 19 Jun 2006 10:59:03 -0000 1.8 --- interpolation.hpp 19 Jun 2006 11:00:33 -0000 1.9 *************** *** 30,35 **** BackwardFlatType, ForwardFlatType } - namespace QuantLibAddin { --- 30,35 ---- BackwardFlatType, ForwardFlatType + }; } namespace QuantLibAddin { |
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From: Ferdinando A. <na...@us...> - 2006-06-19 10:59:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30460/qlo Modified Files: interpolation.hpp Log Message: temporary patch Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** interpolation.hpp 14 Jun 2006 18:16:20 -0000 1.7 --- interpolation.hpp 19 Jun 2006 10:59:03 -0000 1.8 *************** *** 25,28 **** --- 25,37 ---- namespace QuantLibAddin { + + enum LinearInterpolationType { + LinearType, + BackwardFlatType, + ForwardFlatType + } + + + namespace QuantLibAddin { class Extrapolator : |
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From: Eric E. <eri...@us...> - 2006-06-19 08:29:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24048/gensrc/metadata Modified Files: couponvectors.xml ratehelpers.xml Log Message: restore overwritten changes Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** couponvectors.xml 19 Jun 2006 08:10:00 -0000 1.6 --- couponvectors.xml 19 Jun 2006 08:29:45 -0000 1.7 *************** *** 62,65 **** --- 62,70 ---- <description>coupon nominals</description> </Parameter> + <Parameter name='gearings' default='0'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> + </Parameter> <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> *************** *** 123,125 **** </Functions> </Category> - --- 128,129 ---- Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** ratehelpers.xml 19 Jun 2006 08:10:01 -0000 1.6 --- ratehelpers.xml 19 Jun 2006 08:29:45 -0000 1.7 *************** *** 292,295 **** --- 292,300 ---- <description>max number of futures to be included</description> </Parameter> + <Parameter name='frontContractRollingDays' default='0'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>discard the front contract the given number of days in advance of its expiry (e.g zero implies the usage of the front contract during its expiry day)</description> + </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> |
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From: Eric E. <eri...@us...> - 2006-06-19 08:29:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23994/gensrc/metadata Modified Files: bonds.xml Log Message: restore overwritten changes Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** bonds.xml 19 Jun 2006 08:10:00 -0000 1.8 --- bonds.xml 19 Jun 2006 08:29:23 -0000 1.9 *************** *** 394,397 **** --- 394,402 ---- <description>fixing days (e.g. 2)</description> </Parameter> + <Parameter name='gearings' default='0'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> + </Parameter> <Parameter name='spreads' default='0'> <type>double</type> |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15305/gensrc/metadata Modified Files: bonds.xml calendar.xml capfloor.xml couponvectors.xml date.xml daycounter.xml enumerations.xml exercise.xml forwardrateagreement.xml instruments.xml interpolation.xml mathf.xml options.xml prices.xml processes.xml randomsequencegenerator.xml ratehelpers.xml schedule.xml shortratemodels.xml swap.xml swaptionvolstructure.xml termstructures.xml utilities.xml vanillaswap.xml volatilities.xml xibor.xml Log Message: file-by-file copyright in autogenerated source Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** vanillaswap.xml 15 Jun 2006 19:01:39 -0000 1.4 --- vanillaswap.xml 19 Jun 2006 08:10:01 -0000 1.5 *************** *** 2,5 **** --- 2,10 ---- <description>functions to construct and use QuantLib::VanillaSwap objects</description> <displayName>Vanilla Swap</displayName> + <copyright> + Copyright (C) 2005, 2006 Eric Ehlers + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2005 Aurelien Chanudet + </copyright> <Functions> Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** ratehelpers.xml 18 Jun 2006 19:06:28 -0000 1.5 --- ratehelpers.xml 19 Jun 2006 08:10:01 -0000 1.6 *************** *** 7,10 **** --- 7,16 ---- <include>qlo/xibor.hpp</include> </includes> + <copyright> + Copyright (C) 2005, 2006 Eric Ehlers + Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2005 Aurelien Chanudet + </copyright> <Functions> *************** *** 286,294 **** <description>max number of futures to be included</description> </Parameter> - <Parameter name='frontContractRollingDays' default='0'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>discard the front contract the given number of days in advance of its expiry (e.g zero implies the usage of the front contract during its expiry day)</description> - </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> --- 292,295 ---- Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** shortratemodels.xml 16 Jun 2006 17:37:16 -0000 1.4 --- shortratemodels.xml 19 Jun 2006 08:10:01 -0000 1.5 *************** *** 2,5 **** --- 2,9 ---- <description>functions to construct QuantLib short-rate model objects</description> <displayName>Short Rate Models</displayName> + <copyright> + Copyright (C) 2005 Eric Ehlers + Copyright (C) 2005 Aurelien Chanudet + </copyright> <Functions> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** bonds.xml 18 Jun 2006 19:47:14 -0000 1.7 --- bonds.xml 19 Jun 2006 08:10:00 -0000 1.8 *************** *** 10,13 **** --- 10,19 ---- <include>qlo/termstructures.hpp</include> </includes> + <copyright> + Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2005, 2006 Eric Ehlers + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2005 Walter Penschke + </copyright> <Functions> *************** *** 388,396 **** <description>fixing days (e.g. 2)</description> </Parameter> - <Parameter name='gearings' default='0'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> - </Parameter> <Parameter name='spreads' default='0'> <type>double</type> --- 394,397 ---- Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** swap.xml 16 Jun 2006 17:37:16 -0000 1.8 --- swap.xml 19 Jun 2006 08:10:01 -0000 1.9 *************** *** 2,5 **** --- 2,12 ---- <description>functions to construct and use QuantLib::Swap objects</description> <displayName>Swap</displayName> + <copyright> + Copyright (C) 2005 Eric Ehlers + Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2005 Aurelien Chanudet + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2006 Katiuscia Manzoni + </copyright> <Functions> Index: daycounter.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/daycounter.