quantlibaddin-cvs Mailing List for QuantLibAddin (Page 61)
Brought to you by:
ericehlers,
nando
Menu
▾
▴
quantlibaddin-cvs — High-traffic list for automated CVS check-in messages.
You can subscribe to this list here.
| 2006 |
Jan
|
Feb
|
Mar
|
Apr
|
May
(51) |
Jun
(320) |
Jul
(210) |
Aug
(272) |
Sep
(169) |
Oct
(232) |
Nov
(138) |
Dec
(109) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 |
Jan
(101) |
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
|
From: Eric E. <eri...@us...> - 2006-06-09 15:04:31
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6089/gensrc/config Modified Files: excel.xml Log Message: additional implicit conversions Index: excel.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/excel.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** excel.xml 6 Jun 2006 09:09:07 -0000 1.1 --- excel.xml 9 Jun 2006 15:04:28 -0000 1.2 *************** *** 10,13 **** --- 10,17 ---- <implicitConversion>QuantLib::DiscountFactor</implicitConversion> <implicitConversion>QuantLib::Rate</implicitConversion> + <implicitConversion>QuantLib::Volatility</implicitConversion> + <implicitConversion>QuantLib::Time</implicitConversion> + <implicitConversion>QuantLib::Real</implicitConversion> + <implicitConversion>QuantLib::Size</implicitConversion> </implicitConversions> |
|
From: Eric E. <eri...@us...> - 2006-06-09 07:45:25
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30227 Modified Files: QuantLibObjects_vc8.vcproj Log Message: update workspaces Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** QuantLibObjects_vc8.vcproj 8 Jun 2006 18:42:41 -0000 1.8 --- QuantLibObjects_vc8.vcproj 9 Jun 2006 07:45:21 -0000 1.9 *************** *** 532,536 **** </File> <File ! RelativePath="qlo\autolink.hpp" > </File> --- 532,536 ---- </File> <File ! RelativePath="qlo\auto_link.hpp" > </File> |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:50:02
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16261/qlo Modified Files: swap.hpp Log Message: updated Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** swap.hpp 6 Jun 2006 17:16:48 -0000 1.3 --- swap.hpp 8 Jun 2006 20:49:58 -0000 1.4 *************** *** 32,39 **** class Swap : public Instrument { public: ! Swap( ! const boost::shared_ptr < CouponVector > &paidLegWrapper, ! const boost::shared_ptr < CouponVector > &recvLegWrapper, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure); EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument); --- 32,39 ---- class Swap : public Instrument { public: ! Swap(const boost::shared_ptr<CouponVector>& paidLegWrapper, ! const boost::shared_ptr<CouponVector>& recvLegWrapper, ! const boost::shared_ptr<QuantLib::YieldTermStructure>& ! termStructure); EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument); |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:50:01
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16261 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** todonando.txt 6 Jun 2006 19:53:15 -0000 1.5 --- todonando.txt 8 Jun 2006 20:49:58 -0000 1.6 *************** *** 59,62 **** --- 59,74 ---- - trigger swap check calculation + INSTALLER + - Excel must be closed + - what about rebooting? + + 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 |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:49:26
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16127/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: 1) SABR interpolation added. 2) specified loopParameters Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** interpolation.hpp 8 Jun 2006 10:48:49 -0000 1.2 --- interpolation.hpp 8 Jun 2006 20:49:22 -0000 1.3 *************** *** 77,80 **** --- 77,95 ---- }; + class SABRInterpolation : public Interpolation { + public: + SABRInterpolation(const std::vector<double>& x, + const std::vector<double>& y, + bool allowExtrapolation, + double t, + double forward, + double beta, + double nu, + double alpha, + double rho); + private: + std::vector<double> x_, y_; + }; + } Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** interpolation.cpp 8 Jun 2006 10:48:49 -0000 1.2 --- interpolation.cpp 8 Jun 2006 20:49:22 -0000 1.3 *************** *** 25,28 **** --- 25,29 ---- #include <ql/Math/forwardflatinterpolation.hpp> #include <ql/Math/linearinterpolation.hpp> + #include <ql/Math/sabrinterpolation.hpp> namespace QuantLibAddin { *************** *** 83,87 **** --- 84,105 ---- rightCondition, rightConditionValue, monotonicityConstraint)); + } + + + SABRInterpolation::SABRInterpolation( + const std::vector<double>& x, + const std::vector<double>& y, + bool allowExtrapolation, + double t, + double forward, + double beta, + double nu, + double alpha, + double rho) : x_(x), y_(y) { + interp_ = boost::shared_ptr<QuantLib::Interpolation>( + new QuantLib::SABRInterpolation( + x_.begin(), x_.end(), y_.begin(), + t, forward, beta, nu, alpha, rho)); } |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:49:26
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16127/gensrc/metadata Modified Files: interpolation.xml Log Message: 1) SABR interpolation added. 2) specified loopParameters Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** interpolation.xml 8 Jun 2006 10:02:43 -0000 1.3 --- interpolation.xml 8 Jun 2006 20:49:22 -0000 1.4 *************** *** 125,137 **** </Constructor> ! <Member name='qlInterpolation' libraryClass='Interpolation'> ! <description>Returns interpolated values of the interpolated curve</description> ! <libraryFunction>operator()</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='xValues'> <type>double</type> <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 125,191 ---- </Constructor> ! <Constructor name='qlSABRInterpolation'> ! <libraryFunction>SABRInterpolation</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='xArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>x array</description> ! </Parameter> ! <Parameter name='yArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>y array</description> ! </Parameter> ! <Parameter name='defaultExtrapolationFlag' default='1'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! <Parameter name='expiry'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>expiry</description> ! </Parameter> ! <Parameter name='forward'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>forward</description> ! </Parameter> ! <Parameter name='beta' default='QuantLib::Null<double>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <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> + <description>rho</description> + </Parameter> + </Parameters> + </ParameterList> + </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> *************** *** 144,154 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> <description>interpolated y values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationDerivative' libraryClass='Interpolation'> <description>Returns the first derivative of the interpolated curve</description> <libraryFunction>derivative</libraryFunction> --- 