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From: Ferdinando A. <na...@us...> - 2006-06-15 19:17:38
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20689/qlo Modified Files: xibor.cpp xibor.hpp Log Message: improved header inclusion Index: xibor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** xibor.hpp 15 Jun 2006 18:07:56 -0000 1.7 --- xibor.hpp 15 Jun 2006 19:17:32 -0000 1.8 *************** *** 22,27 **** #include <oh/objhandler.hpp> ! #include <ql/Indexes/xibor.hpp> ! #include <qlo/termstructures.hpp> namespace QuantLibAddin { --- 22,26 ---- #include <oh/objhandler.hpp> ! #include <ql/index.hpp> namespace QuantLibAddin { Index: xibor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** xibor.cpp 15 Jun 2006 18:07:56 -0000 1.7 --- xibor.cpp 15 Jun 2006 19:17:32 -0000 1.8 *************** *** 26,29 **** --- 26,30 ---- #include <qlo/typefactory.hpp> #include <ql/Indexes/indexmanager.hpp> + #include <ql/Indexes/xibor.hpp> namespace QuantLibAddin { |
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From: Ferdinando A. <na...@us...> - 2006-06-15 19:16:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20230/gensrc/metadata Modified Files: couponvectors.xml Log Message: improved header inclusion Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** couponvectors.xml 24 May 2006 14:59:43 -0000 1.2 --- couponvectors.xml 15 Jun 2006 19:16:30 -0000 1.3 *************** *** 1,116 **** <Category name='couponvectors'> ! <description>functions to construct QuantLib coupon vector objects</description> ! <displayName>Coupon Vectors</displayName> ! <Functions> ! <Constructor name='qlFixedRateCouponVector'> ! <libraryFunction>FixedRateCouponVector</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='conventionID' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='couponRates'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon fixed rates</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlFloatingRateCouponVector'> ! <libraryFunction>FloatingRateCouponVector</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying index</description> ! </Parameter> ! <Parameter name='spreads' default='0'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floating rate spreads</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlGetLeg' objectClass='CouponVector'> ! <description>return coupon details</description> ! <libraryFunction>getLeg</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>matrix</tensorRank> ! <description>coupon details</description> ! </ReturnValue> ! </Member> ! <Member name='qlGetBPS' objectClass='CouponVector'> ! <description>basis point sensitivity</description> ! <libraryFunction>getBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>BPS</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> --- 1,121 ---- <Category name='couponvectors'> ! <description>functions to construct QuantLib coupon vector objects</description> ! <displayName>Coupon Vectors</displayName> ! <includes> ! <include>qlo/couponvectors.hpp</include> ! <include>qlo/vo_couponvectors.hpp</include> ! <include>qlo/termstructures.hpp</include> ! </includes> ! <Functions> ! <Constructor name='qlFixedRateCouponVector'> ! <libraryFunction>FixedRateCouponVector</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='conventionID' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='couponRates'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon fixed rates</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlFloatingRateCouponVector'> ! <libraryFunction>FloatingRateCouponVector</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying index</description> ! </Parameter> ! <Parameter name='spreads' default='0'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floating rate spreads</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlGetLeg' objectClass='CouponVector'> ! <description>return coupon details</description> ! <libraryFunction>getLeg</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>matrix</tensorRank> ! <description>coupon details</description> ! </ReturnValue> ! </Member> ! <Member name='qlGetBPS' objectClass='CouponVector'> ! <description>basis point sensitivity</description> ! <libraryFunction>getBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>BPS</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-15 19:16:34
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20230/qlo Modified Files: bonds.hpp Log Message: improved header inclusion Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** bonds.hpp 14 Jun 2006 20:33:10 -0000 1.3 --- bonds.hpp 15 Jun 2006 19:16:30 -0000 1.4 *************** *** 24,27 **** --- 24,28 ---- #include <qlo/baseinstruments.hpp> #include <qlo/xibor.hpp> + #include <ql/Indexes/xibor.hpp> namespace QuantLibAddin { |
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From: Eric E. <eri...@us...> - 2006-06-15 19:03:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14826/qlo Added Files: handle.hpp Log Message: expose QuantLib::Handle to Excel --- NEW FILE: handle.hpp --- /* Copyright (C) 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_handle_hpp #define qla_handle_hpp #include <oh/object.hpp> #include <ql/handle.hpp> namespace QuantLibAddin { template <class T> class Handle : public ObjHandler::Object { public: Handle(const boost::shared_ptr<T> &observable) { handle_.linkTo(observable); } void linkTo(const boost::shared_ptr<T> &observable) { handle_.linkTo(observable); } QuantLib::Handle<T> getHandle() { return handle_; } private: QuantLib::Handle<T> handle_; }; } #endif |
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From: Eric E. <eri...@us...> - 2006-06-15 19:01:43
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13922 Modified Files: QuantLibObjects.vcproj QuantLibObjects_vc8.vcproj Log Message: expose QuantLib::Handle to Excel Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** QuantLibObjects_vc8.vcproj 14 Jun 2006 18:34:31 -0000 1.13 --- QuantLibObjects_vc8.vcproj 15 Jun 2006 19:01:39 -0000 1.14 *************** *** 588,591 **** --- 588,595 ---- </File> <File + RelativePath="qlo\handle.hpp" + > + </File> + <File RelativePath="qlo\instruments.hpp" > Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** QuantLibObjects.vcproj 12 Jun 2006 14:59:35 -0000 1.7 --- QuantLibObjects.vcproj 15 Jun 2006 19:01:39 -0000 1.8 *************** *** 14,19 **** <Configuration Name="Release CRTDLL|Win32" ! OutputDirectory=".\build\vc71\$(ConfigurationName)" ! IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" --- 14,19 ---- <Configuration Name="Release CRTDLL|Win32" ! OutputDirectory="build\vc71\$(ConfigurationName)" ! IntermediateDirectory="build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" *************** *** 31,38 **** RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile=".\build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation=".\build\vc71\$(ConfigurationName)/" ! ObjectFile=".\build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName=".\build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" --- 31,38 ---- RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile="build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation="build\vc71\$(ConfigurationName)/" ! ObjectFile="build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName="build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" *************** *** 67,72 **** <Configuration Name="Release|Win32" ! OutputDirectory=".\build\vc71\$(ConfigurationName)" ! IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" --- 67,72 ---- <Configuration Name="Release|Win32" ! OutputDirectory="build\vc71\$(ConfigurationName)" ! IntermediateDirectory="build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" *************** *** 84,91 **** RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile=".\build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation=".\build\vc71\$(ConfigurationName)/" ! ObjectFile=".\build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName=".\build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" --- 84,91 ---- RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile="build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation="build\vc71\$(ConfigurationName)/" ! ObjectFile="build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName="build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" *************** *** 120,125 **** <Configuration Name="Debug|Win32" ! OutputDirectory=".\build\vc71\$(ConfigurationName)" ! IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" --- 120,125 ---- <Configuration Name="Debug|Win32" ! OutputDirectory="build\vc71\$(ConfigurationName)" ! IntermediateDirectory="build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" *************** *** 135,142 **** RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile=".\build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation=".\build\vc71\$(ConfigurationName)/" ! ObjectFile=".\build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName=".\build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" --- 135,142 ---- RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile="build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation="build\vc71\$(ConfigurationName)/" ! ObjectFile="build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName="build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" *************** *** 172,177 **** <Configuration Name="Release SingleThread|Win32" ! OutputDirectory=".\build\vc71\$(ConfigurationName)" ! IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" --- 172,177 ---- <Configuration Name="Release SingleThread|Win32" ! OutputDirectory="build\vc71\$(ConfigurationName)" ! IntermediateDirectory="build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" *************** *** 189,196 **** RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile=".\build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation=".\build\vc71\$(ConfigurationName)/" ! ObjectFile=".\build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName=".\build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" --- 189,196 ---- RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile="build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation="build\vc71\$(ConfigurationName)/" ! ObjectFile="build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName="build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" *************** *** 225,230 **** <Configuration Name="Debug SingleThread|Win32" ! OutputDirectory=".\build\vc71\$(ConfigurationName)" ! IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" --- 225,230 ---- <Configuration Name="Debug SingleThread|Win32" ! OutputDirectory="build\vc71\$(ConfigurationName)" ! IntermediateDirectory="build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" *************** *** 240,247 **** RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile=".\build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation=".\build\vc71\$(ConfigurationName)/" ! ObjectFile=".\build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName=".\build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" --- 240,247 ---- RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile="build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation="build\vc71\$(ConfigurationName)/" ! ObjectFile="build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName="build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" *************** *** 277,282 **** <Configuration Name="Debug CRTDLL|Win32" ! OutputDirectory=".\build\vc71\$(ConfigurationName)" ! IntermediateDirectory=".\build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" --- 277,282 ---- <Configuration Name="Debug CRTDLL|Win32" ! OutputDirectory="build\vc71\$(ConfigurationName)" ! IntermediateDirectory="build\vc71\$(ConfigurationName)" ConfigurationType="4" UseOfMFC="0" *************** *** 292,299 **** RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile=".\build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation=".\build\vc71\$(ConfigurationName)/" ! ObjectFile=".\build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName=".