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** daycounter.xml 5 Jun 2006 13:28:45 -0000 1.2 --- daycounter.xml 19 Jun 2006 08:10:00 -0000 1.3 *************** *** 3,6 **** --- 3,9 ---- <displayName>Daycounter</displayName> <includes/> + <copyright> + Copyright (C) 200? ??? ??? + </copyright> <Functions> Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** xibor.xml 18 Jun 2006 13:42:03 -0000 1.9 --- xibor.xml 19 Jun 2006 08:10:01 -0000 1.10 *************** *** 7,10 **** --- 7,15 ---- <include>qlo/termstructures.hpp</include> </includes> + <copyright> + Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2005 Eric Ehlers + Copyright (C) 2005 Plamen Neykov + </copyright> <Functions> Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** volatilities.xml 23 May 2006 16:41:18 -0000 1.1 --- volatilities.xml 19 Jun 2006 08:10:01 -0000 1.2 *************** *** 2,5 **** --- 2,8 ---- <description>functions to construct QuantLib volatility objects</description> <displayName>Volatilities</displayName> + <copyright> + Copyright (C) 2005, 2006 Eric Ehlers + </copyright> <Functions> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** termstructures.xml 18 Jun 2006 13:42:03 -0000 1.12 --- termstructures.xml 19 Jun 2006 08:10:01 -0000 1.13 *************** *** 6,9 **** --- 6,15 ---- <include>qlo/vo_termstructures.hpp</include> </includes> + <copyright> + Copyright (C) 2005, 2006 Eric Ehlers + Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2005 Aurelien Chanudet + </copyright> <Functions> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaptionvolstructure.xml 18 Jun 2006 13:42:03 -0000 1.4 --- swaptionvolstructure.xml 19 Jun 2006 08:10:01 -0000 1.5 *************** *** 2,5 **** --- 2,9 ---- <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> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** capfloor.xml 16 Jun 2006 17:37:16 -0000 1.3 --- capfloor.xml 19 Jun 2006 08:10:00 -0000 1.4 *************** *** 2,5 **** --- 2,8 ---- <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> + <copyright> + Copyright (C) 2005 Aurelien Chanudet + </copyright> <Functions> Index: utilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/utilities.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** utilities.xml 23 May 2006 16:41:18 -0000 1.1 --- utilities.xml 19 Jun 2006 08:10:01 -0000 1.2 *************** *** 2,5 **** --- 2,9 ---- <description>diagnostic and utility functions</description> <displayName>Utilities</displayName> + <copyright> + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2004, 2005, 2006 Eric Ehlers + </copyright> <Functions> Index: randomsequencegenerator.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/randomsequencegenerator.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** randomsequencegenerator.xml 23 May 2006 16:41:18 -0000 1.1 --- randomsequencegenerator.xml 19 Jun 2006 08:10:01 -0000 1.2 *************** *** 2,5 **** --- 2,8 ---- <description>functions to generate random number sequences</description> <displayName>Random Sequence Generator</displayName> + <copyright> + Copyright (C) 2006 Aurelien Chanudet + </copyright> <Functions> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** forwardrateagreement.xml 16 Jun 2006 17:37:16 -0000 1.5 --- forwardrateagreement.xml 19 Jun 2006 08:10:01 -0000 1.6 *************** *** 2,5 **** --- 2,9 ---- <description>functions to construct QuantLib Forward Rate Agreement objects</description> <displayName>Forward Rate Agreement</displayName> + <copyright> + Copyright (C) 2006 Katiuscia Manzoni + Copyright (C) 2006 Ferdinando Ametrano + </copyright> <Functions> Index: exercise.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/exercise.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** exercise.xml 23 May 2006 16:41:18 -0000 1.1 --- exercise.xml 19 Jun 2006 08:10:00 -0000 1.2 *************** *** 2,5 **** --- 2,8 ---- <description>functions to construct QuantLib Exercise objects</description> <displayName>Exercise</displayName> + <copyright> + Copyright (C) 2006 Eric Ehlers + </copyright> <Functions> Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** mathf.xml 31 May 2006 18:45:14 -0000 1.2 --- mathf.xml 19 Jun 2006 08:10:01 -0000 1.3 *************** *** 6,9 **** --- 6,12 ---- <include>ql/Math/primenumbers.hpp</include> </includes> + <copyright> + Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano + </copyright> <Functions> Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** calendar.xml 18 Jun 2006 13:42:03 -0000 1.11 --- calendar.xml 19 Jun 2006 08:10:00 -0000 1.12 *************** *** 2,5 **** --- 2,8 ---- <description>Calendar related QuantLib functions</description> <displayName>Calendar</displayName> + <copyright> + Copyright (C) 2006 Eric Ehlers + </copyright> <Functions> Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** schedule.xml 8 Jun 2006 20:47:53 -0000 1.2 --- schedule.xml 19 Jun 2006 08:10:01 -0000 1.3 *************** *** 2,5 **** --- 2,8 ---- <description>functions to construct QuantLib schedule objects</description> <displayName>Schedules</displayName> + <copyright> + Copyright (C) 2005 Aurelien Chanudet + </copyright> <Functions> Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** instruments.xml 14 Jun 2006 18:34:31 -0000 1.6 --- instruments.xml 19 Jun 2006 08:10:01 -0000 1.7 *************** *** 2,5 **** --- 2,8 ---- <description>functions to construct QuantLib instrument objects</description> <displayName>Instruments</displayName> + <copyright> + Copyright (C) 2005 Walter Penschke + </copyright> <Functions> Index: prices.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/prices.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** prices.xml 16 Jun 2006 20:02:32 -0000 1.2 --- prices.xml 19 Jun 2006 08:10:01 -0000 1.3 *************** *** 5,8 **** --- 5,11 ---- <include>ql/Functions/prices.hpp</include> </includes> + <copyright> + Copyright (C) 2006 Katiuscia Manzoni + </copyright> <Functions> Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** options.xml 16 Jun 2006 17:37:16 -0000 1.4 --- options.xml 19 Jun 2006 08:10:01 -0000 1.5 *************** *** 2,5 **** --- 2,8 ---- <description>functions to construct QuantLib option objects</description> <displayName>Options</displayName> + <copyright> + Copyright (C) 2005, 2006 Eric Ehlers + </copyright> <Functions> Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** date.xml 5 Jun 2006 13:28:45 -0000 1.5 --- date.xml 19 Jun 2006 08:10:00 -0000 1.6 *************** *** 6,9 **** --- 6,12 ---- <include>ql/Functions/calendars.hpp</include> </includes> + <copyright> + Copyright (C) 2004 Ferdinando Ametrano + </copyright> <Functions> Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** interpolation.xml 18 Jun 2006 13:42:03 -0000 1.10 --- interpolation.xml 19 Jun 2006 08:10:01 -0000 1.11 *************** *** 7,10 **** --- 7,13 ---- <include>ql/Math/sabrinterpolation.hpp</include> </includes> + <copyright> + Copyright (C) 2006 Ferdinando Ametrano + </copyright> <Functions> Index: enumerations.