198,208 ---- </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> *************** *** 157,162 **** <Parameters> <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 211,216 ---- <Parameters> <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 169,179 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>interpolated y values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation'> <description>Returns the second derivative of the interpolated curve</description> <libraryFunction>secondDerivative</libraryFunction> --- 223,233 ---- </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> *************** *** 182,187 **** <Parameters> <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 236,241 ---- <Parameters> <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 194,204 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>interpolated y values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationPrimitive' libraryClass='Interpolation'> <description>Returns the primitive of the interpolated curve</description> <libraryFunction>primitive</libraryFunction> --- 248,258 ---- </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> *************** *** 207,212 **** <Parameters> <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 261,266 ---- <Parameters> <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 219,225 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>interpolated y values</description> </ReturnValue> </Member> --- 273,279 ---- </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated primitive values</description> </ReturnValue> </Member> *************** *** 253,257 **** </Member> ! <Member name='qlInterpolationIsInRange' libraryClass='Interpolation'> <description>Returns TRUE if the input value is in the allowed interpolation range</description> <libraryFunction>isInRange</libraryFunction> --- 307,311 ---- </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> *************** *** 260,265 **** <Parameters> <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> <description>x values</description> </Parameter> --- 314,319 ---- <Parameters> <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> <description>x values</description> </Parameter> *************** *** 267,272 **** </ParameterList> <ReturnValue> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> <description>TRUE if the input value is in the allowed interpolation range</description> </ReturnValue> --- 321,326 ---- </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> <description>TRUE if the input value is in the allowed interpolation range</description> </ReturnValue> |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:48:00
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15134/gensrc/metadata Modified Files: schedule.xml Log Message: exporting stabDate input parameter and removing useless code Index: schedule.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/schedule.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** schedule.xml 23 May 2006 16:41:18 -0000 1.1 --- schedule.xml 8 Jun 2006 20:47:53 -0000 1.2 *************** *** 1,67 **** <Category name='schedule'> ! <description>functions to construct QuantLib schedule objects</description> ! <displayName>Schedules</displayName> ! <Functions> ! <Constructor name='qlSchedule'> ! <libraryFunction>Schedule</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='startDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date</description> ! </Parameter> ! <Parameter name='endDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>end date</description> ! </Parameter> ! <Parameter name='frequency' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>frequency</description> ! </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention</description> ! </Parameter> ! <Parameter name='startFromEnd' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>start from end</description> ! </Parameter> ! <Parameter name='longFinal' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>long final</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlScheduleDates' objectClass='Schedule'> ! <description>return schedule dates</description> ! <libraryFunction>scheduleDates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> - --- 1,71 ---- <Category name='schedule'> ! <description>functions to construct QuantLib schedule objects</description> ! <displayName>Schedules</displayName> ! <Functions> ! <Constructor name='qlSchedule'> ! <libraryFunction>Schedule</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='startDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date</description> ! </Parameter> ! <Parameter name='endDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>end date</description> ! </Parameter> ! <Parameter name='frequency' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>frequency</description> ! </Parameter> ! <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>business day convention</description> ! </Parameter> ! <Parameter name='stubDate' libraryType='QuantLib::Date' default='0'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>stub date</description> ! </Parameter> ! <Parameter name='startFromEnd' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>start from end</description> ! </Parameter> ! <Parameter name='longFinal' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>long final</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlScheduleDates' libraryClass='Schedule'> ! <description>return schedule dates</description> ! <libraryFunction>dates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>dates</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:47:56
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15134/qlo Modified Files: schedule.cpp schedule.hpp Log Message: exporting stabDate input parameter and removing useless code Index: schedule.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** schedule.hpp 19 May 2006 16:56:16 -0000 1.1 --- schedule.hpp 8 Jun 2006 20:47:53 -0000 1.2 *************** *** 26,38 **** class Schedule : public ObjHandler::Object { public: ! Schedule( ! const QuantLib::Calendar &calendar, ! const QuantLib::Date &lStartDate, ! const QuantLib::Date &lEndDate, ! const QuantLib::Frequency &frequency, ! const QuantLib::BusinessDayConvention &convention, ! // const QuantLib::Date &StubDate, ! const bool &startFromEnd, ! const bool &longFinal); virtual boost::shared_ptr<void> getReference() const { --- 26,37 ---- class Schedule : public ObjHandler::Object { public: ! Schedule(const QuantLib::Calendar& calendar, ! const QuantLib::Date& startDate, ! const QuantLib::Date& endDate, ! QuantLib::Frequency frequency, ! QuantLib::BusinessDayConvention convention, ! const QuantLib::Date& stubDate, ! bool startFromEnd, ! bool longFinal); virtual boost::shared_ptr<void> getReference() const { *************** *** 44,49 **** } - std::vector<long> scheduleDates() const; - private: boost::shared_ptr<QuantLib::Schedule> schedule_; --- 43,46 ---- Index: schedule.