\build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" --- 292,299 ---- RuntimeTypeInfo="TRUE" UsePrecompiledHeader="2" ! PrecompiledHeaderFile="build\vc71\$(ConfigurationName)/QuantLibAddin.pch" ! AssemblerListingLocation="build\vc71\$(ConfigurationName)/" ! ObjectFile="build\vc71\$(ConfigurationName)/" ! ProgramDataBaseFileName="build\vc71\$(ConfigurationName)/" WarningLevel="3" SuppressStartupBanner="TRUE" *************** *** 353,357 **** </File> <File ! RelativePath=".\qlo\conversions.cpp"> </File> <File --- 353,357 ---- </File> <File ! RelativePath="qlo\conversions.cpp"> </File> <File *************** *** 362,366 **** </File> <File ! RelativePath=".\qlo\enumregistry.cpp"> </File> <File --- 362,366 ---- </File> <File ! RelativePath="qlo\enumregistry.cpp"> </File> <File *************** *** 374,378 **** </File> <File ! RelativePath=".\qlo\forwardrateagreement.cpp"> </File> <File --- 374,378 ---- </File> <File ! RelativePath="qlo\forwardrateagreement.cpp"> </File> <File *************** *** 416,471 **** </File> <File ! RelativePath=".\qlo\vanillaswap.cpp"> </File> <File ! RelativePath=".\qlo\vo_calendar.cpp"> </File> <File ! RelativePath=".\qlo\vo_capfloor.cpp"> </File> <File ! RelativePath=".\qlo\vo_couponvectors.cpp"> </File> <File ! RelativePath=".\qlo\vo_exercise.cpp"> </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.cpp"> </File> <File ! RelativePath=".\qlo\vo_instruments.cpp"> </File> <File ! RelativePath=".\qlo\vo_interpolation.cpp"> </File> <File ! RelativePath=".\qlo\vo_options.cpp"> </File> <File ! RelativePath=".\qlo\vo_processes.cpp"> </File> <File ! RelativePath=".\qlo\vo_randomsequencegenerator.cpp"> </File> <File ! RelativePath=".\qlo\vo_schedule.cpp"> </File> <File ! RelativePath=".\qlo\vo_shortratemodels.cpp"> </File> <File ! RelativePath=".\qlo\vo_swap.cpp"> </File> <File ! RelativePath=".\qlo\vo_termstructures.cpp"> </File> <File ! RelativePath=".\qlo\vo_vanillaswap.cpp"> </File> <File ! RelativePath=".\qlo\vo_volatilities.cpp"> </File> <File ! RelativePath=".\qlo\vo_xibor.cpp"> </File> <File --- 416,471 ---- </File> <File ! RelativePath="qlo\vanillaswap.cpp"> </File> <File ! RelativePath="qlo\vo_calendar.cpp"> </File> <File ! RelativePath="qlo\vo_capfloor.cpp"> </File> <File ! RelativePath="qlo\vo_couponvectors.cpp"> </File> <File ! RelativePath="qlo\vo_exercise.cpp"> </File> <File ! RelativePath="qlo\vo_forwardrateagreement.cpp"> </File> <File ! RelativePath="qlo\vo_instruments.cpp"> </File> <File ! RelativePath="qlo\vo_interpolation.cpp"> </File> <File ! RelativePath="qlo\vo_options.cpp"> </File> <File ! RelativePath="qlo\vo_processes.cpp"> </File> <File ! RelativePath="qlo\vo_randomsequencegenerator.cpp"> </File> <File ! RelativePath="qlo\vo_schedule.cpp"> </File> <File ! RelativePath="qlo\vo_shortratemodels.cpp"> </File> <File ! RelativePath="qlo\vo_swap.cpp"> </File> <File ! RelativePath="qlo\vo_termstructures.cpp"> </File> <File ! RelativePath="qlo\vo_vanillaswap.cpp"> </File> <File ! RelativePath="qlo\vo_volatilities.cpp"> </File> <File ! RelativePath="qlo\vo_xibor.cpp"> </File> <File *************** *** 486,490 **** </File> <File ! RelativePath=".\qlo\auto_link.hpp"> </File> <File --- 486,490 ---- </File> <File ! RelativePath="qlo\auto_link.hpp"> </File> <File *************** *** 495,499 **** </File> <File ! RelativePath=".\qlo\basketoption.hpp"> </File> <File --- 495,499 ---- </File> <File ! RelativePath="qlo\basketoption.hpp"> </File> <File *************** *** 507,511 **** </File> <File ! RelativePath=".\qlo\conversions.hpp"> </File> <File --- 507,511 ---- </File> <File ! RelativePath="qlo\conversions.hpp"> </File> <File *************** *** 525,529 **** </File> <File ! RelativePath=".\qlo\forwardrateagreement.hpp"> </File> <File --- 525,529 ---- </File> <File ! RelativePath="qlo\forwardrateagreement.hpp"> </File> <File *************** *** 534,537 **** --- 534,540 ---- </File> <File + RelativePath="qlo\handle.hpp"> + </File> + <File RelativePath="qlo\instruments.hpp"> </File> *************** *** 540,544 **** </File> <File ! RelativePath=".\qlo\math.hpp"> </File> <File --- 543,547 ---- </File> <File ! RelativePath="qlo\math.hpp"> </File> <File *************** *** 573,577 **** </File> <File ! RelativePath=".\qlo\swaptionvolstructure.hpp"> </File> <File --- 576,580 ---- </File> <File ! RelativePath="qlo\swaptionvolstructure.hpp"> </File> <File *************** *** 591,595 **** </File> <File ! RelativePath=".\qlo\vanillaswap.hpp"> </File> <File --- 594,598 ---- </File> <File ! RelativePath="qlo\vanillaswap.hpp"> </File> <File *************** *** 606,610 **** </File> <File ! RelativePath=".\qlo\vo_forwardrateagreement.hpp"> </File> <File --- 609,613 ---- </File> <File ! RelativePath="qlo\vo_forwardrateagreement.hpp"> </File> <File *************** *** 636,640 **** </File> <File ! RelativePath=".\qlo\vo_vanillaswap.hpp"> </File> <File --- 639,643 ---- </File> <File ! RelativePath="qlo\vo_vanillaswap.hpp"> </File> <File |
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From: Eric E. <eri...@us...> - 2006-06-15 19:01:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13922/gensrc/stubs Modified Files: stub.excel.includes Log Message: expose QuantLib::Handle to Excel Index: stub.excel.includes =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs/stub.excel.includes,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** stub.excel.includes 13 Jun 2006 10:39:41 -0000 1.3 --- stub.excel.includes 15 Jun 2006 19:01:39 -0000 1.4 *************** *** 2,5 **** --- 2,6 ---- #include <qlo/typefactory.hpp> #include <qlo/conversions.hpp> + #include <qlo/handle.hpp> %(includes)s #include <ohxl/objhandlerxl.hpp> |
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From: Eric E. <eri...@us...> - 2006-06-15 19:01:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13922/qlo Modified Files: vanillaswap.cpp vanillaswap.hpp Log Message: expose QuantLib::Handle to Excel Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** vanillaswap.hpp 14 Jun 2006 20:33:10 -0000 1.4 --- vanillaswap.hpp 15 Jun 2006 19:01:39 -0000 1.5 *************** *** 47,51 **** const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC); std::vector<std::vector<double> > fixedLeg() { --- 47,51 ---- const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const QuantLib::Handle<QuantLib::YieldTermStructure> &discountingTermStructure); std::vector<std::vector<double> > fixedLeg() { Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** vanillaswap.cpp 9 Jun 2006 18:58:47 -0000 1.3 --- vanillaswap.cpp 15 Jun 2006 19:01:39 -0000 1.4 *************** *** 51,57 **** const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC) { - QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure(discYC); QuantLib::Schedule fixedSchedule(calendar, startDate, maturity, fixFrq, fixBDC, --- 51,56 ---- const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const QuantLib::Handle<QuantLib::YieldTermStructure> &discountingTermStructure) { QuantLib::Schedule fixedSchedule(calendar, startDate, maturity, fixFrq, fixBDC, |
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From: Eric E. <eri...@us...> - 2006-06-15 19:01:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13922/gensrc/metadata Modified Files: termstructures.xml vanillaswap.xml Log Message: expose QuantLib::Handle to Excel Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** vanillaswap.xml 14 Jun 2006 18:53:55 -0000 1.3 --- vanillaswap.xml 15 Jun 2006 19:01:39 -0000 1.4 *************** *** 94,98 **** <description>Index Spread</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> --- 94,98 ---- <description>Index Spread</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** termstructures.xml 15 Jun 2006 18:07:54 -0000 1.7 --- termstructures.xml 15 Jun 2006 19:01:39 -0000 1.8 *************** *** 555,558 **** --- 555,592 ---- </Member> + <Constructor name='qlHandleYieldTermStructure'> + <libraryFunction>Handle<QuantLib::YieldTermStructure></libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='termStructureID' libraryClass='YieldTermStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>termStructureID</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Member name='qlHandleYieldTermStructureLinkTo' objectClass='Handle<QuantLib::YieldTermStructure>'> + <libraryFunction>linkTo</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <description>relink handle</description> + <ParameterList> + <Parameters> + <Parameter name='termStructureID' libraryClass='YieldTermStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>termStructureID</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + <description>success/failure</description> + </ReturnValue> + </Member> + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-15 18:08:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18879/gensrc/metadata Modified Files: calendar.xml termstructures.xml xibor.xml Log Message: 1) using Period as input parameter instead of (int, TimeUnit) Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** calendar.xml 15 Jun 2006 15:51:21 -0000 1.8 --- calendar.xml 15 Jun 2006 18:07:53 -0000 1.9 *************** *** 199,203 **** </EnumerationMember> ! <EnumerationMember name='qlAdvance' libraryType='QuantLib::Calendar'> <description>advances a date according to a given calendar</description> <libraryFunction>advance</libraryFunction> --- 199,203 ---- </EnumerationMember> ! <EnumerationMember name='qlAdvance' libraryType='QuantLib::Calendar' loopParameter='period'> <description>advances a date according to a given calendar</description> <libraryFunction>advance</libraryFunction> *************** *** 211,216 **** </Parameter> <Parameter name='period' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</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> </Parameter> --- 211,216 ---- </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> </Parameter> *************** *** 223,228 **** </ParameterList> <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> <description>advanced date</description> </ReturnValue> --- 223,228 ---- </ParameterList> <ReturnValue libraryType='QuantLib::Date'> ! <type>any</type> ! <tensorRank>vector</tensorRank> <description>advanced date</description> </ReturnValue> Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** xibor.xml 15 Jun 2006 15:51:21 -0000 1.6 --- xibor.xml 15 Jun 2006 18:07:55 -0000 1.7 *************** *** 1,22 **** <Category name='xibor'> ! <description>functions to construct QuantLib Xibor objects</description> ! <displayName>Indices</displayName> ! <Functions> ! <Constructor name='qlXibor'> ! <libraryFunction>Xibor</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='IndexName'> <type>string</type> <tensorRank>scalar</tensorRank> <description>index name</description> ! </Parameter> ! <Parameter name='Currency' enumeration='QuantLib::Currency'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Index Currency</description> ! </Parameter> <Parameter name='tenor' libraryType='QuantLib::Period'> <type>string</type> --- 1,106 ---- <Category name='xibor'> ! <description>functions to construct QuantLib Xibor objects</description> ! <displayName>Indices</displayName> ! <Functions> ! <Member name='qlIndexName' libraryClass='Index'> ! <description>retrive the name for the given Index object</description> ! <libraryFunction>name</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> <description>index name</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlIndexFixing' libraryClass='Index' loopParameter='fixingDate'> ! <description>retrive the fixing for the given Index object</description> ! <libraryFunction>fixing</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>fixing date(s)</description> ! </Parameter> ! <Parameter name='forecastTodaysFixing' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>forecast today's fixing even if the actual fixing is already available</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>index fixing(s)</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlIndexAddFixing' libraryClass='Index'> ! <description>add a fixing for the given Index object</description> ! <libraryFunction>addFixing</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing date</description> ! </Parameter> ! <Parameter name='fixing' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing