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From: Eric E. <eri...@us...> - 2006-06-07 22:26:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18940/gensrc/metadata Removed Files: config.xml Log Message: autogenerate ObjectHandler code --- config.xml DELETED --- |
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From: Eric E. <eri...@us...> - 2006-06-07 22:26:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21651/gensrc Modified Files: Makefile.vc Removed Files: stub.copyright Log Message: autogenerate ObjectHandler code Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Makefile.vc 6 Jun 2006 08:10:05 -0000 1.3 --- Makefile.vc 6 Jun 2006 09:09:07 -0000 1.4 *************** *** 5,32 **** SCRIPT=scripts\gensrc.py ! METADATA=\ ! metadata\calendar.xml \ ! metadata\capfloor.xml \ ! metadata\config.xml \ ! metadata\couponvectors.xml \ ! metadata\date.xml \ ! metadata\daycounter.xml \ ! metadata\enumerations.xml \ ! metadata\exercise.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\termstructures.xml \ ! metadata\utilities.xml \ ! metadata\vanillaswap.xml \ ! metadata\volatilities.xml \ ! metadata\xibor.xml ALL : $(BUILDFLAG) --- 5,37 ---- 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\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\termstructures.xml \ ! metadata\utilities.xml \ ! metadata\volatilities.xml \ ! metadata\xibor.xml ! ! CONFIG= config\config.xml \ ! config\excel.xml ! ! STUBS= stubs\stub.copyright \ ! stubs\stub.excel.register ! ! INPUTS = $(METADATA) $(CONFIG) $(STUBS) ALL : $(BUILDFLAG) *************** *** 35,39 **** if not exist $(BUILD_DIR) mkdir $(BUILD_DIR) ! $(BUILDFLAG) : $(SCRIPT) $(METADATA) $(BUILD_DIR) set PYTHONPATH=$(GENSRC_DIR)\import # $(SCRIPT) -a --- 40,44 ---- if not exist $(BUILD_DIR) mkdir $(BUILD_DIR) ! $(BUILDFLAG) : $(SCRIPT) $(INPUTS) $(BUILD_DIR) set PYTHONPATH=$(GENSRC_DIR)\import # $(SCRIPT) -a --- stub.copyright DELETED --- |
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From: Eric E. <eri...@us...> - 2006-06-07 22:26:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7356/gensrc Modified Files: gensrc_vc8.vcproj Log Message: update directories Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** gensrc_vc8.vcproj 6 Jun 2006 08:10:05 -0000 1.3 --- gensrc_vc8.vcproj 6 Jun 2006 10:57:52 -0000 1.4 *************** *** 40,47 **** <Files> <Filter ! Name="scripts" > <File ! RelativePath="scripts\gensrc.py" > </File> --- 40,51 ---- <Files> <Filter ! Name="config" > <File ! RelativePath="config\config.xml" ! > ! </File> ! <File ! RelativePath="config\excel.xml" > </File> *************** *** 59,66 **** </File> <File - RelativePath="metadata\config.xml" - > - </File> - <File RelativePath="metadata\couponvectors.xml" > --- 63,66 ---- *************** *** 143,152 **** </File> </Filter> ! <File ! RelativePath="Makefile.vc" > ! </File> <File ! RelativePath=".\stub.copyright" > </File> --- 143,172 ---- </File> </Filter> ! <Filter ! Name="scripts" > ! <File ! RelativePath="scripts\gensrc.py" ! > ! </File> ! </Filter> ! <Filter ! Name="stubs" ! > ! <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" > </File> |
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From: Ferdinando A. <na...@us...> - 2006-06-06 19:54:52
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24886/gensrc/metadata Modified Files: swap.xml Log Message: updated Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swap.xml 6 Jun 2006 17:16:47 -0000 1.4 --- swap.xml 6 Jun 2006 19:53:15 -0000 1.5 *************** *** 37,41 **** <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Zero based leg number (e.g. input zero for the first leg)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 37,41 ---- <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Zero based leg number (e.g. 0 for the first leg, 1 for the second leg, etc)</description> </Parameter> <Parameter name='trigger' ignore='true'> *************** *** 62,66 **** <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Zero based leg number (e.g. input zero for the first leg)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 62,66 ---- <type>long</type> <tensorRank>scalar</tensorRank> ! <description>Zero based leg number (e.g. 0 for the first leg, 1 for the second leg, etc)</description> </Parameter> <Parameter name='trigger' ignore='true'> |