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** schedule.cpp 19 May 2006 16:56:16 -0000 1.1 --- schedule.cpp 8 Jun 2006 20:47:53 -0000 1.2 *************** *** 25,36 **** Schedule::Schedule( ! const QuantLib::Calendar &calendar, ! const QuantLib::Date &startDate, ! const QuantLib::Date &endDate, ! const QuantLib::Frequency &frequency, ! const QuantLib::BusinessDayConvention &convention, ! // const QuantLib::Date &stubDate, ! const bool &startFromEnd, ! const bool &longFinal) { schedule_ = boost::shared_ptr<QuantLib::Schedule>( --- 25,36 ---- Schedule::Schedule( ! const QuantLib::Calendar& calendar, ! const QuantLib::Date& startDate, ! const QuantLib::Date& endDate, ! QuantLib::Frequency frequency, ! QuantLib::BusinessDayConvention convention, ! const QuantLib::Date& stubDate, ! bool startFromEnd, ! bool longFinal) { schedule_ = boost::shared_ptr<QuantLib::Schedule>( *************** *** 40,59 **** frequency, convention, ! QuantLib::Date(), // stubDate startFromEnd, longFinal)); } ! ! std::vector<long> Schedule::scheduleDates() const { ! ! std::vector<long> dates; ! ! for (std::size_t i=0 ; i < schedule_->size() ; i++) { ! dates.push_back(schedule_->date(i).serialNumber()); ! } ! ! return dates; ! } ! } - --- 40,47 ---- frequency, convention, ! stubDate, startFromEnd, longFinal)); } ! } |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:21:07
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21912/gensrc/metadata Modified Files: enumerations.xml forwardrateagreement.xml Log Message: added more enumerations Index: enumerations.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumerations.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** enumerations.xml 8 Jun 2006 18:42:42 -0000 1.2 --- enumerations.xml 8 Jun 2006 19:53:57 -0000 1.3 *************** *** 1,1047 **** <root> ! <Enumerations> ! <Enumeration> ! <type>QuantLib::Forward::Type</type> ! <constructor>true</constructor> ! <EnumerationDefinitions> ! <EnumerationDefinition> ! <string>Long</string> ! <value>QuantLib::Forward::Long</value> [...2083 lines suppressed...] ! </EnumerationDefinitions> ! </Enumeration> ! <Enumeration> ! <type>QuantLib::JointCalendarRule</type> ! <constructor>true</constructor> ! <EnumerationDefinitions> ! <EnumerationDefinition> ! <string>JoinHolidays</string> ! <value>QuantLib::JoinHolidays</value> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>JoinBusinessDays</string> ! <value>QuantLib::JoinBusinessDays</value> ! </EnumerationDefinition> ! </EnumerationDefinitions> ! </Enumeration> + </Enumerations> + </root> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** forwardrateagreement.xml 8 Jun 2006 18:42:42 -0000 1.1 --- forwardrateagreement.xml 8 Jun 2006 19:53:57 -0000 1.2 *************** *** 19,26 **** <description>maturity date</description> </Parameter> ! <Parameter name='type' enumeration='QuantLib::Forward::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>forward type (Long for a FRA purchase, Short for a FRA sale)</description> </Parameter> <Parameter name='strike'> --- 19,26 ---- <description>maturity date</description> </Parameter> ! <Parameter name='position' enumeration='QuantLib::Instrument::Position'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>instrument position (Long for a purchase, Short for a sale)</description> </Parameter> <Parameter name='strike'> |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 20:21:07
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21912/qlo Modified Files: forwardrateagreement.cpp forwardrateagreement.hpp Log Message: added more enumerations Index: forwardrateagreement.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** forwardrateagreement.hpp 8 Jun 2006 18:42:42 -0000 1.1 --- forwardrateagreement.hpp 8 Jun 2006 19:53:57 -0000 1.2 *************** *** 31,35 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Forward::Type type, QuantLib::Rate strike, double notional, --- 31,35 ---- const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Instrument::Position type, QuantLib::Rate strike, double notional, Index: forwardrateagreement.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardrateagreement.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** forwardrateagreement.cpp 8 Jun 2006 18:42:42 -0000 1.1 --- forwardrateagreement.cpp 8 Jun 2006 19:53:57 -0000 1.2 *************** *** 30,34 **** const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Forward::Type type, QuantLib::Rate strike, double notional, --- 30,34 ---- const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, ! QuantLib::Instrument::Position type, QuantLib::Rate strike, double notional, |
|
From: Katiuscia M. <kma...@us...> - 2006-06-08 18:43:12
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22654/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: exported object Forward Rate Agreement from QL to QLXL Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** Makefile.vc 6 Jun 2006 09:09:07 -0000 1.4 --- Makefile.vc 8 Jun 2006 18:42:42 -0000 1.5 *************** *** 12,15 **** --- 12,16 ---- metadata\enumerations.xml \ metadata\exercise.xml \ + metadata\forwardrateagreement.xml \ metadata\instruments.xml \ metadata\interpolation.xml \ Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** gensrc_vc8.vcproj 6 Jun 2006 10:57:52 -0000 1.4 --- gensrc_vc8.vcproj 8 Jun 2006 18:42:42 -0000 1.5 *************** *** 83,86 **** --- 83,90 ---- </File> <File + RelativePath=".\metadata\forwardrateagreement.xml" + > + </File> + <File RelativePath="metadata\instruments.xml" > |
|
From: Katiuscia M. <kma...@us...> - 2006-06-08 18:43:05
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22654/gensrc/metadata Modified Files: enumerations.xml Added Files: forwardrateagreement.xml Log Message: exported object Forward Rate Agreement from QL to QLXL Index: enumerations.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumerations.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** enumerations.xml 23 May 2006 16:41:18 -0000 1.1 --- enumerations.xml 8 Jun 2006 18:42:42 -0000 1.2 *************** *** 2,6 **** <Enumerations> ! <Enumeration> <type>QuantLib::PriceType</type> <constructor>true</constructor> --- 2,21 ---- <Enumerations> ! <Enumeration> ! <type>QuantLib::Forward::Type</type> ! <constructor>true</constructor> ! <EnumerationDefinitions> ! <EnumerationDefinition> ! <string>Long</string> ! <value>QuantLib::Forward::Long</value> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>Short</string> ! <value>QuantLib::Forward::Short</value> ! </EnumerationDefinition> ! </EnumerationDefinitions> ! </Enumeration> ! ! <Enumeration> <type>QuantLib::PriceType</type> <constructor>true</constructor> --- NEW FILE: forwardrateagreement.xml --- <Category name='forwardrateagreement'> <description>functions to construct QuantLib Forward Rate Agreement objects</description> <displayName>Forward Rate Agreement</displayName> <Functions> <Constructor name='qlFRA'> <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='type' enumeration='QuantLib::Forward::Type'> <type>string</type> <tensorRank>scalar</tensorRank> <description>forward type (Long for a FRA purchase, Short for a FRA 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='settlementDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement days</description> </Parameter> <Parameter name='dayCount' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual360)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Business Day Convention</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> <Parameter name='frequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Frequency</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlFRAforwardRate' libraryClass='ForwardRateAgreement'> <description>Returns the relevant forward rate associated with the FRA term.