value</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> <tensorRank>scalar</tensorRank> ! <description>SUCCESS/FAILURE</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlIndexAddFixings' objectClass='Index'> ! <description>add fixings for the given Index object</description> ! <libraryFunction>addFixings</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='fixingDates' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>fixing dates</description> ! </Parameter> ! <Parameter name='fixings' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>fixing values</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! <description>SUCCESS/FAILURE</description> ! </ReturnValue> ! </Member> ! ! <Constructor name='qlXibor'> ! <libraryFunction>Xibor</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='IndexName'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>index name</description> ! </Parameter> <Parameter name='tenor' libraryType='QuantLib::Period'> <type>string</type> *************** *** 24,92 **** <description>index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='BDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual360)</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='ForwardCurve' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Yield Curve used for forecasting</description> ! </Parameter> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>fixing dates</description> ! </Parameter> ! <Parameter name='fixings' default='0'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>fixing values</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Member name='qlXiborFixing' libraryClass='Xibor' loopParameter='fixingDate'> ! <description>retrive the fixing for the given Xibor object</description> ! <libraryFunction>fixing</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='fixingDate' libraryType='QuantLib::Date'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>fixing date(s)</description> ! </Parameter> ! <Parameter name='forecastTodaysFixing' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>forecast today's fixing even if the actual fixing is already available</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>xibor fixing(s)</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> - --- 108,140 ---- <description>index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='Currency' enumeration='QuantLib::Currency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Currency</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='BDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual360)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** termstructures.xml 15 Jun 2006 15:51:21 -0000 1.6 --- termstructures.xml 15 Jun 2006 18:07:54 -0000 1.7 *************** *** 2,5 **** --- 2,10 ---- <description>functions to construct QuantLib term structure objects</description> <displayName>Term Structures</displayName> + <includes> + <include>qlo/termstructures.hpp</include> + <include>qlo/vo_termstructures.hpp</include> + <include>qlo/xibor.hpp</include> + </includes> <Functions> *************** *** 122,139 **** <description>day counter (e.g. Actual365Fixed)</description> </Parameter> ! <Parameter name='floatingLegFrequency' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg frequency (e.g. Quarterly, Semiannual, etc.)</description> ! </Parameter> ! <Parameter name='floatingLegConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 127,134 ---- <description>day counter (e.g. Actual365Fixed)</description> </Parameter> ! <Parameter name="indexID" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating leg index</description> </Parameter> </Parameters> |
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From: Ferdinando A. <na...@us...> - 2006-06-15 18:08:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18879/qlo Modified Files: termstructures.cpp termstructures.hpp xibor.cpp xibor.hpp Log Message: 1) using Period as input parameter instead of (int, TimeUnit) Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** termstructures.hpp 15 Jun 2006 15:51:21 -0000 1.3 --- termstructures.hpp 15 Jun 2006 18:07:56 -0000 1.4 *************** *** 23,26 **** --- 23,27 ---- #include <ql/termstructure.hpp> + #include <ql/Indexes/xibor.hpp> #include <ql/calendar.hpp> #include <ql/TermStructures/piecewiseflatforward.hpp> *************** *** 75,81 **** const QuantLib::BusinessDayConvention &fixedConvention, const QuantLib::DayCounter &fixedDayCounter, ! const QuantLib::Frequency &floatingFrequency, ! const QuantLib::BusinessDayConvention &floatingConvention, ! const QuantLib::DayCounter &floatingDayCounter); }; --- 76,80 ---- const QuantLib::BusinessDayConvention &fixedConvention, const QuantLib::DayCounter &fixedDayCounter, ! const boost::shared_ptr<QuantLib::Xibor>& index); }; Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** termstructures.cpp 15 Jun 2006 15:51:21 -0000 1.6 --- termstructures.cpp 15 Jun 2006 18:07:56 -0000 1.7 *************** *** 92,98 **** const QuantLib::BusinessDayConvention &fixedConvention, const QuantLib::DayCounter &fixedDayCounter, ! const QuantLib::Frequency &floatingFrequency, ! const QuantLib::BusinessDayConvention &floatingConvention, ! const QuantLib::DayCounter &floatingDayCounter) { quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(quote)); --- 92,96 ---- 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)); *************** *** 107,113 **** fixedConvention, fixedDayCounter, ! floatingFrequency, ! floatingConvention, ! floatingDayCounter)); } --- 105,109 ---- fixedConvention, fixedDayCounter, ! index)); } Index: xibor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** xibor.hpp 15 Jun 2006 15:51:21 -0000 1.6 --- xibor.hpp 15 Jun 2006 18:07:56 -0000 1.7 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Eric Ehlers Copyright (C) 2005 Plamen Neykov *************** *** 25,40 **** namespace QuantLibAddin { ! class Xibor : public ObjHandler::LibraryObject<QuantLib::Xibor> { public: ! Xibor(const std::string &indexName, ! const QuantLib::Currency& crr, const QuantLib::Period& p, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter &fltDayCounter, ! const long &fixingDays, ! const boost::shared_ptr <QuantLib::YieldTermStructure> &fwdYC, ! const std::vector<QuantLib::Date>& dates, ! const std::vector<double> &fixings); }; } --- 26,46 ---- namespace QuantLibAddin { ! ! class Index : public ObjHandler::LibraryObject<QuantLib::Index> { public: ! void addFixings(const std::vector<QuantLib::Date> dates, ! const std::vector<QuantLib::Rate> fixings); ! }; ! ! ! class Xibor : public Index { ! public: ! Xibor(const std::string& indexName, const QuantLib::Period& p, + const long fixingDays, + const QuantLib::Currency& crr, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter& fltDayCounter); }; } Index: xibor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** xibor.cpp 15 Jun 2006 15:51:21 -0000 1.6 --- xibor.cpp 15 Jun 2006 18:07:56 -0000 1.7 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Eric Ehlers Copyright (C) 2005 Plamen Neykov *************** *** 27,60 **** namespace QuantLibAddin { - QuantLib::Date make_date(long d) { return QuantLib::Date(d); } ! Xibor::Xibor(const std::string &indexName, ! const QuantLib::Currency& crr, const QuantLib::Period& p, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter &fltDayCounter, ! const long &fixingDays, ! const boost::shared_ptr <QuantLib::YieldTermStructure> &fwdYC, ! const std::vector<QuantLib::Date>& dates, ! const std::vector<double> &fixings) { ! ! QuantLib::Handle<QuantLib::YieldTermStructure> ! forecastingTermStructure(fwdYC); ! libraryObject_ = boost::shared_ptr<QuantLib::Xibor>( new QuantLib::Xibor(indexName, p, fixingDays, crr, calendar, ! fltBDC, fltDayCounter, ! forecastingTermStructure)); ! QL_REQUIRE(fixings.size() == dates.size(), ! "Xibor::Xibor the nuber of given dates does not match the number" ! " of fixings!"); ! if(dates.size() > 0) { ! QuantLib::History history(dates, fixings); ! QuantLib::IndexManager::instance().setHistory(libraryObject_->name(), ! history); ! } } } --- 28,59 ---- namespace QuantLibAddin { ! void Index::addFixings(const std::vector<QuantLib::Date> dates, ! const std::vector<QuantLib::Rate> fixings) ! { ! QL_REQUIRE(fixings.size() == dates.size(), ! "Index::addFixings the nuber of given dates does not " ! "match the number of fixings!"); ! if(dates.size() > 0) { ! QuantLib::History history(dates, fixings); ! QuantLib::IndexManager::instance().setHistory(libraryObject_->name(), ! history); ! } ! ! } ! ! Xibor::Xibor(const std::string& indexName, const QuantLib::Period& p, + const long fixingDays, + const QuantLib::Currency& crr, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter& fltDayCounter) ! { libraryObject_ = boost::shared_ptr<QuantLib::Xibor>( new QuantLib::Xibor(indexName, p, fixingDays, crr, calendar, ! fltBDC, fltDayCounter)); } } |
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From: Ferdinando A. <na...@us...> - 2006-06-15 15:51:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2402/gensrc/metadata Modified Files: calendar.xml termstructures.xml xibor.xml Log Message: 1) using Period as input parameter instead of (int, TimeUnit) Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** calendar.xml 15 Jun 2006 07:42:38 -0000 1.7 --- calendar.xml 15 Jun 2006 15:51:21 -0000 1.8 *************** *** 204,229 **** <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='startDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date to be advanced</description> ! </Parameter> ! <Parameter name='n'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>number of units to advance</description> ! </Parameter> ! <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>units to advance</description> ! </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>rolling convention</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 204,224 ---- <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='startDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date to be advanced</description> ! </Parameter> ! <Parameter name='period' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</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> ! </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>rolling convention</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> *************** *** 238,242 **** <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> <Parameter name='jointCalendarRule' enumeration='QuantLib::JointCalendarRule' default='"JoinHolidays"'> <type>string</type> --- 233,237 ---- <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> <Parameter name='jointCalendarRule' enumeration='QuantLib::JointCalendarRule' default='"JoinHolidays"'> <type>string</type> Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** xibor.xml 2 Jun 2006 09:40:40 -0000 1.5 --- xibor.xml 15 Jun 2006 15:51:21 -0000 1.6 *************** *** 19,32 **** <description>Index Currency</description> </Parameter> ! <Parameter name='tenor'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>the tenor of this index</description> ! </Parameter> ! <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>time units applying to above tenor</description> ! </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> --- 19,27 ---- <description>Index Currency</description> </Parameter> ! <Parameter name='tenor' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year)</description> ! </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** termstructures.xml 14 Jun 2006 18:53:55 -0000 1.5 --- termstructures.xml 15 Jun 2006 15:51:21 -0000 1.6 *************** *** 14,26 **** <description>quote</description> </Parameter> ! <Parameter name='maturity'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity</description> ! </Parameter> ! <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>time units applying to above maturity</description> </Parameter> <Parameter name='fixingDays'> --- 14,21 ---- <description>quote</description> </Parameter> ! <Parameter name='period' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>deposit legth (e.g. 3M for three months)</description> </Parameter> <Parameter name='fixingDays'> *************** *** 97,109 **** <description>quote</description> </Parameter> ! <Parameter name='maturity'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity</description> ! </Parameter> ! <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>time units applying to above maturity</description> </Parameter> <Parameter name='fixingDays'> --- 92,99 ---- <description>quote</description> </Parameter> ! <Parameter name='period' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>deposit legth (e.g. 5Y for five years)</description> </Parameter> <Parameter name='fixingDays'> |