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumerations.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** enumerations.xml 16 Jun 2006 20:02:31 -0000 1.5 --- enumerations.xml 19 Jun 2006 08:10:00 -0000 1.6 *************** *** 1,3 **** --- 1,9 ---- <root> + <copyright> + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2005, 2006 Eric Ehlers + Copyright (C) 2006 Katiuscia Manzoni + Copyright (C) 2006 Ferdinando Ametrano + </copyright> <Enumerations> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** processes.xml 14 Jun 2006 18:53:55 -0000 1.3 --- processes.xml 19 Jun 2006 08:10:01 -0000 1.4 *************** *** 2,5 **** --- 2,8 ---- <description>functions to construct QuantLib process objects</description> <displayName>Processes</displayName> + <copyright> + Copyright (C) 2004, 2005 Eric Ehlers + </copyright> <Functions> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** couponvectors.xml 18 Jun 2006 19:47:14 -0000 1.5 --- couponvectors.xml 19 Jun 2006 08:10:00 -0000 1.6 *************** *** 7,10 **** --- 7,14 ---- <include>qlo/termstructures.hpp</include> </includes> + <copyright> + Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2005 Aurelien Chanudet + </copyright> <Functions> *************** *** 58,66 **** <description>coupon nominals</description> </Parameter> - <Parameter name='gearings' default='0'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> - </Parameter> <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> --- 62,65 ---- *************** *** 124,125 **** --- 123,125 ---- </Functions> </Category> + |
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From: Eric E. <eri...@us...> - 2006-06-19 08:10:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15305/gensrc/stubs Modified Files: stub.copyright Log Message: file-by-file copyright in autogenerated source Index: stub.copyright =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs/stub.copyright,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** stub.copyright 6 Jun 2006 09:09:07 -0000 1.1 --- stub.copyright 19 Jun 2006 08:10:01 -0000 1.2 *************** *** 1,13 **** ! /* ! Copyright (C) 2004, 2005, 2006 Ferdinando Ametrano ! Copyright (C) 2005 Aurelien Chanudet ! Copyright (C) 2004, 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Marco Marchioro--StatPro Italia ! Copyright (C) 2005, 2006 Plamen Neykov ! Copyright (C) 2005 Walter Penschke ! Copyright (C) 2004, 2005 StatPro Italia srl ! This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ --- 1,4 ---- ! /* %(copyright)s This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ |
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From: Ferdinando A. <na...@us...> - 2006-06-18 19:47:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5289 Modified Files: todonando.txt Log Message: introduced gearing (i.e. the multiplicative coefficients of the floating rate index) in floating rate coupons, coupon vectors, bonds, etc Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** todonando.txt 18 Jun 2006 12:54:25 -0000 1.13 --- todonando.txt 18 Jun 2006 19:47:14 -0000 1.14 *************** *** 9,16 **** check double recalc for bootstrapping default parameter for handle as input parameter - roll front futures n days before il metodo addfixings per gli indici? ohsetlogfile nowiz support for static function (as holidayList) ERIC --- 9,16 ---- 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 ERIC *************** *** 20,25 **** DESIGN ! - refactor ObjectHandler ! - stubs in QuantLibObject - enforce version number check - use QL folder structure in QLA --- 20,25 ---- DESIGN ! - refactor ObjectHandler /OHXL ! - move stubs in QuantLibObject - enforce version number check - use QL folder structure in QLA *************** *** 29,35 **** QuantLib - * deprecate (int, TimeUnit) usage in favor of Period (Indexes, Calendar::advance) - static Period Period::fromFrequency(Frequency freq) - - chiarire enumeration SimpleThenCompounded (SimpleUpTo1YThenCompounded) - should InterpolatedDiscountCurve, InterpolatedZeroCurve, and InterpolatedForwardCurve inherit from an InterpolatedCurve class? --- 29,33 ---- *************** *** 44,50 **** - verify Handle<Quote> convexityAdjustment - verify RateHelpers initializeDates_ when evalDate changes(latestDate, earliestDate) PIECEWISEYIELDCURVE ! * costruttore delle curve che accetta griglia di discount e griglia di zero InterestRate - FRARateHelper deve avere dentro in FRA Instrument - turn of year --- 42,51 ---- - verify Handle<Quote> convexityAdjustment - verify RateHelpers initializeDates_ when evalDate changes(latestDate, earliestDate) + - how to have QL_ERROR_LINES and QL_ERROR_FUNCTIONS only in header files? PIECEWISEYIELDCURVE ! - costruttore delle curve che accetta griglia di discount e griglia di zero InterestRate: ! because of existing signatures it is possible only when ! InterpolatedYieldTermStructure<Discount,LogLinear> will be available - FRARateHelper deve avere dentro in FRA Instrument - turn of year *************** *** 69,73 **** SWAP - * extend floatingRateCouponVector to handle alfa and beta - implement fair rate for floating/fixed rate vector - trigger swap check calculation --- 70,73 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-18 19:47:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5289/qlo Modified Files: bonds.cpp bonds.hpp couponvectors.cpp couponvectors.hpp Log Message: introduced gearing (i.e. the multiplicative coefficients of the floating rate index) in floating rate coupons, coupon vectors, bonds, etc Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** couponvectors.hpp 16 Jun 2006 17:37:16 -0000 1.6 --- couponvectors.hpp 18 Jun 2006 19:47:14 -0000 1.7 *************** *** 55,63 **** public: FixedRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, ! const QuantLib::BusinessDayConvention &convention, ! const std::vector<double> &nominals, ! const std::vector<double> &couponRates, ! const QuantLib::DayCounter &dayCountID); virtual std::vector<std::vector<double> > getLeg(); --- 55,63 ---- public: FixedRateCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! const QuantLib::BusinessDayConvention& convention, ! const std::vector<double>& nominals, ! const std::vector<double>& couponRates, ! const QuantLib::DayCounter& dayCountID); virtual std::vector<std::vector<double> > getLeg(); *************** *** 67,74 **** public: FloatingRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, ! const std::vector<double> &nominals, ! const boost::shared_ptr < QuantLib::Xibor > &index, ! const std::vector<QuantLib::Spread> &spreads); virtual std::vector<std::vector<double> > getLeg(); --- 67,75 ---- public: FloatingRateCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! const std::vector<double>& nominals, ! const std::vector<QuantLib::Real>& gearings, ! const boost::shared_ptr<QuantLib::Xibor>& index, ! const std::vector<QuantLib::Spread>& spreads); virtual std::vector<std::vector<double> > getLeg(); Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** couponvectors.cpp 16 Jun 2006 17:37:16 -0000 1.4 --- couponvectors.cpp 18 Jun 2006 19:47:14 -0000 1.5 *************** *** 103,110 **** FloatingRateCouponVector::FloatingRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, ! const std::vector<double> &nominals, ! const boost::shared_ptr < QuantLib::Xibor > &index, ! const std::vector<double> &spreads) { cashFlowVector_ = --- 103,111 ---- FloatingRateCouponVector::FloatingRateCouponVector( ! const boost::shared_ptr<QuantLib::Schedule>& schedule, ! const std::vector<double>& nominals, ! const std::vector<QuantLib::Real>& gearings, ! const boost::shared_ptr<QuantLib::Xibor>& index, ! const std::vector<QuantLib::Spread>& spreads) { cashFlowVector_ = *************** *** 112,118 **** index->businessDayConvention(), nominals, - index, index->settlementDays(), ! spreads, index->dayCounter()); } --- 113,119 ---- index->businessDayConvention(), nominals, index->settlementDays(), ! index, ! gearings, spreads, index->dayCounter()); } *************** *** 140,142 **** } - --- 141,142 ---- Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** bonds.cpp 16 Jun 2006 17:37:16 -0000 1.4 --- bonds.cpp 18 Jun 2006 19:47:14 -0000 1.5 *************** *** 107,110 **** --- 107,111 ---- const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Integer fixingDays, + const std::vector<QuantLib::Spread>& gearings, const std::vector<QuantLib::Spread>& spreads, QuantLib::Frequency couponFrequency, *************** *** 125,128 **** --- 126,130 ---- index, fixingDays, + gearings, spreads, couponFrequency, Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** bonds.hpp 16 Jun 2006 17:37:16 -0000 1.5 --- bonds.hpp 18 Jun 2006 19:47:14 -0000 1.6 *************** *** 75,78 **** --- 75,79 ---- const boost::shared_ptr<QuantLib::Xibor>& index, QuantLib::Integer fixingDays, + const std::vector<QuantLib::Real>& gearings, const std::vector<QuantLib::Spread>& spreads, QuantLib::Frequency couponFrequency, |
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From: Ferdinando A. <na...@us...> - 2006-06-18 19:47:17
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5289/gensrc/metadata Modified Files: bonds.xml couponvectors.xml Log Message: introduced gearing (i.e. the multiplicative coefficients of the floating rate index) in floating rate coupons, coupon vectors, bonds, etc Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** couponvectors.xml 16 Jun 2006 17:37:16 -0000 1.4 --- couponvectors.xml 18 Jun 2006 19:47:14 -0000 1.5 *************** *** 58,61 **** --- 58,66 ---- <description>coupon nominals</description> </Parameter> + <Parameter name='gearings' default='0'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> + </Parameter> <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> *************** *** 119,121 **** </Functions> </Category> - --- 124,125 ---- Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** bonds.xml 18 Jun 2006 13:42:03 -0000 1.6 --- bonds.xml 18 Jun 2006 19:47:14 -0000 1.7 *************** *** 388,391 **** --- 388,396 ---- <description>fixing days (e.g. 2)</description> </Parameter> + <Parameter name='gearings' default='0'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>floating rate gearings (i.e. the multiplicative coefficients of the floating rate index)</description> + </Parameter> <Parameter name='spreads' default='0'> <type>double</type> |
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From: Ferdinando A. <na...@us...> - 2006-06-18 19:06:34
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20078 Modified Files: ratehelpers.xml Log Message: added Futures front contract rolling days Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** ratehelpers.xml 18 Jun 2006 18:54:07 -0000 1.4 --- ratehelpers.xml 18 Jun 2006 19:06:28 -0000 1.5 *************** *** 286,290 **** <description>max number of futures to be included</description> </Parameter> ! <Parameter name='rollFrontContractDays' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> --- 286,290 ---- <description>max number of futures to be included</description> </Parameter> ! <Parameter name='frontContractRollingDays' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-06-18 18:54:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14963 Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: added Futures front contract rolling days Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** ratehelpers.hpp 18 Jun 2006 12:55:34 -0000 1.2 --- ratehelpers.hpp 18 Jun 2006 18:54:32 -0000 1.3 *************** *** 84,88 **** const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long nFutures); } --- 84,89 ---- const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long nFutures, ! const long frontContractRollingDays); } Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** ratehelpers.cpp 18 Jun 2006 12:55:34 -0000 1.2 --- ratehelpers.cpp 18 Jun 2006 18:54:32 -0000 1.3 *************** *** 165,171 **** const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long nFutures) { QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); QuantLib::Size nInstruments = instrumentHandles.size(); --- 165,175 ---- const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long nFutures, ! const long frontContractRollingDays) { QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); + QL_REQUIRE(frontContractRollingDays>=0, + "negative (" << frontContractRollingDays << + ")frontContractRollingDays"); QuantLib::Size nInstruments = instrumentHandles.size(); *************** *** 193,200 **** earliestDate = temp->earliestDate(); if (includeFlag[i]) { ! if (!boost::dynamic_pointer_cast<FuturesRateHelper>(instruments[i]) && (earliestDate >= evalDate)) { rhs.push_back(detail::RateHelperItem(temp->latestDate(), priority[i], instrumentHandles[i])); ! } else if (futuresCounter<nFutures && (earliestDate-2 >= evalDate)) { futuresCounter++; rhs.push_back(detail::RateHelperItem(temp->latestDate(), --- 197,206 ---- earliestDate = temp->earliestDate(); if (includeFlag[i]) { ! if (!boost::dynamic_pointer_cast<FuturesRateHelper>(instruments[i]) && ! (earliestDate >= evalDate)) { rhs.push_back(detail::RateHelperItem(temp->latestDate(), priority[i], instrumentHandles[i])); ! } else if (futuresCounter<nFutures && ! (earliestDate-2-frontContractRollingDays >= evalDate)) { futuresCounter++; rhs.push_back(detail::RateHelperItem(temp->latestDate(), |