</description> <libraryFunction>forwardRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>Returns the relevant forward rate associated with the FRA term</description> </ReturnValue> </Member> </Functions> </Category> |
|
From: Katiuscia M. <kma...@us...> - 2006-06-08 18:43:04
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22654 Modified Files: QuantLibObjects_vc8.vcproj Log Message: exported object Forward Rate Agreement from QL to QLXL Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** QuantLibObjects_vc8.vcproj 6 Jun 2006 08:10:05 -0000 1.7 --- QuantLibObjects_vc8.vcproj 8 Jun 2006 18:42:41 -0000 1.8 *************** *** 383,386 **** --- 383,390 ---- </File> <File + RelativePath=".\qlo\forwardrateagreement.cpp" + > + </File> + <File RelativePath="qlo\forwardvanillaoption.cpp" > *************** *** 455,458 **** --- 459,466 ---- </File> <File + RelativePath=".\qlo\vo_forwardrateagreement.cpp" + > + </File> + <File RelativePath="qlo\vo_instruments.cpp" > *************** *** 576,579 **** --- 584,591 ---- </File> <File + RelativePath=".\qlo\forwardrateagreement.hpp" + > + </File> + <File RelativePath="qlo\forwardvanillaoption.hpp" > *************** *** 672,675 **** --- 684,691 ---- </File> <File + RelativePath=".\qlo\vo_forwardrateagreement.hpp" + > + </File> + <File RelativePath="qlo\vo_instruments.hpp" > |
|
From: Katiuscia M. <kma...@us...> - 2006-06-08 18:42:51
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22654/gensrc/config Modified Files: config.xml Log Message: exported object Forward Rate Agreement from QL to QLXL Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** config.xml 6 Jun 2006 09:09:07 -0000 1.1 --- config.xml 8 Jun 2006 18:42:42 -0000 1.2 *************** *** 15,18 **** --- 15,19 ---- <categoryName>daycounter</categoryName> <categoryName>exercise</categoryName> + <categoryName>forwardrateagreement</categoryName> <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> |
|
From: Katiuscia M. <kma...@us...> - 2006-06-08 18:42:49
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22654/qlo Modified Files: .cvsignore baseinstruments.hpp Added Files: forwardrateagreement.cpp forwardrateagreement.hpp Log Message: exported object Forward Rate Agreement from QL to QLXL Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** .cvsignore 6 Jun 2006 08:10:05 -0000 1.2 --- .cvsignore 8 Jun 2006 18:42:42 -0000 1.3 *************** *** 13,16 **** --- 13,17 ---- vo_couponvectors.*pp vo_exercise.*pp + vo_forwardrateagreement.*pp vo_instruments.*pp vo_interpolation.*pp Index: baseinstruments.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/baseinstruments.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** baseinstruments.hpp 19 May 2006 16:56:16 -0000 1.1 --- baseinstruments.hpp 8 Jun 2006 18:42:42 -0000 1.2 *************** *** 22,25 **** --- 22,26 ---- #include <ql/instrument.hpp> #include <ql/Instruments/bond.hpp> + #include <ql/Instruments/forward.hpp> #include <ql/Instruments/oneassetoption.hpp> --- NEW FILE: forwardrateagreement.hpp --- /* Copyright (C) 2006 Katiuscia Manzoni Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #ifndef qla_forwardrateagreement_hpp #define qla_forwardrateagreement_hpp #include <ql/Instruments/forwardrateagreement.hpp> #include <qlo/baseinstruments.hpp> #include <qlo/termstructures.hpp> namespace QuantLibAddin { class ForwardRateAgreement : public Instrument { public: ForwardRateAgreement( const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, QuantLib::Forward::Type type, QuantLib::Rate strike, double notional, long settlementDays, const QuantLib::DayCounter& dayCount, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention businessDayConvention, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure, QuantLib::Compounding compounding = QuantLib::Simple, QuantLib::Frequency frequency = QuantLib::Annual); EXPORT_UNDERLYING_OBJECT(QuantLib::ForwardRateAgreement, mInstrument); }; } #endif --- NEW FILE: forwardrateagreement.cpp --- /* Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Katiuscia Manzoni This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <oh/objhandlerdefines.hpp> #include <qlo/termstructures.hpp> #include <qlo/forwardrateagreement.hpp> namespace QuantLibAddin { ForwardRateAgreement::ForwardRateAgreement( const QuantLib::Date& valueDate, const QuantLib::Date& maturityDate, QuantLib::Forward::Type type, QuantLib::Rate strike, double notional, long settlementDays, const QuantLib::DayCounter& dayCount, const QuantLib::Calendar& calendar, QuantLib::BusinessDayConvention businessDayConvention, const boost::shared_ptr<QuantLib::YieldTermStructure>& termStructure, QuantLib::Compounding compounding, QuantLib::Frequency frequency) { QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); mInstrument = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::ForwardRateAgreement(valueDate, maturityDate, type, strike, notional, settlementDays, dayCount, calendar, businessDayConvention, discountingTermStructure, compounding, frequency )); } } |
|
From: Marco B. <mar...@us...> - 2006-06-08 14:52:31
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12379/gensrc Modified Files: gensrc.vcproj Log Message: update VC7 workspaces Index: gensrc.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc.vcproj,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** gensrc.vcproj 23 May 2006 16:41:17 -0000 1.1 --- gensrc.vcproj 8 Jun 2006 14:52:22 -0000 1.2 *************** *** 43,49 **** </File> <File - RelativePath="metadata\config.xml"> - </File> - <File RelativePath="metadata\couponvectors.xml"> </File> --- 43,46 ---- *************** *** 88,94 **** </File> <File - RelativePath="metadata\simpleswap.xml"> - </File> - <File RelativePath="metadata\swap.xml"> </File> --- 85,88 ---- *************** *** 106,109 **** --- 100,126 ---- </File> </Filter> + <Filter + Name="config" + Filter=""> + <File + RelativePath=".\config\config.xml"> + </File> + <File + RelativePath=".\config\excel.xml"> + </File> + </Filter> + <Filter + Name="stubs" + Filter=""> + <File + RelativePath=".\stubs\stub.copyright"> + </File> + <File + RelativePath=".\stubs\stub.excel.includes"> + </File> + <File + RelativePath=".\stubs\stub.excel.register"> + </File> + </Filter> <File RelativePath="Makefile.vc"> |