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From: Ferdinando A. <na...@us...> - 2006-06-15 15:51:25
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2402/qlo Modified Files: termstructures.cpp termstructures.hpp xibor.cpp xibor.hpp Log Message: 1) using Period as input parameter instead of (int, TimeUnit) Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** termstructures.hpp 9 Jun 2006 18:58:47 -0000 1.2 --- termstructures.hpp 15 Jun 2006 15:51:21 -0000 1.3 *************** *** 47,52 **** DepositRateHelper( const double "e, ! const long &maturity, ! const QuantLib::TimeUnit &timeUnits, const long &fixingDays, const QuantLib::Calendar& calendar, --- 47,51 ---- DepositRateHelper( const double "e, ! const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, *************** *** 70,75 **** SwapRateHelper( const double "e, ! const long &maturity, ! const QuantLib::TimeUnit &timeUnits, const long &fixingDays, const QuantLib::Calendar& calendar, --- 69,73 ---- SwapRateHelper( const double "e, ! const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** termstructures.cpp 9 Jun 2006 18:58:47 -0000 1.5 --- termstructures.cpp 15 Jun 2006 15:51:21 -0000 1.6 *************** *** 42,47 **** DepositRateHelper::DepositRateHelper( const double "e, ! const long &maturity, ! const QuantLib::TimeUnit &timeUnits, const long &fixingDays, const QuantLib::Calendar& calendar, --- 42,46 ---- DepositRateHelper::DepositRateHelper( const double "e, ! const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, *************** *** 55,60 **** libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::DepositRateHelper(quoteHandle_, ! maturity, ! timeUnits, fixingDays, calendar, --- 54,58 ---- libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::DepositRateHelper(quoteHandle_, ! p, fixingDays, calendar, *************** *** 88,93 **** SwapRateHelper::SwapRateHelper( const double "e, ! const long &maturity, ! const QuantLib::TimeUnit &timeUnits, const long &fixingDays, const QuantLib::Calendar& calendar, --- 86,90 ---- SwapRateHelper::SwapRateHelper( const double "e, ! const QuantLib::Period& p, const long &fixingDays, const QuantLib::Calendar& calendar, *************** *** 104,109 **** libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::SwapRateHelper(quoteHandle_, ! maturity, ! timeUnits, fixingDays, calendar, --- 101,105 ---- libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( new QuantLib::SwapRateHelper(quoteHandle_, ! p, fixingDays, calendar, Index: xibor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** xibor.hpp 9 Jun 2006 18:58:47 -0000 1.5 --- xibor.hpp 15 Jun 2006 15:51:21 -0000 1.6 *************** *** 29,34 **** Xibor(const std::string &indexName, const QuantLib::Currency& crr, ! const long &tenor, ! QuantLib::TimeUnit timeUnits, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, --- 29,33 ---- Xibor(const std::string &indexName, const QuantLib::Currency& crr, ! const QuantLib::Period& p, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, Index: xibor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** xibor.cpp 9 Jun 2006 18:58:47 -0000 1.5 --- xibor.cpp 15 Jun 2006 15:51:21 -0000 1.6 *************** *** 31,36 **** Xibor::Xibor(const std::string &indexName, const QuantLib::Currency& crr, ! const long &tenor, ! QuantLib::TimeUnit timeUnits, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, --- 31,35 ---- Xibor::Xibor(const std::string &indexName, const QuantLib::Currency& crr, ! const QuantLib::Period& p, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention fltBDC, *************** *** 46,50 **** libraryObject_ = boost::shared_ptr<QuantLib::Xibor>( new QuantLib::Xibor(indexName, ! tenor, timeUnits, fixingDays, crr, calendar, fltBDC, fltDayCounter, --- 45,49 ---- libraryObject_ = boost::shared_ptr<QuantLib::Xibor>( new QuantLib::Xibor(indexName, ! p, fixingDays, crr, calendar, fltBDC, fltDayCounter, |
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From: Eric E. <eri...@us...> - 2006-06-15 07:42:43
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14000/gensrc/metadata Modified Files: calendar.xml Log Message: fix bug in qlRemoveHoliday() Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** calendar.xml 13 Jun 2006 17:33:06 -0000 1.6 --- calendar.xml 15 Jun 2006 07:42:38 -0000 1.7 *************** *** 121,125 **** <EnumerationMember name='qlRemoveHoliday' libraryType='QuantLib::Calendar'> <description>removes an holiday from the given calendar</description> ! <libraryFunction>addHoliday</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 121,125 ---- <EnumerationMember name='qlRemoveHoliday' libraryType='QuantLib::Calendar'> <description>removes an holiday from the given calendar</description> ! <libraryFunction>removeHoliday</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> |
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From: Ferdinando A. <na...@us...> - 2006-06-14 20:41:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22690 Modified Files: todonando.txt Log Message: added flowAnalysis to Bond Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** todonando.txt 14 Jun 2006 20:33:10 -0000 1.10 --- todonando.txt 14 Jun 2006 20:41:08 -0000 1.11 *************** *** 114,115 **** --- 114,118 ---- - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? - add loopparameters + + BUG + - perche' il YCbootstrapping non funzione se rateHelpers e' aperto |
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From: Ferdinando A. <na...@us...> - 2006-06-14 20:41:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22690/gensrc/metadata Modified Files: bonds.xml Log Message: added flowAnalysis to Bond Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** bonds.xml 14 Jun 2006 20:33:10 -0000 1.3 --- bonds.xml 14 Jun 2006 20:41:08 -0000 1.4 *************** *** 13,16 **** --- 13,36 ---- <Functions> + <Member name='qlBondFlowAnalysis' objectClass='Bond'> + <description>Cash flow analysis.</description> + <libraryFunction>flowAnalysis</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>matrix</tensorRank> + <description>Cash flow analysis</description> + </ReturnValue> + </Member> + <Member name='qlBondSettlementDate' libraryClass='Bond'> <description>Returns the settlement date of the bond.</description> |
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From: Ferdinando A. <na...@us...> - 2006-06-14 20:33:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19039/gensrc/metadata Modified Files: bonds.xml Log Message: added flowAnalysis to Bond Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** bonds.xml 14 Jun 2006 19:27:11 -0000 1.2 --- bonds.xml 14 Jun 2006 20:33:10 -0000 1.3 *************** *** 12,16 **** <Functions> ! <Member name='qlBondSettlementDate' libraryClass='Bond'> <description>Returns the settlement date of the bond.</description> --- 12,16 ---- <Functions> ! <Member name='qlBondSettlementDate' libraryClass='Bond'> <description>Returns the settlement date of the bond.</description> *************** *** 27,50 **** </Member> ! <Member name='qlBondCleanPrice' libraryClass='Bond'> ! <description>If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='yield'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>bond yield</description> ! </Parameter> ! <Parameter name='compounding' enumeration='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>settlement date</description> </Parameter> </Parameters> --- 27,40 ---- </Member> ! <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> ! <description>Theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> </Parameter> </Parameters> *************** *** 53,80 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the clean price</description> </ReturnValue> </Member> ! <Member name='qlBondDirtyPrice' libraryClass='Bond'> ! <description>dirty price: If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='yield'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>bond yield</description> ! </Parameter> ! <Parameter name='compounding' enumeration='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>settlement date</description> </Parameter> </Parameters> --- 43,60 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Theoretical clean price</description> </ReturnValue> </Member> ! <Member name='qlBondThDirtyPrice' libraryClass='Bond'> ! <description>Theoretical dirty price. The default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> </Parameter> </Parameters> *************** *** 83,96 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the dirty price</description> </ReturnValue> </Member> ! <Member name='qlBondThDirtyPrice' libraryClass='Bond'> ! <description>theoretical dirty price: The default bond settlement is used for calculation.</description> ! <libraryFunction>dirtyPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> --- 63,81 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Theoretical dirty price</description> </ReturnValue> </Member> ! <Member name='qlBondThYield' libraryClass='FixedCouponBond'> ! <description>Theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> ! <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> + <Parameter name='Compounding' enumeration='QuantLib::Compounding'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> + </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> *************** *** 103,120 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the theoretical dirty price</description> </ReturnValue> </Member> ! <Member name='qlBondYield' libraryClass='Bond'> ! <description>Yield: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='cleanPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Clean Price</description> </Parameter> <Parameter name='compounding' enumeration='QuantLib::Compounding'> --- 88,105 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Theoretical yield</description> </ReturnValue> </Member> ! <Member name='qlBondCleanPrice' libraryClass='Bond' loopParameter='yield'> ! <description>Clean price given a yield and settlement date. The default bond settlement is used if no date is given.</description> ! <libraryFunction>cleanPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='yield'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>bond yield(s)</description> </Parameter> <Parameter name='compounding' enumeration='QuantLib::Compounding'> *************** *** 123,127 **** <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> --- 108,112 ---- <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 131,147 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the dirty price</description> </ReturnValue> </Member> ! <Member name='qlBondAccruedAmount' libraryClass='Bond'> ! <description>Accrued: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>accruedAmount</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> --- 116,142 ---- </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>Clean price(s) given yield(s) and settlement date</description> </ReturnValue> </Member> ! <Member name='qlBondDirtyPrice' libraryClass='Bond' loopParameter='yield'> ! <description>Dirty price(s) given yield(s) and settlement date. The default bond settlement is used if no date is given.</description> ! <libraryFunction>dirtyPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='yield'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>bond yield(s)</description> ! </Parameter> ! <Parameter name='compounding' enumeration='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 151,198 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the accrual</description> </ReturnValue> </Member> ! ! ! ! <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> ! <description>theoretical clean price: The default bond settlement is used for calculation.