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From: Ferdinando A. <na...@us...> - 2006-06-14 18:34:35
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23737 Modified Files: QuantLibObjects_vc8.vcproj todo.csv todonando.txt Log Message: Bond refactoring Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** todonando.txt 13 Jun 2006 18:56:56 -0000 1.8 --- todonando.txt 14 Jun 2006 18:34:31 -0000 1.9 *************** *** 1,2 **** --- 1,3 ---- + CHANGELOG FROM MY HOME PC DESIGN *************** *** 4,7 **** --- 5,9 ---- - stubs in QuantLibObject - enforce version number check + - use QL folder structure in QLA GENSRC *************** *** 22,27 **** indice vero se si vuole intercettare il fixing delle 11:00 - esporre un metodo add fixing per l'indice - - generic ForwardSpreadedYieldCurve (spread term structure) - - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve - InterpolatedYieldTermStructure<Discount,LogLinear> - generic LinearInterpolation using LinearInterpolationType enum --- 24,27 ---- *************** *** 29,32 **** --- 29,34 ---- - pass optimization method to SABR - interpolation error in SABR + - generic ForwardSpreadedYieldCurve (spread term structure) + - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve PIECEWISEYIELDCURVE *************** *** 51,54 **** --- 53,58 ---- - loop parameters - is it possible to create joint calendar on a fly using an array of string input? + - more calendar drop down cell menu + - add/remove holidays example DAYCOUNTER *************** *** 84,88 **** SPREADSHEETS ! - use Period instead of unit, timeUnit - signed spreadsheet and macro - normsdist bug --- 88,92 ---- SPREADSHEETS ! - use Period instead of (unit, timeUnit) - signed spreadsheet and macro - normsdist bug *************** *** 94,97 **** --- 98,102 ---- - esporre Index invece che Xibor - creare EURIBOR3M indexes + - possono mancare i fixings in un seasoned swap COUPON Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** QuantLibObjects_vc8.vcproj 12 Jun 2006 14:08:17 -0000 1.12 --- QuantLibObjects_vc8.vcproj 14 Jun 2006 18:34:31 -0000 1.13 *************** *** 339,342 **** --- 339,346 ---- </File> <File + RelativePath=".\qlo\bonds.cpp" + > + </File> + <File RelativePath="qlo\calendar.cpp" > *************** *** 379,386 **** </File> <File - RelativePath="qlo\fixedcouponbond.cpp" - > - </File> - <File RelativePath=".\qlo\forwardrateagreement.cpp" > --- 383,386 ---- *************** *** 443,446 **** --- 443,450 ---- </File> <File + RelativePath=".\qlo\vo_bonds.cpp" + > + </File> + <File RelativePath="qlo\vo_calendar.cpp" > *************** *** 463,470 **** </File> <File - RelativePath="qlo\vo_instruments.cpp" - > - </File> - <File RelativePath="qlo\vo_interpolation.cpp" > --- 467,470 ---- *************** *** 518,525 **** > </File> - <File - RelativePath="qlo\zerocouponbond.cpp" - > - </File> </Filter> <Filter --- 518,521 ---- *************** *** 544,547 **** --- 540,547 ---- </File> <File + RelativePath=".\qlo\bonds.hpp" + > + </File> + <File RelativePath="qlo\calendar.hpp" > *************** *** 576,583 **** </File> <File - RelativePath="qlo\fixedcouponbond.hpp" - > - </File> - <File RelativePath=".\qlo\forwardrateagreement.hpp" > --- 576,579 ---- *************** *** 668,671 **** --- 664,671 ---- </File> <File + RelativePath=".\qlo\vo_bonds.hpp" + > + </File> + <File RelativePath="qlo\vo_calendar.hpp" > *************** *** 688,695 **** </File> <File - RelativePath="qlo\vo_instruments.hpp" - > - </File> - <File RelativePath="qlo\vo_interpolation.hpp" > --- 688,691 ---- *************** *** 743,750 **** > </File> - <File - RelativePath="qlo\zerocouponbond.hpp" - > - </File> </Filter> </Files> --- 739,742 ---- Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** todo.csv 9 Jun 2006 18:58:47 -0000 1.12 --- todo.csv 14 Jun 2006 18:34:31 -0000 1.13 *************** *** 1,115 **** ! "project","subproject","task","status","priority","comp date","comment" ! ,,,,,, ! "OH","Design","""singleton"" objects loaded at startup, static handle Calendars, Indexes","in progress",2,,"lazy instantiation?" ! "QLA","Design","implement XIBOR etc as singleton objects expose public interface QL changes required",,1,, ! "OH","Design"," permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC()","in progress",2,, ! "QLA","General Support","getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT","done",3,09/06/2006,"consolidate code for returning object references" ! "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","done",1,,"represent stateful objects as singletons rather than Enumerations?" ! ,,,,,, ! "QLA","Design","revise code for Interpolation, and allow user to provide an enumeration indicating the desired class",,1,, ! "QLA","Design","yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template",,1,, ! "QLA","Design","support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required",,1,, ! "QLA","Design","use ""instanceName"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",1,,"use id instead of instance name ???" ! "OH","Design","if user supplies handle stub he must ensure it's unique / link handle stub to calling cell (?)","done",1,05/31/2006, ! ,,,,,, ! "OH","Design","""reflection"" - support member functions dynamically",,3,, ! "OH","Design","update design doc",,3,, ! "OH","Design","allow objects to be grouped",,3,, ! "OH","Functions","ohPack() - resolve flags and values",,1,, ! "QLA","Design","discontinue support for VC6","in progress",3,, ! "QLA","Design","Sessions: instead of using workbook as session, allow user to specify session number",,,, ! "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly",,1,, ! "QLA","Design","#include fewer headers to speed compilation",,2,, ! "QLA","Design","in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,2,, ! "QLA","Design","use Excel SmartTags to allow interrogation of objects",,3,, ! "QLA","Design","improve formatting of log messages",,3,, ! "QLA","Design","transfer qla/typefactory.hpp, qla/typeregistry to ObjectHandler?",,,, ! "QLA","Docs","autogenerate documentation for datatype and default value",,2,, ! "QLA","Docs","provide more descriptive explanations of input/output parameters",,2,, ! "QLA","Docs","examples in Technical Documentation relate to Functional",,,,"?" ! "QLA","Enumerations","is Convention an enumeration?",,2,, ! "QLA","Enumerations","add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,2,, ! "QLA","Enumerations","qlListEnum() - single return value gets repeated in calling range force scalar to be returned as vector",,,,"is there an example of an enum list containing 1 item?" ! "QLA","Enumerations","take enumeration description from metadata",,,, ! "QLA","Excel binding","categorize function names in Excel Function Wizard","on hold",2,"20/04/2006","conflict with Adfin addin" ! "QLA","Excel binding","gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard",,2,,"also required for ctors otherwise GC breaks" ! "QLA","Functions","port old QLXL functionality into new QLXL",,2,, ! "QLA","Functions","qlGetFixLeg() to provide column headers in output",,3,, ! "QLA","Functions","qlCompiler() to return info on version and configuration of compiler used to build QLA ?",,,, ! "QLA","General Support","C++ examples - add VOs, NPV calculations",,3,, ! "QLA","gensrc","replace Serializer class with Reader class since we will never DeSerialize anything",,3,, ! "QLA","gensrc","extend rule.py to support conversion of Guile datatypes",,3,, ! "QLA","gensrc","Provide schema for XML",,3,, ! "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,3,, ! "QLA","VBA framework","design for real-time live feed",,2,, ! "QLA","VBA framework","interrogate object repository",,2,,"Plamen?" ! "QLA","VBA framework","network launcher for VBA framework - to point to different environments / configuration files",,2,, ! "QLA","VBA framework","access logfile",,3,, ! "QLA","VBA framework","menu options to load/unload XLL implement as toggle",,,, ! "QLA","Xibor","get/set fixing for given date",,2,,"?" ! ,,,,,, ! "OH","Design","class FunctionCall - streamline initialization - ""xltypeUninitialized""","done",,01/05/2006, ! "OH","Design","in objecthandlerxl.cpp replace bespoke parsing w/boost regexes","done",3,"26/04/2006", ! "OH","Design","ohxll project mistakenly picking up autolink.hpp","done",3,"27/04/2006", ! "OH","Design","functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()","done",,07/05/2006, ! "OH","Design","support for retrieval of undecorated handles","done",1,"30/04/2006","fix non-excel platforms" ! "OH","Design","std::exception -> ObjHandler::Exception","done",3,"26/04/2006", ! "OH","Design","class FunctionCall to encapsulate function state","done",2,"26/04/2006", ! "OH","Design","include cell address in error message?","done",3,01/05/2006, ! "OH","Functions","ohDependsOn() - fails if input range is nonexistent","cancelled",,,"seems to have resolved itself?" ! "OH","Functions","ohHandleList() to support regexes","done",2,"26/04/2006","renamed to ohListInstanceNames()" ! "OH","Functions","ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list","done",1,"18/5/2006", ! "OH","Functions","ohDependsOn() - return counter (#/recalcs) per instance","done",,"18/5/2006", ! "OH","Functions","remove EO macro / function","done",3,"21/04/2006", ! "OH","Functions","ohListInstanceNames() is broken in utilities.xls?","done",1,,"looks OK now?" ! "QLA","Design","FuturesRateHelper returns incorrect