|
From: Marco B. <mar...@us...> - 2006-06-08 14:52:30
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12379 Modified Files: QuantLibAddin.sln QuantLibObjects.vcproj Log Message: update VC7 workspaces Index: QuantLibAddin.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.sln,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** QuantLibAddin.sln 22 May 2006 16:56:40 -0000 1.3 --- QuantLibAddin.sln 8 Jun 2006 14:52:22 -0000 1.4 *************** *** 25,28 **** --- 25,32 ---- EndProjectSection EndProject + Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "gensrc", "gensrc\gensrc.vcproj", "{19C36A53-51F2-4951-9A38-CCF6A250814F}" + ProjectSection(ProjectDependencies) = postProject + EndProjectSection + EndProject Global GlobalSection(SolutionConfiguration) = preSolution *************** *** 106,109 **** --- 110,127 ---- {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release SingleThread.ActiveCfg = Release SingleThread|Win32 {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release SingleThread.Build.0 = Release SingleThread|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.All.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.All.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug CRTDLL.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug CRTDLL.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug SingleThread.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Debug SingleThread.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release CRTDLL.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release CRTDLL.Build.0 = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release SingleThread.ActiveCfg = All|Win32 + {19C36A53-51F2-4951-9A38-CCF6A250814F}.Release SingleThread.Build.0 = All|Win32 EndGlobalSection GlobalSection(ExtensibilityGlobals) = postSolution Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** QuantLibObjects.vcproj 22 May 2006 16:56:40 -0000 1.3 --- QuantLibObjects.vcproj 8 Jun 2006 14:52:22 -0000 1.4 *************** *** 347,353 **** </File> <File - RelativePath="qlo\clientutils.cpp"> - </File> - <File RelativePath="qlo\cliquetoption.cpp"> </File> --- 347,350 ---- *************** *** 356,359 **** --- 353,359 ---- </File> <File + RelativePath=".\qlo\conversions.cpp"> + </File> + <File RelativePath="qlo\couponvectors.cpp"> </File> *************** *** 401,407 **** </File> <File - RelativePath="qlo\simpleswap.cpp"> - </File> - <File RelativePath="qlo\swap.cpp"> </File> --- 401,404 ---- *************** *** 416,419 **** --- 413,419 ---- </File> <File + RelativePath=".\qlo\vanillaswap.cpp"> + </File> + <File RelativePath=".\qlo\vo_calendar.cpp"> </File> *************** *** 449,455 **** </File> <File - RelativePath=".\qlo\vo_simpleswap.cpp"> - </File> - <File RelativePath=".\qlo\vo_swap.cpp"> </File> --- 449,452 ---- *************** *** 458,461 **** --- 455,461 ---- </File> <File + RelativePath=".\qlo\vo_vanillaswap.cpp"> + </File> + <File RelativePath=".\qlo\vo_volatilities.cpp"> </File> *************** *** 480,484 **** </File> <File ! RelativePath="qlo\autolink.hpp"> </File> <File --- 480,484 ---- </File> <File ! RelativePath=".\qlo\auto_link.hpp"> </File> <File *************** *** 489,495 **** </File> <File - RelativePath=".\qlo\basic.hpp"> - </File> - <File RelativePath=".\qlo\basketoption.hpp"> </File> --- 489,492 ---- *************** *** 501,511 **** </File> <File - RelativePath="qlo\clientutils.hpp"> - </File> - <File RelativePath="qlo\cliquetoption.hpp"> </File> <File ! RelativePath="qlo\config.hpp"> </File> <File --- 498,505 ---- </File> <File RelativePath="qlo\cliquetoption.hpp"> </File> <File ! RelativePath=".\qlo\conversions.hpp"> </File> <File *************** *** 567,573 **** </File> <File - RelativePath="qlo\simpleswap.hpp"> - </File> - <File RelativePath="qlo\swap.hpp"> </File> --- 561,564 ---- *************** *** 588,591 **** --- 579,585 ---- </File> <File + RelativePath=".\qlo\vanillaswap.hpp"> + </File> + <File RelativePath="qlo\vo_calendar.hpp"> </File> *************** *** 621,627 **** </File> <File - RelativePath="qlo\vo_simpleswap.hpp"> - </File> - <File RelativePath="qlo\vo_swap.hpp"> </File> --- 615,618 ---- *************** *** 630,633 **** --- 621,627 ---- </File> <File + RelativePath=".\qlo\vo_vanillaswap.hpp"> + </File> + <File RelativePath="qlo\vo_volatilities.hpp"> </File> *************** *** 644,650 **** RelativePath="qlo\zerocouponbond.hpp"> </File> - <File - RelativePath=".\qlo\zerocurve.hpp"> - </File> </Filter> </Files> --- 638,641 ---- |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 11:03:16
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25928/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** interpolation.hpp 19 May 2006 16:56:16 -0000 1.1 --- interpolation.hpp 8 Jun 2006 10:48:49 -0000 1.2 *************** *** 1,5 **** /* ! Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 1,5 ---- /* ! Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library *************** *** 24,101 **** namespace QuantLibAddin { - typedef std::vector<std::vector<double> > double_matrix; - class Interpolation : public ObjHandler::Object { public: - Interpolation(const bool& allowExtrapolation) : allowExtrapolation_(allowExtrapolation) { } - - virtual boost::shared_ptr<QuantLib::Interpolation> - interpolationFactory(std::vector<double>::const_iterator xBegin, - std::vector<double>::const_iterator xEnd, - std::vector<double>::const_iterator yBegin) const = 0; - - double_matrix interpolate(const double_matrix& xArray, - const double_matrix& yArray, - const double_matrix& xValues) const; - virtual boost::shared_ptr<void> getReference() const { ! return boost::shared_ptr<void>(); } - protected: ! bool allowExtrapolation_; }; class BackwardFlatInterpolation : public Interpolation { public: ! BackwardFlatInterpolation(const bool& allowExtrapolation) : Interpolation(allowExtrapolation) { } ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; }; class ForwardFlatInterpolation : public Interpolation { public: ! ForwardFlatInterpolation(const bool& allowExtrapolation) : Interpolation(allowExtrapolation) { } ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; }; class LinearInterpolation : public Interpolation { public: ! LinearInterpolation(const bool& allowExtrapolation) : Interpolation(allowExtrapolation) { } ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; }; class CubicSplineInterpolation : public Interpolation { public: ! CubicSplineInterpolation( ! const bool& allowExtrapolation, ! const std::string& leftConditionType, ! const double& leftConditionValue, ! const std::string& rightConditionType, ! const double& rightConditionValue, ! const bool& monotonicityConstraint); ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; ! private: ! QuantLib::CubicSpline::BoundaryCondition leftConditionType_; ! QuantLib::Real