</description> ! <libraryFunction>cleanPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the theoretical clean price</description> </ReturnValue> </Member> ! <Member name='qlBondThYield' libraryClass='FixedCouponBond'> ! <description>theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> ! <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='Compounding' enumeration='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> </Parameter> </Parameters> --- 146,195 ---- </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>Dirty price(s) given yield(s) and settlement date</description> </ReturnValue> </Member> ! <Member name='qlBondYield' libraryClass='Bond' loopParameter='cleanPrice'> ! <description>Yield(s) given clean price(s) and settlement date. The default bond settlement is used if no date is given</description> ! <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='cleanPrice'> <type>any</type> + <tensorRank>vector</tensorRank> + <description>Clean price(s)</description> + </Parameter> + <Parameter name='compounding' enumeration='QuantLib::Compounding'> + <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='0'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>Yield(s) given clean price(s) and settlement date.</description> </ReturnValue> </Member> ! <Member name='qlBondAccruedAmount' libraryClass='Bond'> ! <description>Accrued amount at a given date. The default bond settlement is used if no date is given.</description> ! <libraryFunction>accruedAmount</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date' default='0'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>settlement date</description> </Parameter> </Parameters> *************** *** 201,208 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the theoretical yield</description> </ReturnValue> </Member> <Constructor name='qlZeroCouponBond'> <libraryFunction>ZeroCouponBond</libraryFunction> --- 198,208 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Accrued amount at a given date</description> </ReturnValue> </Member> + + + <Constructor name='qlZeroCouponBond'> <libraryFunction>ZeroCouponBond</libraryFunction> |
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From: Ferdinando A. <na...@us...> - 2006-06-14 20:33:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19039/qlo Modified Files: bonds.cpp bonds.hpp couponvectors.cpp couponvectors.hpp swap.cpp swap.hpp vanillaswap.hpp Log Message: added flowAnalysis to Bond Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** couponvectors.hpp 14 Jun 2006 18:34:31 -0000 1.4 --- couponvectors.hpp 14 Jun 2006 20:33:10 -0000 1.5 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet *************** *** 27,30 **** --- 28,34 ---- typedef std::vector<boost::shared_ptr<QuantLib::CashFlow> > CashFlowVector; + + std::vector<std::vector<double> > flowAnalysis(CashFlowVector); + class CouponVector : public ObjHandler::Object { Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** couponvectors.cpp 24 May 2006 14:59:44 -0000 1.2 --- couponvectors.cpp 14 Jun 2006 20:33:10 -0000 1.3 *************** *** 1,4 **** --- 1,5 ---- /* + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Eric Ehlers Copyright (C) 2005 Aurelien Chanudet *************** *** 31,34 **** --- 32,73 ---- namespace QuantLibAddin { + std::vector<std::vector<double> > flowAnalysis(CashFlowVector cashflows) { + + std::vector<std::vector<double> > flowAnalysis_; + for(QuantLib::Size i = 0; i < cashflows.size(); i++) { + std::vector<double> cf; + + cf.push_back(cashflows[i]->date().serialNumber()); + cf.push_back(cashflows[i]->amount()); + + boost::shared_ptr<QuantLib::Coupon> c = + boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]); + cf.push_back(c->nominal()); + cf.push_back(c->accrualStartDate().serialNumber()); + cf.push_back(c->accrualEndDate().serialNumber()); + cf.push_back(c->accrualDays()); + //cf.push_back(c->dayCounter().name()); + cf.push_back(c->accrualPeriod()); + cf.push_back(c->rate()); + + boost::shared_ptr<QuantLib::ParCoupon> floatingCoupon = + boost::dynamic_pointer_cast<QuantLib::ParCoupon>(cashflows[i]); + if (floatingCoupon!=0) { + cf.push_back(floatingCoupon->fixingDays()); + cf.push_back(floatingCoupon->fixingDate().serialNumber()); + cf.push_back(floatingCoupon->indexFixing()); + cf.push_back(floatingCoupon->spread()); + } else { + cf.push_back(0.0); + cf.push_back(0.0); + cf.push_back(0.0); + cf.push_back(0.0); + } + + flowAnalysis_.push_back(cf); + } + return flowAnalysis_; + } + double CouponVector::getBPS( const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure) const { Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** vanillaswap.hpp 9 Jun 2006 18:58:47 -0000 1.3 --- vanillaswap.hpp 14 Jun 2006 20:33:10 -0000 1.4 *************** *** 49,56 **** const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC); ! const std::vector<std::vector<double> >& fixedLeg() { return Swap::legAnalysis(0); } ! const std::vector<std::vector<double> >& floatingLeg() { return Swap::legAnalysis(1); } --- 49,56 ---- const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC); ! std::vector<std::vector<double> > fixedLeg() { return Swap::legAnalysis(0); } ! std::vector<std::vector<double> > floatingLeg() { return Swap::legAnalysis(1); } Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** bonds.hpp 14 Jun 2006 19:27:11 -0000 1.2 --- bonds.hpp 14 Jun 2006 20:33:10 -0000 1.3 *************** *** 28,31 **** --- 28,34 ---- class Bond : public Instrument { + public: + std::vector<std::vector<double> > flowAnalysis(); + }; Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** bonds.cpp 14 Jun 2006 19:27:11 -0000 1.2 --- bonds.cpp 14 Jun 2006 20:33:10 -0000 1.3 *************** *** 24,27 **** --- 24,28 ---- #include <qlo/bonds.hpp> + #include <qlo/couponvectors.hpp> #include <qlo/generalutils.hpp> #include <qlo/termstructures.hpp> *************** *** 33,36 **** --- 34,46 ---- namespace QuantLibAddin { + std::vector<std::vector<double> > Bond::flowAnalysis() { + const boost::shared_ptr<QuantLib::Bond> temp = + getLibraryObject<QuantLib::Bond>(); + const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = + temp->cashflows(); + + return QuantLibAddin::flowAnalysis(cashflows); + } + ZeroCouponBond::ZeroCouponBond( const QuantLib::Date& issueDate, Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** swap.cpp 14 Jun 2006 18:16:45 -0000 1.7 --- swap.cpp 14 Jun 2006 20:33:10 -0000 1.8 *************** *** 25,28 **** --- 25,29 ---- #include <qlo/swap.hpp> + #include <qlo/couponvectors.hpp> #include <ql/CashFlows/parcoupon.hpp> *************** *** 45,91 **** ! const std::vector<std::vector<double> >& Swap::legAnalysis(QuantLib::Size i) { ! const boost::shared_ptr < QuantLib::Swap > temp = getLibraryObject < QuantLib::Swap >(); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->leg(i); ! flowAnalysis_.clear(); ! for(QuantLib::Size i = 0; i < cashflows.size(); i++) { ! std::vector<double> cf; ! ! cf.push_back(cashflows[i]->date().serialNumber()); ! cf.push_back(cashflows[i]->amount()); ! ! boost::shared_ptr<QuantLib::Coupon> c = ! boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]); ! cf.push_back(c->nominal()); ! cf.push_back(c->accrualStartDate().serialNumber()); ! cf.push_back(c->accrualEndDate().serialNumber()); ! cf.push_back(c->accrualDays()); ! //cf.push_back(c->dayCounter().name()); ! cf.push_back(c->accrualPeriod()); ! cf.push_back(c->rate()); ! ! boost::shared_ptr<QuantLib::ParCoupon> floatingCoupon = ! boost::dynamic_pointer_cast<QuantLib::ParCoupon>(cashflows[i]); ! if (floatingCoupon!=0) { ! cf.push_back(floatingCoupon->fixingDays()); ! cf.push_back(floatingCoupon->fixingDate().serialNumber()); ! cf.push_back(floatingCoupon->indexFixing()); ! cf.push_back(floatingCoupon->spread()); ! } else { ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); ! } ! ! flowAnalysis_.push_back(cf); ! } ! return flowAnalysis_; } - - } - --- 46,57 ---- ! std::vector<std::vector<double> > Swap::legAnalysis(QuantLib::Size i) { ! const boost::shared_ptr<QuantLib::Swap> temp = ! getLibraryObject<QuantLib::Swap>(); const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = temp->leg(i); ! return flowAnalysis(cashflows); } } Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** swap.hpp 9 Jun 2006 18:58:47 -0000 1.5 --- swap.hpp 14 Jun 2006 20:33:10 -0000 1.6 *************** *** 37,47 **** termStructure); ! const std::vector<std::vector<double> >& legAnalysis(QuantLib::Size i); protected: Swap() {} - - private: - std::vector<std::vector<double> > flowAnalysis_; }; --- 37,44 ---- termStructure); ! std::vector<std::vector<double> > legAnalysis(QuantLib::Size i); protected: Swap() {} }; |
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From: Ferdinando A. <na...@us...> - 2006-06-14 20:33:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19039 Modified Files: todonando.txt Log Message: added flowAnalysis to Bond Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** todonando.txt 14 Jun 2006 18:34:31 -0000 1.9 --- todonando.txt 14 Jun 2006 20:33:10 -0000 1.10 *************** *** 1,4 **** --- 1,7 ---- CHANGELOG FROM MY HOME PC + + PER ERIC: CHM DOCS + DESIGN - refactor ObjectHandler *************** *** 105,106 **** --- 108,115 ---- SCHEDULE - refactoring + + BOND + - perche' lo yield non ha la frequenza? + - fare tutti i metodi che restituiscono un InterestRate + - i ThMethod perche' non accettano anche loro una Date settlementDate = Date()? + - add loopparameters |
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From: Ferdinando A. <na...@us...> - 2006-06-14 19:27:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19279/qlo Modified Files: bonds.cpp bonds.hpp Log Message: FloatingCouponBond exported Index: bonds.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** bonds.hpp 14 Jun 2006 18:34:31 -0000 1.1 --- bonds.hpp 14 Jun 2006 19:27:11 -0000 1.2 *************** *** 62,65 **** --- 62,88 ---- }; + class FloatingCouponBond : public Bond { + public: + FloatingCouponBond( + const QuantLib::Date& issueDate, + const QuantLib::Date& datedDate, + const QuantLib::Date& maturityDate, + QuantLib::Integer settlementDays, + const boost::shared_ptr<QuantLib::Xibor>& index, + QuantLib::Integer fixingDays, + const std::vector<QuantLib::Spread>& spreads, + QuantLib::Frequency couponFrequency, + const QuantLib::Calendar& calendar, + const QuantLib::DayCounter& dayCounter, + QuantLib::BusinessDayConvention accrualConvention, + QuantLib::BusinessDayConvention paymentConvention, + QuantLib::Real redemption, + const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure, + const QuantLib::Date& stub, + bool fromEnd); + + }; + + } Index: bonds.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/bonds.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** bonds.cpp 14 Jun 2006 18:34:31 -0000 1.1 --- bonds.cpp 14 Jun 2006 19:27:11 -0000 1.2 *************** *** 93,95 **** --- 93,134 ---- } + + FloatingCouponBond::FloatingCouponBond( + const QuantLib::Date& issueDate, + const QuantLib::Date& datedDate, + const QuantLib::Date& maturityDate, + QuantLib::Integer settlementDays, + const boost::shared_ptr<QuantLib::Xibor>& index, + QuantLib::Integer fixingDays, + const std::vector<QuantLib::Spread>& spreads, + QuantLib::Frequency couponFrequency, + const QuantLib::Calendar& calendar, + const QuantLib::DayCounter& dayCounter, + QuantLib::BusinessDayConvention accrualConvention, + QuantLib::BusinessDayConvention paymentConvention, + QuantLib::Real redemption, + const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure, + const QuantLib::Date& stub, + bool fromEnd) { + + QuantLib::Handle<QuantLib::YieldTermStructure> ts(termStructure); + + libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( + new QuantLib::FloatingRateBond(issueDate, + datedDate, + maturityDate, + settlementDays, + index, + fixingDays, + spreads, + couponFrequency, + calendar, + dayCounter, + accrualConvention, + paymentConvention, + redemption, + ts, + stub, + fromEnd)); + } } |