latestDate","cancelled",,,"it works OK" ! "QLA","Design","check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps","cancelled",,01/05/2006,"it doesn't" ! "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done",3,05/08/2006, ! "QLA","Design","gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()","done",1,"28/04/2006","always ignore errors (no flag)" ! "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,"23/05/2006", ! "QLA","Design","move Procedure functions to QuantLibFunctions","done",1,"30/04/2006","this change will probably be reversed" ! "QLA","Design","export IMM dates e.g. H7 -> date","done",,, ! "QLA","Design","Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)","done",,"28/04/2006", ! "QLA","Design","if input vector contains mix of #VALUES and valid numbers - return vector should correspond","done",2,"28/04/2006","also wraps QL function in try/catch" ! "QLA","Design","match QLA function names to underlying QL function names","done",,"27/04/2006", ! "QLA","Docs","qlXibor() - description of 2nd parameter incorrect","done",,"21/04/2006", ! "QLA","Docs","installation - refer to Release build not Debug","done",3,"21/04/2006", ! "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled",3,, ! "QLA","Enumerations","add support for abbreviations","cancelled",2,"21/04/2006","not required because of right-click menu" ! "QLA","Enumerations","qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled)","done",,"18/5/2006","retaining original sequence requires design change" ! "QLA","Excel binding","XLL description in Addin manager","cancelled",,"20/04/2006","not supported by Excel C API" ! "QLA","Excel binding","automatically name calling cell","cancelled",,"20/04/2006","not supported by Excel C API" ! "QLA","Functions","qlPiecewiseFlatForward() - don't reset eval date","done",2,"26/04/2006", ! "QLA","Functions","YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime","done",1,"27/04/2006", ! "QLA","Functions","modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern","done",,, ! "QLA","Functions","add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value","done",,08/05/2006, ! "QLA","Functions","qlGetDf() to return vector","done",2,"21/04/2006","renamed to qlDiscount()" ! "QLA","Functions","latestDate() for RateHelpers","done",1,"26/04/2006", ! "QLA","Functions","qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error","done",1,"18/5/2006", ! "QLA","General Support","Session functionality crashes QLA if active book named Book1.XLS","done",2,08/05/2006, ! "QLA","General Support","upgrade Calc addin to OOo 2 / VC 7","done",3,"28/04/2006","thanks to Joe Byers" ! "QLA","General Support","try removing redundant (?) FileConfiguration info from *.vcproj files","done",,03/05/2006, ! "QLA","General Support","revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user","done",,, ! "QLA","General Support","sort out RandomSequenceGenerator","done",,"19/04/2006", ! "QLA","General Support","upgrade to latest CVS snapshot of QL","done",,"19/04/2006", ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, gensrc, QLA, QLXL","done",3,"19/5/2006", ! "QLA","gensrc","allow for comments in XML (ignore '#comment' nodes)","cancelled",3,,"already works OK" ! "QLA","gensrc","remove redundant XML tag getObject='true' for Member functions","cancelled",,"26/04/2006","the tag is in use" ! "QLA","gensrc","category metadata list of <includes> - only first item in list is processed","done",,06/05/2006, ! "QLA","gensrc","add support for QuantLib::Date as datatype of return value","done",,"26/04/2006", ! "QLA","gensrc","generate summary of files created/updated/changed per platform","done",3,"30/04/2006", ! "QLA","gensrc","add support for vector of QuantLib::Dates as input parameter","done",,06/05/2006, ! "QLA","gensrc","fix typo in Xibor - qlSobolRsg","done",,"26/04/2006", ! "QLA","gensrc","autogenerate source for Members which loop on input param","done",,"28/04/2006", ! "QLA","gensrc","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,"23/5/2006", ! "QLA","gensrc","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","done",3,"23/5/2006", ! "QLA","VBA framework","load XLLs","done",1,05/05/2006, ! "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,"18/04/2006", ! "QLA","VBA framework","skeleton structure","done",,"18/04/2006", ! "QLA","VBA framework","create trade/market workbooks from templates","done",1,05/05/2006, ! "QLA","VBA framework","QuantLibAddin menu for Excel","done",,"18/04/2006", ! "QLA","Workstation Document","explanation of runtime libraries","done",2,"21/04/2006", ! "QLA","Workstation Document","explanation of VC workspace naming convention / _vc8.sln","done",2,"21/04/2006", ! "QLA","Workstation Document","document use of Addin Manager","done",2,"28/04/2006", ! "QLA","Workstation Document","document build for Boost, QuantLibFunctions","done",,"28/04/2006", ! "QLA","Workstation Document","incorporate other feedback from Nando and Katiuscia","done",,"28/04/2006", --- 1,115 ---- ! project,subproject,task,status,priority,comp date,comment ! ! OH,Design,"""singleton"" objects loaded at startup, static handle Calendars, Indexes",canceled,2,,lazy instantiation? ! QLA,Design,expose INDEX public interface instead of XIBOR QL changes required,,1,, ! OH,Design, permanent objects objects which aren't deleted by ohDeleteObject()/ohDeleteAllObjects()/ohCallGC(),in progress,2,, ! QLA,General Support,getReference/OH_GET_OBJECT/OH_GET_REFERENCE vs getObject/EXPORT_UNDERLYING_OBJECT,done,3,9/6/2006,consolidate code for returning object references ! QLA,Enumerations,"add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter",done,1,,represent stateful objects as singletons rather than Enumerations? ! ! QLA,Design,"revise code for Interpolation, and allow user to provide an enumeration indicating the desired class",,0,, ! QLA,Design,yieldTermStructure user supplies two Enumerations - autogenerate nested select to instantiate indicated template,,0,, ! QLA,Design,support for QuantLib::Handle give Excel user the ability to create a Handle and relink it as required,,0,, ! QLA,Design,"use ""objectID"" instead of ""handle"" required to avoid confusion with QuantLib::Handle",in progress,1,,use id instead of instance name ??? ! OH,Design,if user supplies objectID stub he must ensure it's unique / link objectID stub to calling cell (?),done,1,5/31/2006, ! ! OH,Design,"""reflection"" - support member functions dynamically",,3,, ! OH,Design,update design doc,,3,, ! OH,Design,allow objects to be grouped,,3,, ! OH,Functions,ohPack() - resolve flags and values,,1,, ! QLA,Design,discontinue support for VC6,in progress,3,, ! QLA,Design,"Sessions: instead of using workbook as session, allow user to specify session number",,3,, ! QLA,Design,detect if calling range is row-wise / column-wise - format return vector accordingly,done,1,, ! QLA,Design,#include fewer headers to speed compilation,,2,, ! QLA,Design,"in header files check all version numbers: boost, QuantLib, log4cxx, ObjectHandler, QuantLibObjects",,2,, ! QLA,Design,use Excel SmartTags to allow interrogation of objects,,3,, ! QLA,Design,improve formatting of log messages,,3,, ! QLA,Design,"transfer qla/typefactory.hpp, qla/typeregistry to ObjectHandler?",,,, ! QLA,Docs,autogenerate documentation for datatype and default value,,2,, ! QLA,Docs,provide more descriptive explanations of input/output parameters,,2,, ! QLA,Docs,examples in Technical Documentation relate to Functional,,,,? ! QLA,Enumerations,is Convention an enumeration?,,2,, ! QLA,Enumerations,"add support for description e.g. Nullcalendar, DayCounter::NoFrequency, DayCounter::Simple",,2,, ! QLA,Enumerations,single return value gets repeated in calling range force scalar to be returned as vector,,,,is there an example of an enum list containing 1 item? ! QLA,Enumerations,take enumeration description from metadata,,,, ! QLA,Excel binding,categorize function names in Excel Function Wizard,on hold,1,20/04/2006,conflict with Adfin addin ! QLA,Excel binding,"gensrc function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard",,1,,also required for ctors otherwise GC breaks ! QLA,Functions,port old QLXL functionality into new QLXL,,2,, ! QLA,Functions,qlSwapLegAnalysis() to provide column headers in output,,3,, ! QLA,Functions,qlCompiler() to return info on version and configuration of compiler used to build QLA ?,,,, ! QLA,General Support,"C++ examples - add VOs, NPV calculations",,3,, ! QLA,gensrc,replace Serializer class with Reader class since we will never DeSerialize anything,,3,, ! QLA,gensrc,extend rule.py to support conversion of Guile datatypes,,3,, ! QLA,gensrc,Provide schema for XML,,3,, ! QLA,ValueObjects,"dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,3,, ! QLA,VBA framework,design for real-time live feed,,2,, ! QLA,VBA framework,interrogate object repository,,2,,Plamen? ! QLA,VBA framework,network launcher/updater for VBA framework - to point to different environments / configuration files,,1,, ! QLA,VBA framework,access logfile,,3,, ! QLA,VBA framework,menu options to load/unload XLL/XLA implement as toggle,in progress,,, ! QLA,INDEX,get/set fixing for given date,,2,,? ! ! OH,Design,"class FunctionCall - streamline initialization - ""xltypeUninitialized""",done,,1/5/2006, ! OH,Design,in objecthandlerxl.cpp replace bespoke parsing w/boost regexes,done,3,26/04/2006, ! OH,Design,ohxll project mistakenly picking up autolink.hpp,done,3,27/04/2006, ! OH,Design,"functions returning empty vector: display #NUM, not 0, in calling cell e.g. getHolidayList()",done,,7/5/2006, ! OH,Design,support for retrieval of undecorated handles,done,1,30/04/2006,fix non-excel platforms ! OH,Design,std::exception -> ObjHandler::Exception,done,3,26/04/2006, ! OH,Design,class FunctionCall to encapsulate function state,done,2,26/04/2006, ! OH,Design,include cell address in error message?,done,3,1/5/2006, ! OH,Functions,ohDependsOn() - fails if input range is nonexistent,cancelled,,,seems to have resolved itself? ! OH,Functions,ohHandleList() to support regexes,done,2,26/04/2006,renamed to ohListInstanceNames() ! OH,Functions,ohListInstanceNames() - 1) regex bug e.g. EUR.