leftConditionValue_; ! QuantLib::CubicSpline::BoundaryCondition rightConditionType_; ! QuantLib::Real rightConditionValue_; ! bool monotonicityConstraint_; }; --- 24,78 ---- namespace QuantLibAddin { class Interpolation : public ObjHandler::Object { public: virtual boost::shared_ptr<void> getReference() const { ! return boost::shared_ptr<void>(interp_); ! } ! const QuantLib::Interpolation& getObject() const { ! return *interp_; } protected: ! boost::shared_ptr<QuantLib::Interpolation> interp_; }; class BackwardFlatInterpolation : public Interpolation { public: ! BackwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); ! private: ! std::vector<double> x_, y_; }; class ForwardFlatInterpolation : public Interpolation { public: ! ForwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); ! private: ! std::vector<double> x_, y_; }; class LinearInterpolation : public Interpolation { public: ! LinearInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); ! private: ! std::vector<double> x_, y_; }; 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_; }; *************** *** 103,105 **** #endif - --- 80,81 ---- Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** interpolation.cpp 19 May 2006 16:56:16 -0000 1.1 --- interpolation.cpp 8 Jun 2006 10:48:49 -0000 1.2 *************** *** 1,5 **** /* ! Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 1,5 ---- /* ! Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library *************** *** 27,128 **** namespace QuantLibAddin { - - double_matrix - Interpolation::interpolate(const double_matrix& xArray, - const double_matrix& yArray, - const double_matrix& xValues) const { - - std::vector<QuantLib::Real> x; - std::vector<QuantLib::Real> y; - - for (std::size_t ix=0 ; ix < xArray.size() ; ix++) { - for (std::size_t jx=0 ; jx < xArray[ix].size() ; jx++) { - x.push_back(xArray[ix][jx]); - } - } ! for (std::size_t iy=0 ; iy < yArray.size() ; iy++) { ! for (std::size_t jy=0 ; jy < yArray[iy].size() ; jy++) { ! y.push_back(yArray[iy][jy]); ! } ! } ! ! boost::shared_ptr<QuantLib::Interpolation> f = ! interpolationFactory(x.begin(), x.end(), y.begin()); ! ! double_matrix result; ! ! for (std::size_t p=0 ; p < xValues.size() ; p++) { ! std::vector<QuantLib::Real> v; ! for (std::size_t q=0 ; q < xValues[p].size() ; q++) { ! v.push_back((*f)(xValues[p][q], allowExtrapolation_)); ! } ! result.push_back(v); ! } ! ! return result; } ! boost::shared_ptr<QuantLib::Interpolation> ! LinearInterpolation::interpolationFactory( ! std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const { ! ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::LinearInterpolation(xBegin, xEnd, yBegin)); } ! boost::shared_ptr<QuantLib::Interpolation> ! BackwardFlatInterpolation::interpolationFactory( ! std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const { ! ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::BackwardFlatInterpolation(xBegin, xEnd, yBegin)); ! }; ! ! boost::shared_ptr<QuantLib::Interpolation> ! ForwardFlatInterpolation::interpolationFactory( ! std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const { ! ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::ForwardFlatInterpolation(xBegin, xEnd, yBegin)); ! }; ! ! CubicSplineInterpolation::CubicSplineInterpolation( ! const bool& allowExtrapolation, ! const std::string& leftConditionTypeID, ! const double& leftConditionValue, ! const std::string& rightConditionTypeID, ! const double& rightConditionValue, ! const bool& monotonicityConstraint) ! : Interpolation(allowExtrapolation), ! leftConditionValue_(leftConditionValue), rightConditionValue_(rightConditionValue), ! monotonicityConstraint_(monotonicityConstraint) { ! ! leftConditionType_ = ! Create<QuantLib::CubicSpline::BoundaryCondition>()(leftConditionTypeID); ! ! rightConditionType_ = ! Create<QuantLib::CubicSpline::BoundaryCondition>()(rightConditionTypeID); } - - boost::shared_ptr<QuantLib::Interpolation> - CubicSplineInterpolation::interpolationFactory( - std::vector<double>::const_iterator xBegin, - std::vector<double>::const_iterator xEnd, - std::vector<double>::const_iterator yBegin) const { ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::CubicSpline(xBegin, xEnd, yBegin, ! leftConditionType_, leftConditionValue_, ! rightConditionType_, rightConditionValue_, ! monotonicityConstraint_)); } ! } --- 27,89 ---- namespace QuantLibAddin { ! 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"); ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::BackwardFlatInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); } ! ForwardFlatInterpolation::ForwardFlatInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { ! ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::ForwardFlatInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); } ! LinearInterpolation::LinearInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { ! ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::LinearInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); } ! CubicSplineInterpolation::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) : x_(x), y_(y) { ! ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::CubicSpline( ! x_.begin(), x_.end(), y_.begin(), ! leftCondition, leftConditionValue, ! rightCondition, rightConditionValue, ! monotonicityConstraint)); ! } ! } |
|
From: Eric E. <eri...@us...> - 2006-06-08 10:02:51
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2841/gensrc/metadata Modified Files: interpolation.xml Log Message: use () operator for qlInterpolation Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** interpolation.xml 8 Jun 2006 09:39:28 -0000 1.2 --- interpolation.xml 8 Jun 2006 10:02:43 -0000 1.3 *************** *** 127,131 **** <Member name='qlInterpolation' libraryClass='Interpolation'> <description>Returns interpolated values of the interpolated curve</description> ! <libraryFunction>derivative</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 127,131 ---- <Member name='qlInterpolation' libraryClass='Interpolation'> <description>Returns interpolated values of the interpolated curve</description> ! <libraryFunction>operator()</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> |
|
From: Ferdinando A. <na...@us...> - 2006-06-08 09:39:32