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From: Ferdinando A. <na...@us...> - 2006-06-18 18:54:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14903 Modified Files: ratehelpers.xml Log Message: added Futures front contract rolling days Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** ratehelpers.xml 18 Jun 2006 12:55:34 -0000 1.3 --- ratehelpers.xml 18 Jun 2006 18:54:07 -0000 1.4 *************** *** 286,289 **** --- 286,294 ---- <description>max number of futures to be included</description> </Parameter> + <Parameter name='rollFrontContractDays' default='0'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>discard the front contract the given number of days in advance of its expiry (e.g zero implies the usage of the front contract during its expiry day)</description> + </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> |
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From: Eric E. <eri...@us...> - 2006-06-18 13:42:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1756 Modified Files: todo.csv Log Message: cleaner processing for - permanent objects - autogeneration of source for loop functions Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** todo.csv 16 Jun 2006 19:29:31 -0000 1.16 --- todo.csv 18 Jun 2006 13:42:03 -0000 1.17 *************** *** 2,16 **** ,,,,,, "QLA","Design","expose INDEX public interface instead of XIBOR QL changes required",,1,, ! "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","canceled",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?" ,,,,,, - "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE",,,,"also revise GC/deletion for permanent/nonpermanent objects" "QLA","Design","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class",,0,, "QLA","Design","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template",,0,, "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",1,,"use id instead of instance name ???" ! "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,"05/31/2006", ,,,,,, ,,"performance profile of workbook YieldCurveMonitor.xls",,,, --- 2,16 ---- ,,,,,, "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?" ,,,,,, "QLA","Design","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class",,0,, "QLA","Design","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template",,0,, "QLA","Design","use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",1,,"use id instead of instance name ???" ! "OH","Design","revise processing for permanent objects: delete old object unless user specifies permanent=TRUE","done",1,18/06/2006,"also revise GC/deletion for permanent/nonpermanent objects" ! "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required","done",0,15/06/2006,"need to add support for creation of empty QuantLib::Handle" ! "OH","Design","if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?)","done",1,31/05/2006, ,,,,,, ,,"performance profile of workbook YieldCurveMonitor.xls",,,, *************** *** 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",,,, ,,"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,, --- 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,, *************** *** 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,"14/6/2006","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,, --- 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,, *************** *** 61,127 **** "QLA","INDEX","get/set fixing for given date",,2,,"?" ,,,,,, ! "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,"01/05/2006", ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",3,"26/04/2006", ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",3,"27/04/2006", ! "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,"07/05/2006", ! "OH","Design","support for retrieval of undecorated handles","done",1,"30/04/2006","fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",3,"26/04/2006", ! "OH","Design","class FunctionCall to encapsulate function state","done",2,"26/04/2006", ! "OH","Design","include cell address in error message?","done",3,"01/05/2006", "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",2,"26/04/2006","renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",1,"18/5/2006", ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,"18/5/2006", ! "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",,"18/5/2006","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,"18/5/2006", ! "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,"19/5/2006", "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",,"23/5/2006", ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",3,"23/5/2006", ! "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", --- 61,127 ---- "QLA","INDEX","get/set fixing for given date",,2,,"?" ,,,,,, ! "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,01/05/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",3,26/04/2006, ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",3,27/04/2006, ! "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,07/05/2006, ! "OH","Design","support for retrieval of undecorated handles","done",1,30/04/2006,"fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",3,26/04/2006, ! "OH","Design","class FunctionCall to encapsulate function state","done",2,26/04/2006, ! "OH","Design","include cell address in error message?","done",3,01/05/2006, "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",2,26/04/2006,"renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",1,18/05/2006, ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,18/05/2006, ! "OH","Functions","remove EO macro / function","done",3,21/04/2006, "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",1,,"looks OK now?" "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,"it works OK" ! "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,01/05/2006,"it doesn't" ! "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",3,05/08/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",1,28/04/2006,"always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,23/05/2006, ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",1,30/04/2006,"this change will probably be reversed" "QLA","Design","export IMM dates e.g. H7 -> date","done",,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,28/04/2006, ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",2,28/04/2006,"also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,27/04/2006, ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,21/04/2006, ! "QLA","Docs","installation - refer to Release build not Debug","done",3,21/04/2006, "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",2,21/04/2006,"not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,18/05/2006,"retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,20/04/2006,"not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,20/04/2006,"not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",2,26/04/2006, ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",1,27/04/2006, "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,, ! "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,08/05/2006, ! "QLA","Functions","qlGetDf() to return vector","done",2,21/04/2006,"renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",1,26/04/2006, ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",1,18/05/2006, ! "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",2,08/05/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",3,28/04/2006,"thanks to Joe Byers" ! "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,03/05/2006, "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,19/04/2006, ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,19/04/2006, ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",3,19/05/2006, "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,26/04/2006,"the tag is in use" ! "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,06/05/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,26/04/2006, ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",3,30/04/2006, ! "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,06/05/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,26/04/2006, ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,28/04/2006, ! "QLA","gensrc","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,23/05/2006, ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",3,23/05/2006, ! "QLA","VBA framework","load XLLs","done",1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,18/04/2006, ! "QLA","VBA framework","skeleton structure","done",,18/04/2006, ! "QLA","VBA framework","create trade/market workbooks from templates","done",1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,18/04/2006, ! "QLA","Workstation Document","explanation of runtime libraries","done",2,21/04/2006, ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",2,21/04/2006, ! "QLA","Workstation Document","document use of Addin Manager","done",2,28/04/2006, ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,28/04/2006, ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,28/04/2006, |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1756/gensrc/metadata Modified Files: bonds.xml calendar.xml interpolation.xml swaptionvolstructure.xml termstructures.xml xibor.xml Log Message: cleaner processing for - permanent objects - autogeneration of source for loop functions Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** bonds.xml 16 Jun 2006 17:37:16 -0000 1.5 --- bonds.xml 18 Jun 2006 13:42:03 -0000 1.6 *************** *** 119,123 **** <Parameters> <Parameter name='yield'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>bond yield(s)</description> --- 119,123 ---- <Parameters> <Parameter name='yield'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>bond yield(s)</description> *************** *** 149,153 **** <Parameters> <Parameter name='yield'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>bond yield(s)</description> --- 149,153 ---- <Parameters> <Parameter name='yield'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>bond yield(s)</description> *************** *** 179,183 **** <Parameters> <Parameter name='cleanPrice'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>Clean price(s)</description> --- 179,183 ---- <Parameters> <Parameter name='cleanPrice'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>Clean price(s)</description> Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** interpolation.xml 16 Jun 2006 19:02:17 -0000 1.9 --- interpolation.xml 18 Jun 2006 13:42:03 -0000 1.10 *************** *** 36,40 **** <Parameters> <Parameter name='xValues'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>x values</description> --- 36,40 ---- <Parameters> <Parameter name='xValues'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>x values</description> *************** *** 61,65 **** <Parameters> <Parameter name='xValues'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>x values</description> --- 61,65 ---- <Parameters> <Parameter name='xValues'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>x values</description> *************** *** 86,90 **** <Parameters> <Parameter name='xValues'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>x values</description> --- 86,90 ---- <Parameters> <Parameter name='xValues'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>x values</description> *************** *** 111,115 **** <Parameters> <Parameter name='xValues'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>x values</description> --- 111,115 ---- <Parameters> <Parameter name='xValues'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>x values</description> *************** *** 164,168 **** <Parameters> <Parameter name='xValues'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>x values</description> --- 164,168 ---- <Parameters> <Parameter name='xValues'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>x values</description> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** termstructures.xml 16 Jun 2006 17:37:16 -0000 1.11 --- termstructures.xml 18 Jun 2006 13:42:03 -0000 1.12 *************** *** 142,146 **** <Parameters> <Parameter name='DfDates' libraryType='QuantLib::Date'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>vector of dates</description> --- 142,146 ---- <Parameters> <Parameter name='DfDates' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>vector</tensorRank> <description>vector of dates</description> *************** *** 178,182 **** </Parameter> <Parameter name='d2' libraryType='QuantLib::Date'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>date 2</description> --- 178,182 ---- </Parameter> <Parameter name='d2' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>vector</tensorRank> <description>date 2</description> *************** *** 224,228 **** <Parameters> <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>date</description> --- 224,228 ---- <Parameters> <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>vector</tensorRank> <description>date</description> *************** *** 