*D malfunctions 2) sort return list,done,1,18/5/2006, ! OH,Functions,ohDependsOn() - return counter (#/recalcs) per instance,done,,18/5/2006, ! OH,Functions,remove EO macro / function,done,3,21/04/2006, ! OH,Functions,ohListInstanceNames() is broken in utilities.xls?,done,1,,looks OK now? ! QLA,Design,FuturesRateHelper returns incorrect latestDate,cancelled,,,it works OK ! QLA,Design,check whether catch(...) catches unhandled exceptions from QL e.g. negative timesteps,cancelled,,1/5/2006,it doesn't ! QLA,Design,in session.cpp replace bespoke parsing with boost::regex,done,3,5/8/2006, ! QLA,Design,"gensrc flag ""ignoreError"" (default T) invoke function even if some inputs invalid e.g. qlMidEquivalent()",done,1,28/04/2006,always ignore errors (no flag) ! QLA,Design,move all Create<>s from qla/*.?pp into autogenerated addin code,done,,23/05/2006, ! QLA,Design,move Procedure functions to QuantLibFunctions,done,1,30/04/2006,this change will probably be reversed ! QLA,Design,export IMM dates e.g. H7 -> date,done,,, ! QLA,Design,"Autogenerate source for funcs accepting vector input (qlForwardRate, qlDiscount, etc.)",done,,28/04/2006, ! QLA,Design,if input vector contains mix of #VALUES and valid numbers - return vector should correspond,done,2,28/04/2006,also wraps QL function in try/catch ! QLA,Design,match QLA function names to underlying QL function names,done,,27/04/2006, ! QLA,Docs,qlXibor() - description of 2nd parameter incorrect,done,,21/04/2006, ! QLA,Docs,installation - refer to Release build not Debug,done,3,21/04/2006, ! QLA,Enumerations,"if string name omitted from XML, use class name as default",cancelled,3,, ! QLA,Enumerations,add support for abbreviations,cancelled,2,21/04/2006,not required because of right-click menu ! QLA,Enumerations,qlListEnum() - return enumerations in mixed case (and in original sequence ??? - cancelled),done,,18/5/2006,retaining original sequence requires design change ! QLA,Excel binding,XLL description in Addin manager,cancelled,,20/04/2006,not supported by Excel C API ! QLA,Excel binding,automatically name calling cell,cancelled,,20/04/2006,not supported by Excel C API ! QLA,Functions,qlPiecewiseFlatForward() - don't reset eval date,done,2,26/04/2006, ! QLA,Functions,YieldTermStructure iface - ZeroRate/Discount/ForwardRate/ParRate/MaxDate/MaxTime,done,1,27/04/2006, ! QLA,Functions,modify qlPiecewiseFlatForward() to call alternate QL ctor (calendar/# days) - Observer pattern,done,,, ! QLA,Functions,add support for QL Joint Calendar class. inputs: 1) vector of strings (calendar names) 2) AND/OR value,done,,8/5/2006, ! QLA,Functions,qlGetDf() to return vector,done,2,21/04/2006,renamed to qlDiscount() ! QLA,Functions,latestDate() for RateHelpers,done,1,26/04/2006, ! QLA,Functions,qlMid() - returns DBL_MIN when all inputs are #VALUE should return #NULL & log error,done,1,18/5/2006, ! QLA,General Support,Session functionality crashes QLA if active book named Book1.XLS,done,2,8/5/2006, ! QLA,General Support,upgrade Calc addin to OOo 2 / VC 7,done,3,28/04/2006,thanks to Joe Byers ! QLA,General Support,try removing redundant (?) FileConfiguration info from *.vcproj files,done,,3/5/2006, ! QLA,General Support,revise NSIS uninstaller: uninstall released files whether modified or not; don't uninstall new files created by user,done,,, ! QLA,General Support,sort out RandomSequenceGenerator,done,,19/04/2006, ! QLA,General Support,upgrade to latest CVS snapshot of QL,done,,19/04/2006, ! QLA,QuantLibXL,"separate SourceForge projects/websites for OH, gensrc, QLA, QLXL",done,3,19/5/2006, ! QLA,gensrc,allow for comments in XML (ignore '#comment' nodes),cancelled,3,,already works OK ! QLA,gensrc,remove redundant XML tag getObject='true' for Member functions,cancelled,,26/04/2006,the tag is in use ! QLA,gensrc,category metadata list of <includes> - only first item in list is processed,done,,6/5/2006, ! QLA,gensrc,add support for QuantLib::Date as datatype of return value,done,,26/04/2006, ! QLA,gensrc,generate summary of files created/updated/changed per platform,done,3,30/04/2006, ! QLA,gensrc,add support for vector of QuantLib::Dates as input parameter,done,,6/5/2006, ! QLA,gensrc,fix typo in Xibor - qlSobolRsg,done,,26/04/2006, ! QLA,gensrc,autogenerate source for Members which loop on input param,done,,28/04/2006, ! QLA,gensrc,"add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.",done,,23/5/2006, ! QLA,gensrc,call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?,done,3,23/5/2006, ! QLA,VBA framework,load XLLs,done,1,5/5/2006, ! QLA,VBA framework,right click in cell to create enumeration drop down list,done,,18/04/2006, ! QLA,VBA framework,skeleton structure,done,,18/04/2006, ! QLA,VBA framework,create trade/market workbooks from templates,done,1,5/5/2006, ! QLA,VBA framework,QuantLibAddin menu for Excel,done,,18/04/2006, ! QLA,Workstation Document,explanation of runtime libraries,done,2,21/04/2006, ! QLA,Workstation Document,explanation of VC workspace naming convention / _vc8.sln,done,2,21/04/2006, ! QLA,Workstation Document,document use of Addin Manager,done,2,28/04/2006 ! QLA,Workstation Document,"document build for Boost, QuantLibFunctions",done,,28/04/2006 ! QLA,Workstation Document,incorporate other feedback from Nando and Katiuscia,done,,28/04/2006 |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:16:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14632/qlo Modified Files: swap.cpp Log Message: Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** swap.cpp 11 Jun 2006 12:38:33 -0000 1.6 --- swap.cpp 14 Jun 2006 18:16:45 -0000 1.7 *************** *** 36,39 **** --- 36,40 ---- const CashFlowVector& paidLeg = paidLegWrapper->getVector(); const CashFlowVector& recvLeg = recvLegWrapper->getVector(); + QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:16:26
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14552/qlo Modified Files: interpolation.hpp Log Message: Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** interpolation.hpp 13 Jun 2006 18:56:56 -0000 1.6 --- interpolation.hpp 14 Jun 2006 18:16:20 -0000 1.7 *************** *** 22,26 **** #include <ql/Math/linearinterpolation.hpp> #include <ql/Math/cubicspline.hpp> - #include <ql/Math/sabrinterpolation.hpp> #include <ql/Math/matrix.hpp> --- 22,25 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:15:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14085/gensrc/metadata Modified Files: interpolation.xml Log Message: in synch with QL Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** interpolation.xml 14 Jun 2006 15:11:23 -0000 1.7 --- interpolation.xml 14 Jun 2006 18:15:24 -0000 1.8 *************** *** 2,20 **** <description>functions to carry out interpolations</description> <displayName>Interpolation</displayName> ! <!--includes> <include>ql/Math/sabrinterpolation.hpp</include> ! </includes--> <Functions> ! <!--Member name='qlExtrapolatorFlag' libraryClass='Extrapolator'> ! <description>Sets the global default extrapolation flag</description> ! <libraryFunction>setExtrapolationFlag</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='extrapolationFlag'> <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>global default extrapolation flag</description> </Parameter> </Parameters> --- 2,22 ---- <description>functions to carry out interpolations</description> <displayName>Interpolation</displayName> ! <includes> ! <include>qlo/interpolation.hpp</include> ! <include>qlo/vo_interpolation.hpp</include> <include>ql/Math/sabrinterpolation.hpp</include> ! </includes> <Functions> ! <Member name='qlEnableExtrapolation' libraryClass='Extrapolator'> ! <description>Sets the enable extrapolation flag</description> ! <libraryFunction>enableExtrapolation</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='extrapolationFlag' default='true'> <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>global extrapolation flag</description> </Parameter> </Parameters> *************** *** 25,29 **** <description>SUCCESS/FAILURE</description> </ReturnValue> ! </Member--> <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> --- 27,31 ---- <description>SUCCESS/FAILURE</description> </ReturnValue> ! </Member> <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> |
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From: Ferdinando A. <na...@us...> - 2006-06-14 18:14:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13380/gensrc/config Modified Files: excel.xml Log Message: QuantLib::Spread implicit conversion added Index: excel.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/excel.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** excel.xml 9 Jun 2006 15:04:28 -0000 1.2 --- excel.xml 14 Jun 2006 18:14:04 -0000 1.3 *************** *** 10,13 **** --- 10,14 ---- <implicitConversion>QuantLib::DiscountFactor</implicitConversion> <implicitConversion>QuantLib::Rate</implicitConversion> + <implicitConversion>QuantLib::Spread</implicitConversion> <implicitConversion>QuantLib::Volatility</implicitConversion> <implicitConversion>QuantLib::Time</implicitConversion> |