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23346/gensrc/metadata Modified Files: interpolation.xml Log Message: Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** interpolation.xml 23 May 2006 16:41:18 -0000 1.1 --- interpolation.xml 8 Jun 2006 09:39:28 -0000 1.2 *************** *** 1,119 **** <Category name='interpolation'> ! <description>functions to carry out interpolations</description> ! <displayName>Interpolation</displayName> ! <Functions> ! <Constructor name='qlBackwardFlatInterpolation'> ! <libraryFunction>BackwardFlatInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='allowExtrapolation'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlForwardFlatInterpolation'> ! <libraryFunction>ForwardFlatInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='allowExtrapolation'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlLinearInterpolation'> ! <libraryFunction>LinearInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='allowExtrapolation'> ! <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlCubicSplineInterpolation'> ! <libraryFunction>CubicSplineInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='allowExtrapolation'> ! <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! <Parameter name='leftConditionType'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>left boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange)</description> ! </Parameter> ! <Parameter name='leftConditionValue'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>left condition value</description> ! </Parameter> ! <Parameter name='rightConditionType'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>right boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange)</description> ! </Parameter> ! <Parameter name='rightConditionValue'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>right condition value</description> ! </Parameter> ! <Parameter name='monotonicityConstraint'> <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>monotonicity constraint flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> - <Member name='qlInterpolate' objectClass='Interpolation'> - <description>carry out interpolation</description> - <libraryFunction>interpolate</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='xArray'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>x array</description> - </Parameter> - <Parameter name='yArray'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>y array</description> - </Parameter> - <Parameter name='xValues'> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>x values</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>matrix</tensorRank> - <description>interpolated y values</description> - </ReturnValue> - </Member> - </Functions> - </Category> --- 1,278 ---- <Category name='interpolation'> ! <description>functions to carry out interpolations</description> ! <displayName>Interpolation</displayName> ! <Functions> ! <Constructor name='qlBackwardFlatInterpolation'> ! <libraryFunction>BackwardFlatInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>x array</description> ! </Parameter> ! <Parameter name='yArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>y array</description> ! </Parameter> ! <Parameter name='defaultExtrapolationFlag' default='1'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlForwardFlatInterpolation'> ! <libraryFunction>ForwardFlatInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>x array</description> ! </Parameter> ! <Parameter name='yArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>y array</description> ! </Parameter> ! <Parameter name='defaultExtrapolationFlag' default='1'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlLinearInterpolation'> ! <libraryFunction>LinearInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>x array</description> ! </Parameter> ! <Parameter name='yArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>y array</description> ! </Parameter> ! <Parameter name='defaultExtrapolationFlag' default='1'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlCubicSplineInterpolation'> ! <libraryFunction>CubicSplineInterpolation</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>x array</description> ! </Parameter> ! <Parameter name='yArray'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>y array</description> ! </Parameter> ! <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> ! <tensorRank>scalar</tensorRank> ! <description>left boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange)</description> ! </Parameter> ! <Parameter name='leftConditionValue'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>left condition value</description> ! </Parameter> ! <Parameter name='rightConditionType' enumeration='QuantLib::CubicSpline::BoundaryCondition'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>right boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange)</description> ! </Parameter> ! <Parameter name='rightConditionValue'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>right condition value</description> ! </Parameter> ! <Parameter name='monotonicityConstraint'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>monotonicity constraint flag</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Member name='qlInterpolation' libraryClass='Interpolation'> ! <description>Returns interpolated values of the interpolated curve</description> ! <libraryFunction>derivative</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</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>double</type> <tensorRank>scalar</tensorRank> ! <description>interpolated y values</description> ! </ReturnValue> ! </Member> ! <Member name='qlInterpolationDerivative' libraryClass='Interpolation'> ! <description>Returns the first derivative of the interpolated curve</description> ! <libraryFunction>derivative</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</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>double</type> <tensorRank>scalar</tensorRank> ! <description>interpolated y values</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation'> ! <description>Returns the second derivative of the interpolated curve</description> ! <libraryFunction>secondDerivative</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</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>double</type> <tensorRank>scalar</tensorRank> ! <description>interpolated y values</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlInterpolationPrimitive' libraryClass='Interpolation'> ! <description>Returns the primitive of the interpolated curve</description> ! <libraryFunction>primitive</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>double</type> ! <tensorRank>scalar</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>double</type> <tensorRank>scalar</tensorRank> ! <description>interpolated y 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'> ! <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>double</type> ! <tensorRank>scalar</tensorRank> ! <description>x values</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>TRUE if the input value is in the allowed interpolation range</description> ! </ReturnValue> ! </Member> + </Functions> + </Category> |
|
From: Eric E. <eri...@us...> - 2006-06-08 01:46:28