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From: Ferdinando A. <na...@us...> - 2006-06-14 19:27:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19279/gensrc/metadata Modified Files: bonds.xml Log Message: FloatingCouponBond exported Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** bonds.xml 14 Jun 2006 18:34:31 -0000 1.1 --- bonds.xml 14 Jun 2006 19:27:11 -0000 1.2 *************** *** 205,208 **** --- 205,257 ---- </Member> + <Constructor name='qlZeroCouponBond'> + <libraryFunction>ZeroCouponBond</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='issueDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>issue date</description> + </Parameter> + <Parameter name='maturityDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>maturity date</description> + </Parameter> + <Parameter name='settlementDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>settlement days</description> + </Parameter> + <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter (e.g. Actual365Fixed)</description> + </Parameter> + <Parameter name='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>BusinessDayConvention</description> + </Parameter> + <Parameter name='redemption'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>redemption</description> + </Parameter> + <Parameter name='termStructureID' libraryClass='YieldTermStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>discounting term structure</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Constructor name='qlFixedCouponBond'> <libraryFunction>FixedCouponBond</libraryFunction> *************** *** 284,289 **** </Constructor> ! <Constructor name='qlZeroCouponBond'> ! <libraryFunction>ZeroCouponBond</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 333,338 ---- </Constructor> ! <Constructor name='qlFloatingCouponBond'> ! <libraryFunction>FloatingCouponBond</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 294,297 **** --- 343,351 ---- <description>issue date</description> </Parameter> + <Parameter name='firstCouponDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>first coupon date</description> + </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> *************** *** 304,311 **** <description>settlement days</description> </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> --- 358,380 ---- <description>settlement days</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Floating rate index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing days (e.g. 2)</description> ! </Parameter> ! <Parameter name='spreads' default='0'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floating rate spreads</description> ! </Parameter> ! <Parameter name='frequency' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>frequency ID</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> *************** *** 314,326 **** <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>BusinessDayConvention</description> </Parameter> ! <Parameter name='redemption'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>redemption</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> --- 383,405 ---- <description>holiday calendar (e.g. TARGET)</description> </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> ! <Parameter name='accrualBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Accrual Business Day Convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='paymentBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Payment Business Day Convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='Redemption'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Redemption</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> *************** *** 329,332 **** --- 408,421 ---- <description>discounting term structure</description> </Parameter> + <Parameter name='stubDate' libraryType='QuantLib::Date' default='0'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>stub date</description> + </Parameter> + <Parameter name='startFromEnd'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>build schedule backwards (start from maturity)</description> + </Parameter> </Parameters> </ParameterList> |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:54:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1271/gensrc/metadata Modified Files: options.xml processes.xml shortratemodels.xml swap.xml termstructures.xml vanillaswap.xml Log Message: removed all occurrence of the word "handle" in the xml metadata Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** vanillaswap.xml 6 Jun 2006 17:16:47 -0000 1.2 --- vanillaswap.xml 14 Jun 2006 18:53:55 -0000 1.3 *************** *** 1,222 **** <Category name='vanillaswap'> ! <description>construct and return a handle to a vanilla swap object</description> ! <displayName>Vanilla Swap</displayName> ! <Functions> ! <Constructor name='qlVanillaSwap'> ! <libraryFunction>VanillaSwap</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='StartDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date</description> ! </Parameter> ! <Parameter name='maturityDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity date</description> ! </Parameter> ! <Parameter name='Nominal'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Notional Amount</description> ! </Parameter> ! <Parameter name='PayFixed'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>pay or receive the fixed rate</description> ! </Parameter> ! <Parameter name='FixRate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='FixFrq' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Fixed Leg Frequency</description> ! </Parameter> ! <Parameter name='FixBDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Fixed Leg Business Day Convention</description> ! </Parameter> ! <Parameter name='FixDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='fixStartFromEnd'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>build fixed leg schedule backwards (start from maturity)</description> ! </Parameter> ! <Parameter name='fixLongFinal'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule long first/last period</description> ! </Parameter> ! <!--Parameter name='FltFrq'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Floating Leg Frequency</description> </Parameter--> ! <Parameter name='FloatdayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='IndexHandle' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle of the Index for the float leg</description> ! </Parameter> ! <Parameter name='fltStartFromEnd'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>build floating leg schedule backwards (start from maturity)</description> ! </Parameter> ! <Parameter name='fltLongFinal'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg schedule long first/last period</description> ! </Parameter> ! <Parameter name='FloatSpread'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Spread</description> ! </Parameter> ! <Parameter name='DiscountCurve' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle of the Yield Curve used for discounting</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairRate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fair rate</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairSpread</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fair spread</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLeg' objectClass='VanillaSwap'> ! <description>The fixed leg cash flow analysis</description> ! <libraryFunction>fixedLeg</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>The fixed leg cash flow analysis</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the fixed leg</description> ! <libraryFunction>fixedLegBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed leg BPS</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLeg' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLeg</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>The floating leg cash flow analysis</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the floating leg</description> ! <libraryFunction>floatingLegBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the floating leg BPS</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> - --- 1,221 ---- <Category name='vanillaswap'> ! <description>functions to construct and use QuantLib::VanillaSwap objects</description> ! <displayName>Vanilla Swap</displayName> ! <Functions> ! <Constructor name='qlVanillaSwap'> ! <libraryFunction>VanillaSwap</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='StartDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date</description> ! </Parameter> ! <Parameter name='maturityDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity date</description> ! </Parameter> ! <Parameter name='Nominal'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Notional Amount</description> ! </Parameter> ! <Parameter name='PayFixed'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>pay or receive the fixed rate</description> ! </Parameter> ! <Parameter name='FixRate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the fixed rate</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='FixFrq' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Fixed Leg Frequency</description> ! </Parameter> ! <Parameter name='FixBDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Fixed Leg Business Day Convention</description> ! </Parameter> ! <Parameter name='FixDayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='fixStartFromEnd'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>build fixed leg schedule backwards (start from maturity)</description> ! </Parameter> ! <Parameter name='fixLongFinal'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>fixed leg schedule long first/last period</description> ! </Parameter> ! <!--Parameter name='FltFrq'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Floating Leg Frequency</description> </Parameter--> ! <Parameter name='FloatdayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='IndexID' libraryClass='Xibor'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg Index</description> ! </Parameter> ! <Parameter name='fltStartFromEnd'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>build floating leg schedule backwards (start from maturity)</description> ! </Parameter> ! <Parameter name='fltLongFinal'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>floating leg schedule long first/last period</description> ! </Parameter> ! <Parameter name='FloatSpread'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Index Spread</description> ! </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairRate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the fair rate</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> ! <description>the fair rate of a swap</description> ! <libraryFunction>fairSpread</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the fair spread</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLeg' objectClass='VanillaSwap'> ! <description>The fixed leg cash flow analysis</description> ! <libraryFunction>fixedLeg</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>The fixed leg cash flow analysis</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the fixed leg</description> ! <libraryFunction>fixedLegBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the fixed leg BPS</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLeg' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLeg</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>The floating leg cash flow analysis</description> ! </ReturnValue> ! </Member> ! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> ! <description>the BPS of the floating leg</description> ! <libraryFunction>floatingLegBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the floating leg BPS</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** swap.xml 14 Jun 2006 18:34:31 -0000 1.6 --- swap.xml 14 Jun 2006 18:53:55 -0000 1.7 *************** *** 1,4 **** <Category name='swap'> ! <description>functions to construct QuantLib swap objects</description> <displayName>Swap</displayName> <Functions> --- 1,4 ---- <Category name='swap'> ! <description>functions to construct and use QuantLib::Swap objects</description> <displayName>Swap</displayName> <Functions> *************** *** 12,21 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to paid leg</description> </Parameter> <Parameter name='recvLegID' objectClass='CouponVector'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to receveid leg</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> --- 12,21 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>paid leg</description> </Parameter> <Parameter name='recvLegID' objectClass='CouponVector'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>receveid leg</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** options.xml 24 May 2006 14:59:43 -0000 1.2 --- options.xml 14 Jun 2006 18:53:55 -0000 1.3 *************** *** 1,773 **** <Category name='options'> ! <description>functions to construct QuantLib option objects</description> ! <displayName>Options</displayName> ! <Functions> ! <Constructor name='qlBarrierOption'> ! <libraryFunction>BarrierOption</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> [...1516 lines suppressed...] ! <libraryFunction>itmCashProbability</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>itm cash probability</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** termstructures.xml 5 Jun 2006 11:44:43 -0000 1.4 --- termstructures.xml 14 Jun 2006 18:53:55 -0000 1.5 *************** *** 1,571 **** <Category name='termstructures'> ! <description>functions to construct QuantLib term structure objects</description> ! <displayName>Term Structures</displayName> ! <Functions> ! <Constructor name='qlDepositRateHelper'> ! <libraryFunction>DepositRateHelper</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> [...1115 lines suppressed...] ! <description>earliest date</description> ! </ReturnValue> ! </Member> ! <Member name='qlMaxDate' libraryClass='YieldTermStructure'> ! <description>return the latest date at which the YieldTermStructure is defined (not considering extrapolation feature)</description> ! <libraryFunction>maxDate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>latest date</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** shortratemodels.xml 24 May 2006 14:59:43 -0000 1.2 --- shortratemodels.xml 14 Jun 2006 18:53:55 -0000 1.3 *************** *** 1,61 **** <Category name='shortratemodels'> ! <description>functions to construct QuantLib short-rate model objects</description> ! <displayName>Short Rate Models</displayName> ! <Functions> ! <Constructor name='qlHullWhite'> ! <libraryFunction>HullWhite</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='handleTermStructure' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle to a term structure object</description> ! </Parameter> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>a</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlVasicek'> ! <libraryFunction>Vasicek</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>mean reverting speed</description> ! </Parameter> ! <Parameter name='b'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>short-rate limit value</description> ! </Parameter> ! <Parameter name='lambda'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk premium</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> - --- 1,60 ---- <Category name='shortratemodels'> ! <description>functions to construct QuantLib short-rate model objects</description> ! <displayName>Short Rate Models</displayName> ! <Functions> ! <Constructor name='qlHullWhite'> ! <libraryFunction>HullWhite</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='termStructure' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>YieldTermStructure</description> ! </Parameter> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>a</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlVasicek'> ! <libraryFunction>Vasicek</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='a'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>mean reverting speed</description> ! </Parameter> ! <Parameter name='b'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>short-rate limit value</description> ! </Parameter> ! <Parameter name='lambda'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk premium</description> ! </Parameter> ! <Parameter name='sigma'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>volatility</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** processes.xml 24 May 2006 14:59:43 -0000 1.2 --- processes.xml 14 Jun 2006 18:53:55 -0000 1.3 *************** *** 1,47 **** <Category name='processes'> ! <description>functions to construct QuantLib process objects</description> ! <displayName>Processes</displayName> ! <Functions> ! <Constructor name='qlGeneralizedBlackScholesProcess'> ! <libraryFunction>GeneralizedBlackScholesProcess</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='handleBlackVol' libraryClass='BlackVolTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle to a Black Vol Term Structure object</description> ! </Parameter> ! <Parameter name='underlying'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='riskFreeRate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk free rate</description> ! </Parameter> ! <Parameter name='dividendYield'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>dividend yield</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> - --- 1,46 ---- <Category name='processes'> ! <description>functions to construct QuantLib process objects</description> ! <displayName>Processes</displayName> ! <Functions> ! <Constructor name='qlGeneralizedBlackScholesProcess'> ! <libraryFunction>GeneralizedBlackScholesProcess</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='blackVolID' libraryClass='BlackVolTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Black Vol Term Structure</description> ! </Parameter> ! <Parameter name='underlying'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! <Parameter name='riskFreeRate'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>risk free rate</description> ! </Parameter> ! <Parameter name='dividendYield'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>dividend yield</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:34:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23737/gensrc/config Modified Files: config.xml Log Message: Bond refactoring Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** config.xml 12 Jun 2006 14:08:17 -0000 1.3 --- config.xml 14 Jun 2006 18:34:31 -0000 1.4 *************** *** 12,15 **** --- 12,16 ---- <categoryName>capfloor</categoryName> <categoryName>couponvectors</categoryName> + <categoryName>bonds</categoryName> <categoryName>date</categoryName> <categoryName>daycounter</categoryName> |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:34:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23737/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: Bond refactoring Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** Makefile.vc 13 Jun 2006 15:46:26 -0000 1.8 --- Makefile.vc 14 Jun 2006 18:34:31 -0000 1.9 *************** *** 7,11 **** SCRIPT=scripts\gensrc.py ! METADATA=metadata\calendar.xml \ metadata\capfloor.xml \ metadata\couponvectors.xml \ --- 7,13 ---- SCRIPT=scripts\gensrc.py ! METADATA= \ ! metadata\bonds.xml \ ! metadata\calendar.xml \ metadata\capfloor.xml \ metadata\couponvectors.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** gensrc_vc8.vcproj 12 Jun 2006 14:08:17 -0000 1.6 --- gensrc_vc8.vcproj 14 Jun 2006 18:34:31 -0000 1.7 *************** *** 55,58 **** --- 55,62 ---- > <File + RelativePath=".\metadata\bonds.xml" + > + </File> + <File RelativePath="metadata\calendar.xml" > |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:34:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23737/qlo Modified Files: .cvsignore couponvectors.hpp fixedcouponbond.cpp Added Files: bonds.cpp bonds.hpp Log Message: Bond refactoring Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** couponvectors.hpp 9 Jun 2006 18:58:47 -0000 1.3 --- couponvectors.hpp 14 Jun 2006 18:34:31 -0000 1.4 *************** *** 60,64 **** const std::vector<double> &nominals, const boost::shared_ptr < QuantLib::Xibor > &index, ! const std::vector<double> &spreads); virtual std::vector<std::vector<double> > getLeg(); --- 60,64 ---- 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(); --- NEW FILE: bonds.hpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Walter Penschke 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_bonds_hpp #define qla_bonds_hpp #include <qlo/baseinstruments.hpp> #include <qlo/xibor.hpp> namespace QuantLibAddin { class Bond : public Instrument { }; class ZeroCouponBond : public Bond { public: ZeroCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, const long settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention& convention, const double redemption, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure); }; class FixedCouponBond : public Bond { public: FixedCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, const long settlementDays, const std::vector<double>& coupons, const double redemption, const QuantLib::Frequency& frequency, const QuantLib::DayCounter& dayCounter, const QuantLib::BusinessDayConvention& accrualConvention, const QuantLib::BusinessDayConvention& paymentConvention, const QuantLib::Calendar& calendar, const bool startFromEnd, const bool longFinal, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure); }; } #endif --- NEW FILE: bonds.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Walter Penschke 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/bonds.hpp> #include <qlo/generalutils.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> #include <ql/Instruments/fixedcouponbond.hpp> #include <ql/Instruments/floatingratebond.hpp> #include <ql/Instruments/zerocouponbond.hpp> namespace QuantLibAddin { ZeroCouponBond::ZeroCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& maturityDate, const long settlementDays, const QuantLib::DayCounter& dayCounter, const QuantLib::Calendar& calendar, const QuantLib::BusinessDayConvention& convention, const double redemption, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure) { QuantLib::Handle<QuantLib::YieldTermStructure> ts(termStructure); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::ZeroCouponBond(issueDate, maturityDate, settlementDays, dayCounter, calendar, convention, redemption, ts)); } FixedCouponBond::FixedCouponBond( const QuantLib::Date& issueDate, const QuantLib::Date& datedDate, const QuantLib::Date& maturityDate, const long settlementDays, const std::vector<double>& coupons, const double redemption, const QuantLib::Frequency& frequency, const QuantLib::DayCounter& dayCounter, const QuantLib::BusinessDayConvention& accrualConvention, const QuantLib::BusinessDayConvention& paymentConvention, const QuantLib::Calendar& calendar, const bool startFromEnd, const bool longFinal, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure) { QuantLib::Handle<QuantLib::YieldTermStructure> ts(termStructure); libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::FixedCouponBond(issueDate, datedDate, maturityDate, settlementDays, coupons, frequency, calendar, dayCounter, accrualConvention, paymentConvention, redemption, ts, QuantLib::Date(), startFromEnd, longFinal)); } } Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** .cvsignore 8 Jun 2006 18:42:42 -0000 1.3 --- .cvsignore 14 Jun 2006 18:34:31 -0000 1.4 *************** *** 9,12 **** --- 9,13 ---- enumregistry.cpp qladdin.hpp + vo_bonds.*pp vo_calendar.*pp vo_capfloor.*pp *************** *** 14,18 **** vo_exercise.*pp vo_forwardrateagreement.*pp - vo_instruments.*pp vo_interpolation.*pp vo_ohfunctions.*pp --- 15,18 ---- Index: fixedcouponbond.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/fixedcouponbond.