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From: Eric E. <eri...@us...> - 2006-06-14 15:11:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28214/gensrc/metadata Modified Files: interpolation.xml Log Message: comment out unsupported function Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** interpolation.xml 13 Jun 2006 18:56:56 -0000 1.6 --- interpolation.xml 14 Jun 2006 15:11:23 -0000 1.7 *************** *** 7,11 **** <Functions> ! <Member name='qlExtrapolatorFlag' libraryClass='Extrapolator'> <description>Sets the global default extrapolation flag</description> <libraryFunction>setExtrapolationFlag</libraryFunction> --- 7,11 ---- <Functions> ! <!--Member name='qlExtrapolatorFlag' libraryClass='Extrapolator'> <description>Sets the global default extrapolation flag</description> <libraryFunction>setExtrapolationFlag</libraryFunction> *************** *** 25,29 **** <description>SUCCESS/FAILURE</description> </ReturnValue> ! </Member> <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> --- 25,29 ---- <description>SUCCESS/FAILURE</description> </ReturnValue> ! </Member--> <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> |
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From: Ferdinando A. <na...@us...> - 2006-06-13 18:57:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28291 Modified Files: todonando.txt Log Message: exported: 1) SABR full interface 2) Extrapolator interface Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** todonando.txt 11 Jun 2006 13:39:19 -0000 1.7 --- todonando.txt 13 Jun 2006 18:56:56 -0000 1.8 *************** *** 4,33 **** - stubs in QuantLibObject - enforce version number check - - adoppt $(ConfigurationName) in *vc8.proj files - - QUANTLIBXL - - merge old QuantLibXL functions ! BUG ! - verificare funzionamento foglio holidays.xls ! ! VBA Framework ! - inserire nel Menu una Entry per Open in folder Workbooks QuantLib - chiarire enumeration SimpleThenCompounded (SimpleUpTo1YThenCompounded) - robustMid ! ! LUIGI ! - DateProxy? - should InterpolatedDiscountCurve, InterpolatedZeroCurve, and InterpolatedForwardCurve inherit from an InterpolatedCurve class? I need all three and PiecewiseYieldCurve to expose the underlying grid and the underlying _discount_ grid - - come esporre un metodo add fixing per l'indice ! PICEWISEYIELDCURVE - lo swapratehelper non puo' avere uno swap_ con un dummy index dentro, ma un indice vero se si vuole intercettare il fixing delle 11:00 - conv adj dei futures - turn of year --- 4,35 ---- - stubs in QuantLibObject - enforce version number check ! GENSRC ! - include directive (see interpolation.xml) ! - copyright on autogenerated files QuantLib - chiarire enumeration SimpleThenCompounded (SimpleUpTo1YThenCompounded) - robustMid ! # DateProxy? - should InterpolatedDiscountCurve, InterpolatedZeroCurve, and InterpolatedForwardCurve inherit from an InterpolatedCurve class? I need all three and PiecewiseYieldCurve to expose the underlying grid and the underlying _discount_ grid ! LUIGI - lo swapratehelper non puo' avere uno swap_ con un dummy index dentro, ma un indice vero se si vuole intercettare il fixing delle 11:00 + - esporre un metodo add fixing per l'indice + - generic ForwardSpreadedYieldCurve (spread term structure) + - bootstrap ForwardSpreadedYieldCurve using its own ratehelpers and a base curve + - InterpolatedYieldTermStructure<Discount,LogLinear> + - generic LinearInterpolation using LinearInterpolationType enum + - const OptimizationMethod? + - pass optimization method to SABR + - interpolation error in SABR + + PIECEWISEYIELDCURVE + - FRARateHelper deve avere dentro in FRA Instrument - conv adj dei futures - turn of year *************** *** 37,41 **** - export discount,loglinear selection - add period support as input parameter ! - export to Excel method overload DATE --- 39,45 ---- - export discount,loglinear selection - add period support as input parameter ! - bootstrap ForwardSpreadedYieldCurve ! - costruttore delle curve che accetta griglia di discount e griglia di zero InterestRate ! - InterpolatedYieldTermStructure<Discount,Compounding,LogLinear> DATE *************** *** 46,63 **** - use period instead of (n, timeUnit) - loop parameters - - hot to use joint calendar - is it possible to create joint calendar on a fly using an array of string input? - - what happen if the user join identical calendars? DAYCOUNTER - default parameter? - loop parameters SWAP - extend floatingRateCouponVector to handle alfa and beta - implement fair rate for floating/fixed rate vector - - bootstrap senza dummy fixing - trigger swap check calculation INSTALLER - Excel must be closed --- 50,72 ---- - use period instead of (n, timeUnit) - loop parameters - is it possible to create joint calendar on a fly using an array of string input? DAYCOUNTER - default parameter? - loop parameters + - why DayCounter::method is not static? (because they're virtual?) SWAP - extend floatingRateCouponVector to handle alfa and beta - implement fair rate for floating/fixed rate vector - trigger swap check calculation + FRA + - use Index + + BOOST + - use ublas + - use random number generators + INSTALLER - Excel must be closed *************** *** 65,78 **** INTERPOLATION - - why iterators instead of const std::vector<>& - - use linear interpolation type enumeration in XL - SABR verification - - constructor extrapolation flag is unused - add SABR factory - spostare vecchi spreadsheets interpolazione SPREADSHEETS - signed spreadsheet and macro - - testare perche' non funziona con due curve (es EURYC, EURYC2) - normsdist bug --- 74,89 ---- INTERPOLATION - SABR verification - add SABR factory - spostare vecchi spreadsheets interpolazione + QUANTLIBXL + - merge old QuantLibXL functions + + VBA Framework + SPREADSHEETS + - use Period instead of unit, timeUnit - signed spreadsheet and macro - normsdist bug *************** *** 80,87 **** - trigger a tempo - PROJECT ADMIN - - add developers - XIBOR - esporre Index invece che Xibor - creare EURIBOR3M indexes --- 91,101 ---- - trigger a tempo XIBOR - esporre Index invece che Xibor - creare EURIBOR3M indexes + + COUPON + - refactoring + + SCHEDULE + - refactoring |
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From: Ferdinando A. <na...@us...> - 2006-06-13 18:57:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28291/gensrc/metadata Modified Files: interpolation.xml Log Message: exported: 1) SABR full interface 2) Extrapolator interface Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** interpolation.xml 13 Jun 2006 11:26:23 -0000 1.5 --- interpolation.xml 13 Jun 2006 18:56:56 -0000 1.6 *************** *** 2,7 **** --- 2,178 ---- <description>functions to carry out interpolations</description> <displayName>Interpolation</displayName> + <!--includes> + <include>ql/Math/sabrinterpolation.hpp</include> + </includes--> <Functions> + <Member name='qlExtrapolatorFlag' libraryClass='Extrapolator'> + <description>Sets the global default extrapolation flag</description> + <libraryFunction>setExtrapolationFlag</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='extrapolationFlag'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>global default extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + <description>SUCCESS/FAILURE</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns interpolated values</description> + <libraryFunction>operator()</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated y values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationDerivative' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns the first derivative of the interpolated curve</description> + <libraryFunction>derivative</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated derivative values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns the second derivative of the interpolated curve</description> + <libraryFunction>secondDerivative</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated second derivative values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationPrimitive' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns the primitive of the interpolated curve</description> + <libraryFunction>primitive</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated primitive values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationXmin' libraryClass='Interpolation'> + <description>Returns the minimum value of the x array</description> + <libraryFunction>xMin</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>minimum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationXmax' libraryClass='Interpolation'> + <description>Returns the maximum value of the x array</description> + <libraryFunction>xMax</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>maximum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationIsInRange' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns TRUE if the input value is in the allowed interpolation range</description> + <libraryFunction>isInRange</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>TRUE if the input value is in the allowed interpolation range</description> + </ReturnValue> + </Member> + <Constructor name='qlBackwardFlatInterpolation'> <libraryFunction>BackwardFlatInterpolation</libraryFunction> *************** *** 19,27 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> </Parameters> </ParameterList> --- 190,193 ---- *************** *** 43,51 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> </Parameters> </ParameterList> --- 209,212 ---- *************** *** 67,74 **** <description>y array</description> </Parameter> ! <Parameter name='defaultExtrapolationFlag' default='1'> ! <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> </Parameter> </Parameters> --- 228,236 ---- <description>y array</description> </Parameter> ! <Parameter name='type' enumeration='QuantLib::LinearInterpolationType'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <!--description>type (e.g. LinearType, BackwardFlatType, ForwardFlatType)</description--> ! <description>not used yet</description> </Parameter> </Parameters> *************** *** 91,99 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> <Parameter name='leftConditionType' enumeration='QuantLib::CubicSpline::BoundaryCondition'> <type>string</type> --- 253,256 ---- *************** *** 140,148 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> <Parameter name='expiry'> <type>double</type> --- 297,300 ---- *************** *** 160,174 **** <description>beta</description> </Parameter> ! <Parameter name='nu'> <type>double</type> <tensorRank>scalar</tensorRank> <description>nu</description> </Parameter> ! <Parameter name='alpha'> <type>double</type> <tensorRank>scalar</tensorRank> <description>alpha</description> </Parameter> ! <Parameter name='rho'> <type>double</type> <tensorRank>scalar</tensorRank> --- 312,326 ---- <description>beta</description> </Parameter> ! <Parameter name='nu' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> <description>nu</description> </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> <description>alpha</description> </Parameter> ! <Parameter name='rho' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 179,285 **** </Constructor> ! <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns interpolated values</description> ! <libraryFunction>operator()</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated y values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationDerivative' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns the first derivative of the interpolated curve</description> ! <libraryFunction>derivative</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated derivative values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns the second derivative of the interpolated curve</description> ! <libraryFunction>secondDerivative</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated second derivative values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationPrimitive' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns the primitive of the interpolated curve</description> ! <libraryFunction>primitive</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated primitive values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationXmin' libraryClass='Interpolation'> ! <description>Returns the minimum value of the x array</description> ! <libraryFunction>xMin</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 331,393 ---- </Constructor> ! <Member name='qlSABRInterpolationBeta' libraryClass='SABRInterpolation'> ! <description>Returns the beta of the SABR fit</description> ! <libraryFunction>beta</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationAlpha' libraryClass='SABRInterpolation'> ! <description>Returns the alpha of the SABR fit</description> ! <libraryFunction>alpha</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationNu' libraryClass='SABRInterpolation'> ! <description>Returns the nu of the SABR fit</description> ! <libraryFunction>nu</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationRho' libraryClass='SABRInterpolation'> ! <description>Returns the rho of the SABR fit</description> ! <libraryFunction>rho</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationExpiry' libraryClass='SABRInterpolation'> ! <description>Returns the expiry of the SABR fit</description> ! <libraryFunction>expiry</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 289,299 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>minimum value of the x array</description> </ReturnValue> </Member> ! <Member name='qlInterpolationXmax' libraryClass='Interpolation'> ! <description>Returns the maximum value of the x array</description> ! <libraryFunction>xMax</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 397,407 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>expiry of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationForward' libraryClass='SABRInterpolation'> ! <description>Returns the forward of the SABR fit</description> ! <libraryFunction>forward</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 303,345 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>maximum value of the x array</description> </ReturnValue> </Member> ! <Member name='qlInterpolationIsInRange' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns TRUE if the input value is in the allowed interpolation range</description> ! <libraryFunction>isInRange</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>TRUE if the input value is in the allowed interpolation range</description> </ReturnValue> </Member> ! ! <Constructor name='qlMatrix'> ! <libraryFunction>Matrix</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='input' default='0'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>input matrix</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> --- 411,446 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>forward of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationError' libraryClass='SABRInterpolation'> ! <description>Returns the error of the SABR fit</description> ! <!--libraryFunction>error</libraryFunction--> ! <libraryFunction>forward</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>error of the SABR fit</description> </ReturnValue> </Member> ! <Constructor name='qlMatrix'> ! <libraryFunction>Matrix</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='input' default='0'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>input matrix</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> </Functions> |
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From: Ferdinando A. <na...@us...> - 2006-06-13 18:57:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28291/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: exported: 1) SABR full interface 2) Extrapolator interface Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** interpolation.hpp 13 Jun 2006 11:26:23 -0000 1.5 --- interpolation.hpp 13 Jun 2006 18:56:56 -0000 1.6 *************** *** 20,36 **** #include <oh/objhandler.hpp> #include <ql/Math/cubicspline.hpp> #include <ql/Math/matrix.hpp> namespace QuantLibAddin { ! class Interpolation : public ObjHandler::LibraryObject<QuantLib::Interpolation> { }; class BackwardFlatInterpolation : public Interpolation { public: BackwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); private: std::vector<double> x_, y_; --- 20,40 ---- #include <oh/objhandler.hpp> + #include <ql/Math/linearinterpolation.hpp> #include <ql/Math/cubicspline.hpp> + #include <ql/Math/sabrinterpolation.hpp> #include <ql/Math/matrix.hpp> namespace QuantLibAddin { ! class Extrapolator : ! public ObjHandler::LibraryObject<QuantLib::Extrapolator> { }; + class Interpolation : public Extrapolator {}; + class BackwardFlatInterpolation : public Interpolation { public: BackwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y); private: std::vector<double> x_, y_; *************** *** 40,45 **** public: ForwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); private: std::vector<double> x_, y_; --- 44,48 ---- public: ForwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y); private: std::vector<double> x_, y_; *************** *** 50,54 **** LinearInterpolation(const std::vector<double>& x, const std::vector<double>& y, ! bool allowExtrapolation); private: std::vector<double> x_, y_; --- 53,57 ---- LinearInterpolation(const std::vector<double>& x, const std::vector<double>& y, ! QuantLib::LinearInterpolationType type); private: std::vector<double> x_, y_; *************** *** 57,68 **** class CubicSplineInterpolation : public Interpolation { public: ! CubicSplineInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation, ! QuantLib::CubicSpline::BoundaryCondition leftCondition, ! double leftConditionValue, ! QuantLib::CubicSpline::BoundaryCondition rightCondition, ! double rightConditionValue, ! bool monotonicityConstraint); private: std::vector<double> x_, y_; --- 60,71 ---- class CubicSplineInterpolation : public Interpolation { public: ! CubicSplineInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! QuantLib::CubicSpline::BoundaryCondition leftCondition, ! double leftConditionValue, ! QuantLib::CubicSpline::BoundaryCondition rightCondition, ! double rightConditionValue, ! bool monotonicityConstraint); private: std::vector<double> x_, y_; *************** *** 73,77 **** SABRInterpolation(const std::vector<double>& x, const