270,274 **** <Parameters> <Parameter name='tenor'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>tenor</description> --- 270,274 ---- <Parameters> <Parameter name='tenor'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>tenor</description> Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** xibor.xml 16 Jun 2006 17:37:16 -0000 1.8 --- xibor.xml 18 Jun 2006 13:42:03 -0000 1.9 *************** *** 30,34 **** <Parameters> <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>fixing date(s)</description> --- 30,34 ---- <Parameters> <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>vector</tensorRank> <description>fixing date(s)</description> Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** calendar.xml 18 Jun 2006 12:55:07 -0000 1.10 --- calendar.xml 18 Jun 2006 13:42:03 -0000 1.11 *************** *** 211,215 **** </Parameter> <Parameter name='period' libraryType='QuantLib::Period'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>period(s) to advance (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> --- 211,215 ---- </Parameter> <Parameter name='period' libraryType='QuantLib::Period'> ! <type>string</type> <tensorRank>vector</tensorRank> <description>period(s) to advance (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** swaptionvolstructure.xml 13 Jun 2006 10:39:38 -0000 1.3 --- swaptionvolstructure.xml 18 Jun 2006 13:42:03 -0000 1.4 *************** *** 22,26 **** </Parameter> <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>any</type> <tensorRank>vector</tensorRank> <description>swaption strike vector</description> --- 22,26 ---- </Parameter> <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> <tensorRank>vector</tensorRank> <description>swaption strike vector</description> |
|
From: Ferdinando A. <na...@us...> - 2006-06-18 12:55:37
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12234/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: Futures convexity adjustment added Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** ratehelpers.hpp 15 Jun 2006 20:23:55 -0000 1.1 --- ratehelpers.hpp 18 Jun 2006 12:55:34 -0000 1.2 *************** *** 32,38 **** public: double setQuote(double quote); ! QuantLib::Handle<QuantLib::Quote> quoteHandle() const { ! return quoteHandle_; ! } protected: boost::shared_ptr<QuantLib::SimpleQuote> quote_; --- 32,38 ---- public: double setQuote(double quote); ! //QuantLib::Handle<QuantLib::Quote> quoteHandle() const { ! // return quoteHandle_; ! //} protected: boost::shared_ptr<QuantLib::SimpleQuote> quote_; *************** *** 43,63 **** public: DepositRateHelper( ! const double "e, const QuantLib::Period& p, ! const long &fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention &convention, ! const QuantLib::DayCounter &dayCounter); }; class FuturesRateHelper : public RateHelper { public: FuturesRateHelper( ! const double &price, ! const std::string &immDateID, ! const QuantLib::Integer &months, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention &bDayConvention, ! const QuantLib::DayCounter &dayCounter); }; --- 43,68 ---- public: DepositRateHelper( ! const double quote, const QuantLib::Period& p, ! const long fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention& convention, ! const QuantLib::DayCounter& dayCounter); }; class FuturesRateHelper : public RateHelper { public: + QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj); FuturesRateHelper( ! const double price, ! const std::string& immDateID, ! const QuantLib::Integer months, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention& bDayConvention, ! const QuantLib::DayCounter& dayCounter, ! const QuantLib::Rate convAdj); ! protected: ! boost::shared_ptr<QuantLib::SimpleQuote> convAdj_; ! QuantLib::Handle<QuantLib::Quote> convAdjHandle_; }; *************** *** 65,75 **** public: SwapRateHelper( ! const double "e, const QuantLib::Period& p, ! const long &fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::Frequency &fixedFrequency, ! const QuantLib::BusinessDayConvention &fixedConvention, ! const QuantLib::DayCounter &fixedDayCounter, const boost::shared_ptr<QuantLib::Xibor>& index); }; --- 70,80 ---- public: SwapRateHelper( ! const double quote, const QuantLib::Period& p, ! const long fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::Frequency& fixedFrequency, ! const QuantLib::BusinessDayConvention& fixedConvention, ! const QuantLib::DayCounter& fixedDayCounter, const boost::shared_ptr<QuantLib::Xibor>& index); }; *************** *** 79,83 **** const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long& nFutures); } --- 84,88 ---- const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long nFutures); } Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** ratehelpers.cpp 15 Jun 2006 20:23:55 -0000 1.1 --- ratehelpers.cpp 18 Jun 2006 12:55:34 -0000 1.2 *************** *** 34,38 **** namespace QuantLibAddin { ! double RateHelper::setQuote(double quote) { double diff = quote - quote_->value(); quote_->setValue(quote); --- 34,39 ---- namespace QuantLibAddin { ! double RateHelper::setQuote(double quote) ! { double diff = quote - quote_->value(); quote_->setValue(quote); *************** *** 41,51 **** DepositRateHelper::DepositRateHelper( ! const double "e, const QuantLib::Period& p, ! const long &fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention &convention, ! const QuantLib::DayCounter &dayCounter) { ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( new QuantLib::SimpleQuote(quote)); --- 42,52 ---- DepositRateHelper::DepositRateHelper( ! const double quote, const QuantLib::Period& p, ! const long fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention& convention, ! const QuantLib::DayCounter& dayCounter) ! { quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( new QuantLib::SimpleQuote(quote)); *************** *** 61,75 **** } FuturesRateHelper::FuturesRateHelper( ! const double &price, ! const std::string &immDateID, ! const QuantLib::Integer &months, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention &bDayConvention, ! const QuantLib::DayCounter &dayCounter) { ! ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(price)); quoteHandle_.linkTo(quote_); QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); --- 62,89 ---- } + QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj) + { + QuantLib::Spread diff = convAdj - convAdj_->value(); + convAdj_->setValue(convAdj); + return diff; + } + FuturesRateHelper::FuturesRateHelper( ! const double price, ! const std::string& immDateID, ! const QuantLib::Integer months, const QuantLib::Calendar& calendar, ! const QuantLib::BusinessDayConvention& bDayConvention, ! const QuantLib::DayCounter& dayCounter, ! const QuantLib::Rate convAdj) ! { ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( ! new QuantLib::SimpleQuote(price)); quoteHandle_.linkTo(quote_); + convAdj_ = boost::shared_ptr<QuantLib::SimpleQuote>( + new QuantLib::SimpleQuote(convAdj)); + convAdjHandle_.linkTo(convAdj_); + QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); *************** *** 81,97 **** calendar, bDayConvention, ! dayCounter)); } SwapRateHelper::SwapRateHelper( ! const double "e, const QuantLib::Period& p, ! const long &fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::Frequency &fixedFrequency, ! const QuantLib::BusinessDayConvention &fixedConvention, ! const QuantLib::DayCounter &fixedDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index) { ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(quote)); quoteHandle_.linkTo(quote_); --- 95,112 ---- calendar, bDayConvention, ! dayCounter, ! convAdjHandle_)); } SwapRateHelper::SwapRateHelper( ! const double quote, const QuantLib::Period& p, ! const long fixingDays, const QuantLib::Calendar& calendar, ! const QuantLib::Frequency& fixedFrequency, ! const QuantLib::BusinessDayConvention& fixedConvention, ! const QuantLib::DayCounter& fixedDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index) ! { quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(quote)); quoteHandle_.linkTo(quote_); *************** *** 150,155 **** const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long& nFutures) { ! QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); --- 165,170 ---- const std::vector<bool>& includeFlag, const std::vector<long>& priority, ! const long nFutures) ! { QL_REQUIRE(!instrumentHandles.empty(), "no instrument given"); |
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From: Ferdinando A. <na...@us...> - 2006-06-18 12:55:37
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12234/gensrc/metadata Modified Files: ratehelpers.xml Log Message: Futures convexity adjustment added Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** ratehelpers.xml 17 Jun 2006 23:48:02 -0000 1.2 --- ratehelpers.xml 18 Jun 2006 12:55:34 -0000 1.3 *************** *** 49,52 **** --- 49,72 ---- </Member> + <Member name='qlReferenceQuote' libraryClass='RateHelper'> + <description>retrieve a RateHelper's reference quote</description> + <libraryFunction>referenceQuote</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='trigger' ignore='true'> + <type>any</type> + <tensorRank>scalar</tensorRank> + <description>dependency tracking trigger</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>reference quote</description> + </ReturnValue> + </Member> + <Member name='qlSetQuote' objectClass='RateHelper'> <description>update quote of existing Rate Helper object</description> *************** *** 65,69 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>diff new quote - old quote</description> </ReturnValue> </Member> --- 85,89 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the difference vetween the new quote and the old quote</description> </ReturnValue> </Member> *************** *** 108,150 **** </Constructor> - <Constructor name='qlFuturesRateHelper'> - <libraryFunction>FuturesRateHelper</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='price'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>future price</description> - </Parameter> - <Parameter name='IMM'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>IMM code</description> - </Parameter> - <Parameter name='months'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>future contract lenght in months</description> - </Parameter> - <Parameter name='calendar' enumeration ='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> - <Parameter name='bDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Business Day Convention (e.g. ModifiedFollowing)</description> - </Parameter> - <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual365Fixed)</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <Constructor name='qlSwapRateHelper'> <libraryFunction>SwapRateHelper</libraryFunction> --- 128,131 ---- *************** *** 196,202 **** </Constructor> ! <Member name='qlReferenceQuote' libraryClass='RateHelper'> ! <description>retrieve a RateHelper's reference quote</description> ! <libraryFunction>referenceQuote</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 177,183 ---- </Constructor> ! <Member name='qlConvexityAdjustment' libraryClass='FuturesRateHelper'> ! <description>get convexity adjustment of existing FuturesRateHelper object</description> ! <libraryFunction>convexityAdjustment</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 212,219 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>reference quote</description> </ReturnValue> </Member> <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> --- 193,264 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the convexity adjustment of the FuturesRateHelper object</description> </ReturnValue> </Member> + <Member name='qlSetConvexityAdjustment' objectClass='FuturesRateHelper'> + <description>update convexity adjustment of existing FuturesRateHelper object</description> + <libraryFunction>setConvexityAdjustment</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='convAdj'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the new convexity adjustment</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the difference vetween the new convexity adjustment and the old convexity adjustment</description> + </ReturnValue> + </Member> + + <Constructor name='qlFuturesRateHelper'> + <libraryFunction>FuturesRateHelper</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='price'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>future price</description> + </Parameter> + <Parameter name='IMM'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>IMM code</description> + </Parameter> + <Parameter name='months'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>future contract lenght in months</description> + </Parameter> + <Parameter name='calendar' enumeration ='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='bDayConvention' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Business Day Convention (e.g. ModifiedFollowing)</description> + </Parameter> + <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter (e.g. Actual365Fixed)</description> + </Parameter> + <Parameter name='convexityAdj' default='0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>convexity adjustment (i.e. Forward rate = Futures rate - convexity adjustment)</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> |