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** fixedcouponbond.cpp 9 Jun 2006 18:58:47 -0000 1.2 --- fixedcouponbond.cpp 14 Jun 2006 18:34:31 -0000 1.3 *************** *** 70,77 **** startFromEnd, longFinal ! #ifdef LOCAL_QL_PATCH ! , ! nominals // Not yet implemented in QL ! #endif )); } --- 70,76 ---- startFromEnd, longFinal ! #ifdef LOCAL_QL_PATCH ! , nominals // Not yet implemented in QL ! #endif )); } |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:34:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23737/gensrc/metadata Modified Files: instruments.xml swap.xml Added Files: bonds.xml Log Message: Bond refactoring Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** instruments.xml 13 Jun 2006 10:39:38 -0000 1.5 --- instruments.xml 14 Jun 2006 18:34:31 -0000 1.6 *************** *** 2,323 **** <description>functions to construct QuantLib instrument objects</description> <displayName>Instruments</displayName> - <includes> - <include>ql/Instruments/fixedcouponbond.hpp</include> - <include>qlo/vo_instruments.hpp</include> - <include>qlo/fixedcouponbond.hpp</include> - <include>qlo/zerocouponbond.hpp</include> - <include>qlo/termstructures.hpp</include> - </includes> <Functions> - <Member name='qlBondAccruedAmount' libraryClass='FixedCouponBond'> - <description>Accrued: If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>accruedAmount</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the accrual</description> - </ReturnValue> - </Member> - - <Member name='qlBondCleanPrice' libraryClass='FixedCouponBond'> - <description>If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>cleanPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='yield'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>bond yield</description> - </Parameter> - <Parameter name='compounding' enumeration='QuantLib::Compounding'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> - </Parameter> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the clean price</description> - </ReturnValue> - </Member> - - <Member name='qlBondDirtyPrice' libraryClass='FixedCouponBond'> - <description>dirty price: If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>dirtyPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='yield'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>bond yield</description> - </Parameter> - <Parameter name='compounding' enumeration='QuantLib::Compounding'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> - </Parameter> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the dirty price</description> - </ReturnValue> - </Member> - - <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> - <description>theoretical clean price: The default bond settlement is used for calculation.</description> - <libraryFunction>cleanPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dep tracking trigger</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the theoretical clean price</description> - </ReturnValue> - </Member> - - <Member name='qlBondThDirtyPrice' libraryClass='FixedCouponBond'> - <description>theoretical dirty price: The default bond settlement is used for calculation.</description> - <libraryFunction>dirtyPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dep tracking trigger</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the theoretical dirty price</description> - </ReturnValue> - </Member> - - <Member name='qlBondThYield' libraryClass='FixedCouponBond'> - <description>theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> - <libraryFunction>yield</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='Compounding' enumeration='QuantLib::Compounding'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> - </Parameter> - <Parameter name='trigger' ignore='true'> - <type>any</type> - <tensorRank>scalar</tensorRank> - <description>dep tracking trigger</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the theoretical yield</description> - </ReturnValue> - </Member> - - <Member name='qlBondYield' libraryClass='FixedCouponBond'> - <description>Yield: If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>yield</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='cleanPrice'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>Clean Price</description> - </Parameter> - <Parameter name='compounding' enumeration='QuantLib::Compounding'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> - </Parameter> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the dirty price</description> - </ReturnValue> - </Member> - - <Constructor name='qlFixedCouponBond'> - <libraryFunction>FixedCouponBond</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='issueDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>issue date</description> - </Parameter> - <Parameter name='firstCouponDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>first coupon date</description> - </Parameter> - <Parameter name='maturityDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>maturity date</description> - </Parameter> - <Parameter name='settlementDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement days</description> - </Parameter> - <Parameter name='coupons'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>coupons</description> - </Parameter> - <Parameter name='nominal'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>nominals</description> - </Parameter> - <Parameter name='Redemption'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>Redemption</description> - </Parameter> - <Parameter name='frequency' enumeration='QuantLib::Frequency'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>frequency ID</description> - </Parameter> - <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual365Fixed)</description> - </Parameter> - <Parameter name='accrualBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Accrual Business Day Convention (e.g. ModifiedFollowing)</description> - </Parameter> - <Parameter name='paymentBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Payment Business Day Convention (e.g. ModifiedFollowing)</description> - </Parameter> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> - <Parameter name='startFromEnd'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>build schedule backwards (start from maturity)</description> - </Parameter> - <Parameter name='longFinal'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>long first/last period</description> - </Parameter> - <Parameter name='DiscountCurve' default='""'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>handle of the Yield Curve used for discounting</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - - <Constructor name='qlZeroCouponBond'> - <libraryFunction>ZeroCouponBond</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='issueDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>issue date</description> - </Parameter> - <Parameter name='maturityDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>maturity date</description> - </Parameter> - <Parameter name='settlementDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement days</description> - </Parameter> - <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual365Fixed)</description> - </Parameter> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> - <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>BusinessDayConvention</description> - </Parameter> - <Parameter name='redemption'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>redemption</description> - </Parameter> - <Parameter name='handleZeroCurve' libraryClass='YieldTermStructure'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>handle of the Zero Curve object</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <Member name='qlNPV' libraryClass='Instrument'> <description>Returns Instrument's NPV</description> --- 2,8 ---- --- NEW FILE: bonds.xml --- <Category name='bonds'> <description>functions to construct QuantLib instrument objects</description> <displayName>Bonds</displayName> <includes> <include>ql/Instruments/fixedcouponbond.hpp</include> <include>ql/Instruments/zerocouponbond.hpp</include> <include>ql/Instruments/floatingratebond.hpp</include> <include>qlo/vo_bonds.hpp</include> <include>qlo/bonds.hpp</include> <include>qlo/termstructures.hpp</include> </includes> <Functions> <Member name='qlBondSettlementDate' libraryClass='Bond'> <description>Returns the settlement date of the bond.</description> <libraryFunction>settlementDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>The settlement date of the bond</description> </ReturnValue> </Member> <Member name='qlBondCleanPrice' libraryClass='Bond'> <description>If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='yield'> <type>double</type> <tensorRank>scalar</tensorRank> <description>bond yield</description> </Parameter> <Parameter name='compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the clean price</description> </ReturnValue> </Member> <Member name='qlBondDirtyPrice' libraryClass='Bond'> <description>dirty price: If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='yield'> <type>double</type> <tensorRank>scalar</tensorRank> <description>bond yield</description> </Parameter> <Parameter name='compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the dirty price</description> </ReturnValue> </Member> <Member name='qlBondThDirtyPrice' libraryClass='Bond'> <description>theoretical dirty price: The default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the theoretical dirty price</description> </ReturnValue> </Member> <Member name='qlBondYield' libraryClass='Bond'> <description>Yield: If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='cleanPrice'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Clean Price</description> </Parameter> <Parameter name='compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the dirty price</description> </ReturnValue> </Member> <Member name='qlBondAccruedAmount' libraryClass='Bond'> <description>Accrued: If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>accruedAmount</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the accrual</description> </ReturnValue> </Member> <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> <description>theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the theoretical clean price</description> </ReturnValue> </Member> <Member name='qlBondThYield' libraryClass='FixedCouponBond'> <description>theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='Compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the theoretical yield</description> </ReturnValue> </Member> <Constructor name='qlFixedCouponBond'> <libraryFunction>FixedCouponBond</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>issue date</description> </Parameter> <Parameter name='firstCouponDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>first coupon date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity date</description> </Parameter> <Parameter name='settlementDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement days</description> </Parameter> <Parameter name='coupons'> <type>double</type> <tensorRank>vector</tensorRank> <description>coupons</description> </Parameter> <Parameter name='Redemption'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Redemption</description> </Parameter> <Parameter name='frequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>frequency ID</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='accrualBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Accrual Business Day Convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='paymentBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Payment Business Day Convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='startFromEnd'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>build schedule backwards (start from maturity)</description> </Parameter> <Parameter name='longFinal'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>long first/last period</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>discounting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlZeroCouponBond'> <libraryFunction>ZeroCouponBond</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>issue date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity date</description> </Parameter> <Parameter name='settlementDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement days</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>BusinessDayConvention</description> </Parameter> <Parameter name='redemption'> <type>double</type> <tensorRank>scalar</tensorRank> <description>redemption</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>discounting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** swap.xml 6 Jun 2006 19:53:15 -0000 1.5 --- swap.xml 14 Jun 2006 18:34:31 -0000 1.6 *************** *** 22,26 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to discounting term structure</description> </Parameter> </Parameters> --- 22,26 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> </Parameters> |