std::vector<double>& y, - bool allowExtrapolation, double t, double forward, --- 76,79 ---- Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** interpolation.cpp 13 Jun 2006 11:26:23 -0000 1.5 --- interpolation.cpp 13 Jun 2006 18:56:56 -0000 1.6 *************** *** 31,36 **** BackwardFlatInterpolation::BackwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); --- 31,35 ---- BackwardFlatInterpolation::BackwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); *************** *** 43,48 **** ForwardFlatInterpolation::ForwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); --- 42,46 ---- ForwardFlatInterpolation::ForwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); *************** *** 56,60 **** const std::vector<double>& x, const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); --- 54,58 ---- const std::vector<double>& x, const std::vector<double>& y, ! QuantLib::LinearInterpolationType type) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); *************** *** 69,73 **** const std::vector<double>& x, const std::vector<double>& y, - bool allowExtrapolation, QuantLib::CubicSpline::BoundaryCondition leftCondition, double leftConditionValue, --- 67,70 ---- *************** *** 87,94 **** SABRInterpolation::SABRInterpolation( const std::vector<double>& x, const std::vector<double>& y, - bool allowExtrapolation, double t, double forward, --- 84,91 ---- + SABRInterpolation::SABRInterpolation( const std::vector<double>& x, const std::vector<double>& y, double t, double forward, |
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From: Eric E. <eri...@us...> - 2006-06-13 17:33:20
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24780/gensrc/metadata Modified Files: calendar.xml Log Message: support inputs which may be either Enumerations (QuantLib::Calendar) or Objects (QuantLib::JointCalendar) Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** calendar.xml 5 Jun 2006 13:28:45 -0000 1.5 --- calendar.xml 13 Jun 2006 17:33:06 -0000 1.6 *************** *** 2,12 **** <description>Calendar related QuantLib functions</description> <displayName>Calendar</displayName> ! <includes> ! <include>qlo/calendar.hpp</include> ! <include>qlo/vo_calendar.hpp</include> ! </includes> <Functions> ! <EnumerationMember name='qlCalendarName' enumeration='QuantLib::Calendar'> <description>returns the name of the given calendar</description> <libraryFunction>name</libraryFunction> --- 2,9 ---- <description>Calendar related QuantLib functions</description> <displayName>Calendar</displayName> ! <Functions> ! <EnumerationMember name='qlCalendarName' libraryType='QuantLib::Calendar'> <description>returns the name of the given calendar</description> <libraryFunction>name</libraryFunction> *************** *** 22,26 **** </EnumerationMember> ! <EnumerationMember name='qlIsBusinessDay' enumeration='QuantLib::Calendar'> <description>returns TRUE if the date is a business day for the given calendar</description> <libraryFunction>isBusinessDay</libraryFunction> --- 19,23 ---- </EnumerationMember> ! <EnumerationMember name='qlIsBusinessDay' libraryType='QuantLib::Calendar'> <description>returns TRUE if the date is a business day for the given calendar</description> <libraryFunction>isBusinessDay</libraryFunction> *************** *** 42,46 **** </EnumerationMember> ! <EnumerationMember name='qlIsHoliday' enumeration='QuantLib::Calendar'> <description>returns TRUE if the date is a holiday for the given calendar</description> <libraryFunction>isHoliday</libraryFunction> --- 39,43 ---- </EnumerationMember> ! <EnumerationMember name='qlIsHoliday' libraryType='QuantLib::Calendar'> <description>returns TRUE if the date is a holiday for the given calendar</description> <libraryFunction>isHoliday</libraryFunction> *************** *** 62,66 **** </EnumerationMember> ! <EnumerationMember name='qlIsEndOfMonth' enumeration='QuantLib::Calendar'> <description>returns TRUE if the date is last business day for the month in the given calendar</description> <libraryFunction>isEndOfMonth</libraryFunction> --- 59,63 ---- </EnumerationMember> ! <EnumerationMember name='qlIsEndOfMonth' libraryType='QuantLib::Calendar'> <description>returns TRUE if the date is last business day for the month in the given calendar</description> <libraryFunction>isEndOfMonth</libraryFunction> *************** *** 82,86 **** </EnumerationMember> ! <EnumerationMember name='qlEndOfMonth' enumeration='QuantLib::Calendar'> <description>returns the last business day in the given calendar of the month to which the given date belongs</description> <libraryFunction>endOfMonth</libraryFunction> --- 79,83 ---- </EnumerationMember> ! <EnumerationMember name='qlEndOfMonth' libraryType='QuantLib::Calendar'> <description>returns the last business day in the given calendar of the month to which the given date belongs</description> <libraryFunction>endOfMonth</libraryFunction> *************** *** 102,106 **** </EnumerationMember> ! <EnumerationMember name='qlAddHoliday' enumeration='QuantLib::Calendar'> <description>adds an holiday to the given calendar</description> <libraryFunction>addHoliday</libraryFunction> --- 99,103 ---- </EnumerationMember> ! <EnumerationMember name='qlAddHoliday' libraryType='QuantLib::Calendar'> <description>adds an holiday to the given calendar</description> <libraryFunction>addHoliday</libraryFunction> *************** *** 122,126 **** </EnumerationMember> ! <EnumerationMember name='qlRemoveHoliday' enumeration='QuantLib::Calendar'> <description>removes an holiday from the given calendar</description> <libraryFunction>addHoliday</libraryFunction> --- 119,123 ---- </EnumerationMember> ! <EnumerationMember name='qlRemoveHoliday' libraryType='QuantLib::Calendar'> <description>removes an holiday from the given calendar</description> <libraryFunction>addHoliday</libraryFunction> *************** *** 148,152 **** <ParameterList> <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> --- 145,149 ---- <ParameterList> <Parameters> ! <Parameter name='calendar' libraryType='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 177,181 **** </Procedure> ! <EnumerationMember name='qlAdjust' enumeration='QuantLib::Calendar'> <description>Adjusts a non-business day to the appropriate near business day according to a given calendar with respect to the given convention.</description> <libraryFunction>adjust</libraryFunction> --- 174,178 ---- </Procedure> ! <EnumerationMember name='qlAdjust' libraryType='QuantLib::Calendar'> <description>Adjusts a non-business day to the appropriate near business day according to a given calendar with respect to the given convention.</description> <libraryFunction>adjust</libraryFunction> *************** *** 202,206 **** </EnumerationMember> ! <EnumerationMember name='qlAdvance' enumeration='QuantLib::Calendar'> <description>advances a date according to a given calendar</description> <libraryFunction>advance</libraryFunction> --- 199,203 ---- </EnumerationMember> ! <EnumerationMember name='qlAdvance' libraryType='QuantLib::Calendar'> <description>advances a date according to a given calendar</description> <libraryFunction>advance</libraryFunction> |
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From: Katiuscia M. <kma...@us...> - 2006-06-13 16:53:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3974/qlo Modified Files: forwardrateagreement.cpp forwardrateagreement.hpp Log Message: added third FRA constructor using Index Index: forwardrateagreement.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** forwardrateagreement.hpp 13 Jun 2006 08:42:46 -0000 1.4 --- forwardrateagreement.hpp 13 Jun 2006 16:52:35 -0000 1.5 *************** *** 23,26 **** --- 23,27 ---- #include <qlo/baseinstruments.hpp> #include <qlo/termstructures.hpp> + #include <qlo/xibor.hpp> namespace QuantLibAddin { *************** *** 31,35 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, - //QuantLib::Instrument::Position type, QuantLib::Position::Type type, QuantLib::Rate strike, --- 32,35 ---- *************** *** 42,45 **** --- 42,55 ---- QuantLib::Compounding compounding = QuantLib::Simple, QuantLib::Frequency frequency = QuantLib::Annual); + + ForwardRateAgreement( + const QuantLib::Date& valueDate, + const QuantLib::Date& maturityDate, + QuantLib::Position::Type type, + QuantLib::Rate strike, + double notional, + const boost::shared_ptr<QuantLib::Xibor>& index, + const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure, + QuantLib::Compounding compounding = QuantLib::Simple); }; Index: forwardrateagreement.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** forwardrateagreement.cpp 13 Jun 2006 08:42:46 -0000 1.4 --- forwardrateagreement.cpp 13 Jun 2006 16:52:35 -0000 1.5 *************** *** 30,34 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, - //QuantLib::Instrument::Position type, QuantLib::Position::Type type, QuantLib::Rate strike, --- 30,33 ---- *************** *** 41,46 **** QuantLib::Compounding compounding, QuantLib::Frequency frequency) { - - QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; --- 40,43 ---- *************** *** 63,65 **** --- 60,87 ---- } + ForwardRateAgreement::ForwardRateAgreement( + const QuantLib::Date& valueDate, + const QuantLib::Date& maturityDate, + QuantLib::Position::Type type, + QuantLib::Rate strike, + double notional, + const boost::shared_ptr<QuantLib::Xibor>& index, + const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure, + QuantLib::Compounding compounding) { + + QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; + discountingTermStructure.linkTo(termStructure); + + libraryObject_ = boost::shared_ptr<QuantLib::Instrument>( + new QuantLib::ForwardRateAgreement(valueDate, + maturityDate, + type, + strike, + notional, + index, + discountingTermStructure, + compounding + )); + } + } |