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30184 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** todo.csv 1 Jun 2006 18:42:11 -0000 1.10 --- todo.csv 7 Jun 2006 13:35:32 -0000 1.11 *************** *** 1,12 **** "project","subproject","task","status","priority","comp date","comment" ,,,,,, "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","implement XIBOR etc as Enumerations expose their public interface QL changes required",,1,, ! "QLA","Design","use ""instanceName"" instead of ""handle"" required to avoid confusion with QuantLib::Handle","in progress",1,, ! "OH","Design","""singleton"" object - static inputs & handle - load from VO? - lazy instantiation?","in progress",2,,"implement as extension of Enumeration Registry?" ! "OH","Design","add support for permanent objects objects which aren't deconstructed/reconstructed unless their inputs (VOs) change","in progress",2,, ! "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","done",1,, "OH","Design","if user supplies handle stub he must ensure it's unique / link handle stub to calling cell (?)","done",1,05/31/2006, ,,,,,, --- 1,14 ---- "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",,3,,"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, ,,,,,, *************** *** 36,40 **** "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","General Support","EXPORT_QL_OBJECT macro not fully polymorphic",,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,, --- 38,41 ---- |
|
From: Eric E. <eri...@us...> - 2006-06-07 22:27:14
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21651/gensrc/config Added Files: config.xml excel.xml Log Message: autogenerate ObjectHandler code --- NEW FILE: config.xml --- <Config> <qlaRootDirectory>../../QuantLibAddin/qlo/</qlaRootDirectory> <voRootDirectory>../../QuantLibAddin/qlo/</voRootDirectory> <excelRootDirectory>../../QuantLibXL/qlxl/</excelRootDirectory> <usingEnumerations>true</usingEnumerations> <namespace>QuantLibAddin</namespace> <categoryNames> <categoryName>calendar</categoryName> <categoryName>capfloor</categoryName> <categoryName>couponvectors</categoryName> <categoryName>date</categoryName> <categoryName>daycounter</categoryName> <categoryName>exercise</categoryName> <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> <categoryName>mathf</categoryName> <categoryName>options</categoryName> <categoryName>prices</categoryName> <categoryName>processes</categoryName> <categoryName>randomsequencegenerator</categoryName> <categoryName>schedule</categoryName> <categoryName>shortratemodels</categoryName> <categoryName>swap</categoryName> <categoryName>termstructures</categoryName> <categoryName>utilities</categoryName> <categoryName>vanillaswap</categoryName> <categoryName>volatilities</categoryName> <categoryName>xibor</categoryName> </categoryNames> </Config> --- NEW FILE: excel.xml --- <root> <AddinFiles> <AddinFile name='qladdin.cpp'> <Buffer name='stub' fileName='stub.excel.register' local='true'/> </AddinFile> </AddinFiles> <implicitConversions> <implicitConversion>QuantLib::DiscountFactor</implicitConversion> <implicitConversion>QuantLib::Rate</implicitConversion> </implicitConversions> </root> |
|
From: Eric E. <eri...@us...> - 2006-06-07 22:26:38
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21651/gensrc/stubs Added Files: stub.copyright stub.excel.includes stub.excel.register Log Message: autogenerate ObjectHandler code --- NEW FILE: stub.excel.register --- #include <oh/objhandlerdefines.hpp> #include <windows.h> #include <xlsdk/xlcall.h> #include <xlsdk/framewrk.hpp> #include <xlsdk/xlsdkdefines.hpp> #include <ohxl/conversions.hpp> #include <qlo/qladdindefines.hpp> /* Use BOOST_MSVC instead of _MSC_VER since some other vendors (Metrowerks, for example) also #define _MSC_VER */ #if defined BOOST_MSVC // Microsoft Visual C++ # define BOOST_LIB_DIAGNOSTIC # include <qlo/auto_link.hpp> # include <oh/auto_link.hpp> # if defined(XLL_STATIC) #include <ohxl/register.hpp> #include <ohxl/unregister.hpp> #include <ohxl/export.hpp> #pragma message("XLL_STATIC is defined") # elif defined(XLL_IMPORTS) #include <xlsdk/auto_link.hpp> #pragma message("XLL_IMPORTS is defined") # endif # undef BOOST_LIB_DIAGNOSTIC #endif #if defined COMPILING_XLL # pragma message("COMPILING_XLL is defined") #else # pragma message("COMPILING_XLL is NOT defined") #endif #include <string> #include <sstream> DLLEXPORT void xlAutoFree(XLOPER *px) { if (px->xltype & xltypeStr && px->val.str) delete [] px->val.str; else if (px->xltype & xltypeMulti && px->val.array.lparray) { int size = px->val.array.rows * px->val.array.columns; for (int i=0; i<size; i++) if (px->val.array.lparray[i].xltype & xltypeStr && px->val.array.lparray[i].val.str) delete [] px->val.array.lparray[i].val.str; delete [] px->val.array.lparray; } } DLLEXPORT XLOPER *xlAddInManagerInfo(XLOPER *xlAction) { XLOPER xlReturn; static XLOPER xlLongName; // Coerce the argument XLOPER to an integer. Excel(xlCoerce, &xlReturn, 2, xlAction, TempInt(xltypeInt)); // The only valid argument value is 1. In this case we return the // long name for the XLL. Any other value should result in the // return of a #VALUE! error. if (1 == xlReturn.val.w) { ObjHandler::scalarToXloper(xlLongName, std::string("QuantLibAddin 0.3.13")); } else { xlLongName.xltype = xltypeErr; xlLongName.val.err = xlerrValue; } return &xlLongName; } DLLEXPORT int xlAutoOpen() { XLOPER xDll; try { Excel(xlGetName, &xDll, 0); #ifdef XLL_STATIC ohRegisterFunctions(xDll); #endif %(xlregister)s Excel(xlFree, 0, 1, &xDll); return 1; } catch (const std::exception &e) { std::ostringstream err; err << "Error loading QuantLibAddin: " << e.what(); Excel(xlcAlert, 0, 1, TempStrStl(err.str())); Excel(xlFree, 0, 1, &xDll); return 0; } catch (...) { Excel(xlFree, 0, 1, &xDll); return 0; } } DLLEXPORT int xlAutoClose() { static XLOPER xDll; try { Excel(xlGetName, &xDll, 0); #ifdef XLL_STATIC ohUnregisterFunctions(xDll); #endif // Unregister each function. Due to a bug in Excel's C API this is a // two-step process. Thanks to Laurent Longre for discovering the // workaround implemented here. XLOPER xlRegID; %(xlunregister)s Excel(xlFree, 0, 1, &xDll); return 1; } catch (...) { Excel(xlFree, 0, 1, &xDll); return 0; } } --- NEW FILE: stub.copyright --- /* Copyright (C) 2004, 2005, 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet Copyright (C) 2004, 2005, 2006 Eric Ehlers Copyright (C) 2006 Katiuscia Manzoni Copyright (C) 2006 Marco Marchioro--StatPro Italia Copyright (C) 2005, 2006 Plamen Neykov Copyright (C) 2005 Walter Penschke Copyright (C) 2004, 2005 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ --- NEW FILE: stub.excel.includes --- #include <qlo/qladdindefines.hpp> #include <qlo/typefactory.hpp> #include <qlo/conversions.hpp> %(includes)s #include <xlsdk/xlsdk.hpp> #include <oh/objhandler.hpp> #include <ohxl/conversions.hpp> #include <ohxl/functioncall.hpp> #include <qlxl/session.hpp> #define XLL_DEC DLLEXPORT |
|
From: Eric E. <eri...@us...> - 2006-06-07 22:26:34
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27880/config Log Message: Directory /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config added to the repository |
|
From: Eric E. <eri...@us...> - 2006-06-07 22:26:29
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27942/stubs Log Message: Directory /cvsroot/quantlibaddin/QuantLibAddin/gensrc/stubs added to the repository |