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From: Katiuscia M. <kma...@us...> - 2006-06-13 16:52:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3974/gensrc/metadata Modified Files: forwardrateagreement.xml Log Message: added third FRA constructor using Index Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** forwardrateagreement.xml 13 Jun 2006 08:46:40 -0000 1.3 --- forwardrateagreement.xml 13 Jun 2006 16:52:35 -0000 1.4 *************** *** 73,76 **** --- 73,125 ---- </Constructor> + <Constructor name='qlFRA2'> + <libraryFunction>ForwardRateAgreement</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='valueDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>value date</description> + </Parameter> + <Parameter name='maturityDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>maturity date</description> + </Parameter> + <Parameter name='position' enumeration='QuantLib::Position::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>instrument position (Long for a purchase, Short for a sale)</description> + </Parameter> + <Parameter name='strike'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>strike rate</description> + </Parameter> + <Parameter name='notional'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Notional Amount</description> + </Parameter> + <Parameter name="indexID" libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>underlying index</description> + </Parameter> + <Parameter name='discountCurve' libraryClass='YieldTermStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>handle to discounting term structure</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> + </Parameters> + </ParameterList> + </Constructor> + <Member name='qlFRAforwardRate' libraryClass='ForwardRateAgreement'> <description>Returns the relevant forward rate associated with the FRA term.</description> *************** *** 87,90 **** --- 136,167 ---- </Member> + <Member name='qlFRAforwardValue' libraryClass='ForwardRateAgreement'> + <description>Returns the forward value of the FRA.</description> + <libraryFunction>forwardValue</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Returns the forward value of the FRA.</description> + </ReturnValue> + </Member> + + <Member name='qlFRAspotValue' libraryClass='ForwardRateAgreement'> + <description>Returns the spot value of the FRA.</description> + <libraryFunction>spotValue</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Returns the spot value of the FRA.</description> + </ReturnValue> + </Member> + </Functions> </Category> |
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From: Eric E. <eri...@us...> - 2006-06-13 15:46:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1184/gensrc Modified Files: Makefile.vc Log Message: enforce make dependencies between local and core gensrc Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** Makefile.vc 12 Jun 2006 14:08:17 -0000 1.7 --- Makefile.vc 13 Jun 2006 15:46:26 -0000 1.8 *************** *** 1,41 **** # QuantLibAddin\gensrc\Makefile.vc BUILD_DIR=build\vc BUILDFLAG=$(BUILD_DIR)\buildflag SCRIPT=scripts\gensrc.py ! METADATA= metadata\calendar.xml \ ! metadata\capfloor.xml \ ! metadata\couponvectors.xml \ ! metadata\date.xml \ ! metadata\daycounter.xml \ ! metadata\enumerations.xml \ ! metadata\exercise.xml \ ! metadata\forwardrateagreement.xml \ ! metadata\instruments.xml \ ! metadata\interpolation.xml \ ! metadata\mathf.xml \ ! metadata\options.xml \ ! metadata\prices.xml \ ! metadata\processes.xml \ ! metadata\randomsequencegenerator.xml \ ! metadata\schedule.xml \ ! metadata\shortratemodels.xml \ ! metadata\swap.xml \ ! metadata\swaptionvolstructure.xml \ ! metadata\termstructures.xml \ ! metadata\utilities.xml \ ! metadata\vanillaswap.xml \ ! metadata\volatilities.xml \ ! metadata\xibor.xml ! CONFIG= config\config.xml \ ! config\excel.xml ! STUBS= stubs\stub.copyright \ ! stubs\stub.excel.includes \ ! stubs\stub.excel.register ! INPUTS = $(METADATA) $(CONFIG) $(STUBS) $(SCRIPT) ALL : $(BUILDFLAG) --- 1,43 ---- # QuantLibAddin\gensrc\Makefile.vc + !INCLUDE $(GENSRC_DIR)\dependencies.vc + BUILD_DIR=build\vc BUILDFLAG=$(BUILD_DIR)\buildflag SCRIPT=scripts\gensrc.py ! METADATA=metadata\calendar.xml \ ! metadata\capfloor.xml \ ! metadata\couponvectors.xml \ ! metadata\date.xml \ ! metadata\daycounter.xml \ ! metadata\enumerations.xml \ ! metadata\exercise.xml \ ! metadata\forwardrateagreement.xml \ ! metadata\instruments.xml \ ! metadata\interpolation.xml \ ! metadata\mathf.xml \ ! metadata\options.xml \ ! metadata\prices.xml \ ! metadata\processes.xml \ ! metadata\randomsequencegenerator.xml \ ! metadata\schedule.xml \ ! metadata\shortratemodels.xml \ ! metadata\swap.xml \ ! metadata\swaptionvolstructure.xml \ ! metadata\termstructures.xml \ ! metadata\utilities.xml \ ! metadata\vanillaswap.xml \ ! metadata\volatilities.xml \ ! metadata\xibor.xml ! CONFIG=config\config.xml \ ! config\excel.xml ! STUBS=stubs\stub.copyright \ ! stubs\stub.excel.includes \ ! stubs\stub.excel.register ! INPUTS = $(METADATA) $(CONFIG) $(STUBS) $(SCRIPT) $(CORE_DEPENDENCIES) ALL : $(BUILDFLAG) |
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From: Eric E. <eri...@us...> - 2006-06-13 11:26:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30789/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: add support for QuantLib::Matrix Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** interpolation.hpp 9 Jun 2006 18:58:47 -0000 1.4 --- interpolation.hpp 13 Jun 2006 11:26:23 -0000 1.5 *************** *** 21,24 **** --- 21,25 ---- #include <oh/objhandler.hpp> #include <ql/Math/cubicspline.hpp> + #include <ql/Math/matrix.hpp> namespace QuantLibAddin { *************** *** 83,86 **** --- 84,92 ---- }; + class Matrix : public ObjHandler::LibraryObject<QuantLib::Matrix> { + public: + Matrix(const std::vector<std::vector<double> >&); + }; + } Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** interpolation.cpp 9 Jun 2006 18:58:47 -0000 1.4 --- interpolation.cpp 13 Jun 2006 11:26:23 -0000 1.5 *************** *** 103,106 **** --- 103,120 ---- t, forward, beta, nu, alpha, rho)); } + + Matrix::Matrix(const std::vector < std::vector < double > > &input) { + int numRows = input.size(); + int numCols = numRows ? input[0].size() : 0; + libraryObject_ = boost::shared_ptr<QuantLib::Matrix>( + new QuantLib::Matrix(numRows, numCols)); + QuantLib::Matrix::iterator matrixIter = libraryObject_->begin(); + for (std::vector<std::vector<double> >::const_iterator i = input.begin(); + i != input.end(); i++) { + std::vector<double> row = *i; + for (std::vector<double>::const_iterator j = row.begin(); j != row.end(); j++) + *matrixIter++ = *j; + } + } } |
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From: Eric E. <eri...@us...> - 2006-06-13 11:26:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30789/gensrc/metadata Modified Files: interpolation.xml Log Message: add support for QuantLib::Matrix Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** interpolation.xml 8 Jun 2006 20:49:22 -0000 1.4 --- interpolation.xml 13 Jun 2006 11:26:23 -0000 1.5 *************** *** 328,331 **** --- 328,345 ---- + <Constructor name='qlMatrix'> + <libraryFunction>Matrix</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='input' default='0'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>input matrix</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + </Functions> |
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From: Eric E. <eri...@us...> - 2006-06-13 10:39:54
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8820/gensrc/metadata Modified Files: instruments.xml swaptionvolstructure.xml Log Message: cleaner support for custom conversions (e.g. QuantLib::Period to/from std::string) Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** instruments.xml 6 Jun 2006 17:12:00 -0000 1.4 --- instruments.xml 13 Jun 2006 10:39:38 -0000 1.5 *************** *** 43,47 **** <description>bond yield</description> </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> --- 43,47 ---- <description>bond yield</description> </Parameter> ! <Parameter name='compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 73,77 **** <description>bond yield</description> </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> --- 73,77 ---- <description>bond yield</description> </Parameter> ! <Parameter name='compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 138,142 **** <ParameterList> <Parameters> ! <Parameter name='Compounding' libraryType='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> --- 138,142 ---- <ParameterList> <Parameters> ! <Parameter name='Compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 168,172 **** <description>Clean Price</description> </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> --- 168,172 ---- <description>Clean Price</description> </Parameter> ! <Parameter name='compounding' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** swaptionvolstructure.xml 13 Jun 2006 09:03:07 -0000 1.2 --- swaptionvolstructure.xml 13 Jun 2006 10:39:38 -0000 1.3 *************** *** 16,20 **** <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> --- 16,20 ---- <description>swaption expiry date</description> </Parameter> ! <Parameter name='swapLength' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Eric E. <eri...@us...> - 2006-06-13 10:39:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8820/qlo Modified Files: conversions.cpp conversions.hpp typefactory.hpp Log Message: cleaner support for custom conversions (e.g. QuantLib::Period to/from std::string) Index: conversions.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** conversions.cpp 24 May 2006 11:05:35 -0000 1.1 --- conversions.cpp 13 Jun 2006 10:39:41 -0000 1.2 *************** *** 32,35 **** --- 32,41 ---- } + std::string libraryToScalar(const QuantLib::Period &period) { + std::ostringstream s; + s << period; + return s.str(); + } + std::vector < long > libraryToVector(const std::vector < QuantLib::Date > &v) { std::vector < long > ret; Index: conversions.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/conversions.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** conversions.hpp 24 May 2006 11:05:35 -0000 1.1 --- conversions.hpp 13 Jun 2006 10:39:41 -0000 1.2 *************** *** 27,30 **** --- 27,31 ---- #include <ql/date.hpp> #include <ql/interestrate.hpp> + #include <ohxl/conversions.hpp> #include <vector> *************** *** 39,42 **** --- 40,44 ---- double libraryToScalar(const QuantLib::InterestRate&); long libraryToScalar(const QuantLib::Date&); + std::string libraryToScalar(const QuantLib::Period&); std::vector < long > libraryToVector(const std::vector<QuantLib::Date>&); Index: typefactory.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** typefactory.hpp 9 Jun 2006 15:19:15 -0000 1.2 --- typefactory.hpp 13 Jun 2006 10:39:41 -0000 1.3 *************** *** 22,26 **** #include <ql/Instruments/payoffs.hpp> #include <ql/Utilities/strings.hpp> - #include <ql/Utilities/dataparsers.hpp> // FIXME #include <oh/exception.hpp> --- 22,25 ---- *************** *** 82,95 **** }; - // FIXME - temporary hack - to cater for autogenerated code - // requiring conversion of period - template<> - class Create<QuantLib::Period > { - public: - QuantLib::Period operator()(const std::string& ID) { - return QuantLib::PeriodParser::parse(ID); - } - }; - } --- 81,84 ---- |
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From: Eric E. <eri...@us...> - 2006-06-13 10:39:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8820/gensrc/stubs Modified Files: stub.excel.includes Log Message: cleaner support for custom conversions (e.g. QuantLib::Period to/from std::string) Index: stub.excel.includes =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs/stub.excel.includes,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** stub.excel.includes 9 Jun 2006 18:58:47 -0000 1.2 --- stub.excel.includes 13 Jun 2006 10:39:41 -0000 1.3 *************** *** 5,8 **** --- 5,9 ---- #include <ohxl/objhandlerxl.hpp> #include <qlxl/session.hpp> + #include <qlxl/conversions.hpp> #define XLL_DEC DLLEXPORT |
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From: Eric E. <eri...@us...> - 2006-06-13 09:03:11
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29104/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: temporary hack to support conversion of QuantLib::Period to XLOPER (char*) Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swaptionvolstructure.xml 12 Jun 2006 14:08:18 -0000 1.1 --- swaptionvolstructure.xml 13 Jun 2006 09:03:07 -0000 1.2 *************** *** 60,64 **** </Member> ! <!--Member name='qlSwaptionVTSVolatilityMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> <libraryFunction>maxLength</libraryFunction> --- 60,64 ---- </Member> ! <Member name='qlSwaptionVTSVolatilityMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> <libraryFunction>maxLength</libraryFunction> *************** *** 73,77 **** <description>max underlying swap length as period</description> </ReturnValue> ! </Member--> <Member name='qlSwaptionVTSVolatilityMinStrike' libraryClass='SwaptionVolatilityStructure'> --- 73,77 ---- <description>max underlying swap length as period</description> </ReturnValue> ! </Member> <Member name='qlSwaptionVTSVolatilityMinStrike' libraryClass='SwaptionVolatilityStructure'> |
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From: Marco B. <mar...@us...> - 2006-06-13 08:46:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21978/gensrc/metadata Modified Files: forwardrateagreement.xml Log Message: catch up w/QL changes Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** forwardrateagreement.xml 8 Jun 2006 19:53:57 -0000 1.2 --- forwardrateagreement.xml 13 Jun 2006 08:46:40 -0000 1.3 *************** *** 19,23 **** <description>maturity date</description> </Parameter> ! <Parameter name='position' enumeration='QuantLib::Instrument::Position'> <type>string</type> <tensorRank>scalar</tensorRank> --- 19,23 ---- <description>maturity date</description> </Parameter> ! <Parameter name='position' enumeration='QuantLib::Position::Type'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Marco B. <mar...@us...> - 2006-06-13 08:45:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21553/gensrc Modified Files: gensrc.vcproj Log Message: add fra xml file Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** gensrc.vcproj 12 Jun 2006 14:59:35 -0000 1.4 --- gensrc.vcproj 13 Jun 2006 08:45:38 -0000 1.5 *************** *** 58,61 **** --- 58,64 ---- </File> <File + RelativePath=".\metadata\forwardrateagreement.xml"> + </File> + <File RelativePath="metadata\instruments.xml"> </File> |
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From: Marco B. <mar...@us...> - 2006-06-13 08:42:51
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20319/qlo Modified Files: forwardrateagreement.cpp forwardrateagreement.hpp Log Message: catch up w/QL changes Index: forwardrateagreement.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** forwardrateagreement.hpp 9 Jun 2006 18:58:47 -0000 1.3 --- forwardrateagreement.hpp 13 Jun 2006 08:42:46 -0000 1.4 *************** *** 31,35 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Instrument::Position type, QuantLib::Rate strike, double notional, --- 31,36 ---- const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! //QuantLib::Instrument::Position type, ! QuantLib::Position::Type type, QuantLib::Rate strike, double notional, Index: forwardrateagreement.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** forwardrateagreement.cpp 9 Jun 2006 18:58:47 -0000 1.3 --- forwardrateagreement.cpp 13 Jun 2006 08:42:46 -0000 1.4 *************** *** 30,34 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Instrument::Position type, QuantLib::Rate strike, double notional, --- 30,35 ---- const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! //QuantLib::Instrument::Position type, ! QuantLib::Position::Type type, QuantLib::Rate strike, double notional, |
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From: Eric E. <eri...@us...> - 2006-06-13 08:39:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18991/gensrc/metadata Modified Files: enumerations.xml Log Message: catch up w/QL changes Index: enumerations.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumerations.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** enumerations.xml 8 Jun 2006 19:53:57 -0000 1.3 --- enumerations.xml 13 Jun 2006 08:39:15 -0000 1.4 *************** *** 34,47 **** <Enumeration> ! <type>QuantLib::Instrument::Position</type> <constructor>true</constructor> <EnumerationDefinitions> <EnumerationDefinition> <string>Long</string> ! <value>QuantLib::Instrument::Long</value> </EnumerationDefinition> <EnumerationDefinition> <string>Short</string> ! <value>QuantLib::Instrument::Short</value> </EnumerationDefinition> </EnumerationDefinitions> --- 34,47 ---- <Enumeration> ! <type>QuantLib::Position::Type</type> <constructor>true</constructor> <EnumerationDefinitions> <EnumerationDefinition> <string>Long</string> ! <value>QuantLib::Position::Long</value> </EnumerationDefinition> <EnumerationDefinition> <string>Short</string> ! <value>QuantLib::Position::Short</value> </EnumerationDefinition> </EnumerationDefinitions> |
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From: Ferdinando A. <na...@us...> - 2006-06-12 14:59:41
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3590 Modified Files: QuantLibObjects.vcproj Log Message: VC71 catching up Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** QuantLibObjects.vcproj 11 Jun 2006 13:39:19 -0000 1.6 --- QuantLibObjects.vcproj 12 Jun 2006 14:59:35 -0000 1.7 *************** *** 573,576 **** --- 573,579 ---- </File> <File + RelativePath=".\qlo\swaptionvolstructure.hpp"> + </File> + <File RelativePath="qlo\termstructures.hpp"> </File> |
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From: Ferdinando A. <na...@us...> - 2006-06-12 14:59:39
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3590/gensrc Modified Files: gensrc.vcproj Log Message: VC71 catching up Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** gensrc.vcproj 11 Jun 2006 13:39:19 -0000 1.3 --- gensrc.vcproj 12 Jun 2006 14:59:35 -0000 1.4 *************** *** 88,91 **** --- 88,94 ---- </File> <File + RelativePath=".\metadata\swaptionvolstructure.xml"> + </File> + <File RelativePath="metadata\termstructures.xml"> </File> |