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From: Ferdinando A. <na...@us...> - 2006-06-06 19:54:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24886 Modified Files: todonando.txt Log Message: updated Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** todonando.txt 5 Jun 2006 13:28:46 -0000 1.4 --- todonando.txt 6 Jun 2006 19:53:15 -0000 1.5 *************** *** 47,50 **** --- 47,51 ---- - 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 *************** *** 52,58 **** --- 53,66 ---- - 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 + SPREADSHEETS - signed spreadsheet and macro - testare perche' non funziona con due curve (es EURYC, EURYC2) + - normsdist bug RICHIESTE ASSURDE |
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From: Ferdinando A. <na...@us...> - 2006-06-06 19:39:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4982/qlo Modified Files: swap.cpp swap.hpp vanillaswap.cpp vanillaswap.hpp Log Message: 1) in synch with QuantLib Swap/VanillaSwap refactoring 2) VaniilaSwap now inherits from Swap (as in QuantLib) still to do: export to Excel multi-leg swap Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** swap.cpp 6 Jun 2006 08:10:05 -0000 1.3 --- swap.cpp 6 Jun 2006 17:16:48 -0000 1.4 *************** *** 2,7 **** /* Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 2,9 ---- /* Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2006 Katiuscia Manzoni This file is part of QuantLib, a free-software/open-source library *************** *** 23,26 **** --- 25,29 ---- #include <qlo/swap.hpp> + #include <ql/CashFlows/parcoupon.hpp> namespace QuantLibAddin { *************** *** 37,43 **** mInstrument = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::Swap(paidLeg, recvLeg, discountingTermStructure)); } ! } --- 40,89 ---- mInstrument = boost::shared_ptr<QuantLib::Instrument>( ! new QuantLib::Swap(discountingTermStructure, paidLeg, recvLeg)); } ! ! ! const std::vector<std::vector<double> >& Swap::legAnalysis(QuantLib::Size i) { ! const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& cashflows = ! getObject().leg(i); ! ! flowAnalysis_.clear(); ! for(QuantLib::Size i = 0; i < cashflows.size(); i++) { ! std::vector<double> cf; ! ! cf.push_back(cashflows[i]->date().serialNumber()); ! cf.push_back(cashflows[i]->amount()); ! ! boost::shared_ptr<QuantLib::Coupon> c = ! boost::dynamic_pointer_cast<QuantLib::Coupon>(cashflows[i]); ! cf.push_back(c->nominal()); ! cf.push_back(c->accrualStartDate().serialNumber()); ! cf.push_back(c->accrualEndDate().serialNumber()); ! cf.push_back(c->accrualDays()); ! //cf.push_back(c->dayCounter().name()); ! cf.push_back(c->accrualPeriod()); ! cf.push_back(c->rate()); ! ! boost::shared_ptr<QuantLib::ParCoupon> floatingCoupon = ! boost::dynamic_pointer_cast<QuantLib::ParCoupon>(cashflows[i]); ! if (floatingCoupon!=0) { ! cf.push_back(floatingCoupon->fixingDays()); ! cf.push_back(floatingCoupon->fixingDate().serialNumber()); ! cf.push_back(floatingCoupon->indexFixing()); ! cf.push_back(floatingCoupon->spread()); ! } else { ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); ! cf.push_back(0.0); ! } ! ! flowAnalysis_.push_back(cf); ! } ! return flowAnalysis_; ! } ! ! ! } Index: vanillaswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vanillaswap.hpp 6 Jun 2006 08:10:05 -0000 1.1 --- vanillaswap.hpp 6 Jun 2006 17:16:48 -0000 1.2 *************** *** 21,31 **** #define qla_simpleswap_hpp - #include <qlo/baseinstruments.hpp> #include <qlo/xibor.hpp> #include <ql/Instruments/vanillaswap.hpp> namespace QuantLibAddin { ! class VanillaSwap : public Instrument { public: VanillaSwap( --- 21,31 ---- #define qla_simpleswap_hpp #include <qlo/xibor.hpp> #include <ql/Instruments/vanillaswap.hpp> + #include <qlo/swap.hpp> namespace QuantLibAddin { ! class VanillaSwap : public Swap { public: VanillaSwap( *************** *** 51,60 **** EXPORT_UNDERLYING_OBJECT(QuantLib::VanillaSwap, mInstrument) ! const std::vector<std::vector<double> >& getFixLeg(); ! const std::vector<std::vector<double> >& getFloatLeg(); - private: - std::vector<std::vector<double> > fixLeg; - std::vector<std::vector<double> > floatLeg; }; } --- 51,61 ---- EXPORT_UNDERLYING_OBJECT(QuantLib::VanillaSwap, mInstrument) ! const std::vector<std::vector<double> >& fixedLeg() { ! return Swap::legAnalysis(0); ! } ! const std::vector<std::vector<double> >& floatingLeg() { ! return Swap::legAnalysis(1); ! } }; } Index: vanillaswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaswap.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vanillaswap.cpp 6 Jun 2006 08:10:05 -0000 1.1 --- vanillaswap.cpp 6 Jun 2006 17:16:48 -0000 1.2 *************** *** 2,7 **** /* Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 2,9 ---- /* Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2006 Katiuscia Manzoni This file is part of QuantLib, a free-software/open-source library *************** *** 74,114 **** } - const std::vector<std::vector<double> >& - VanillaSwap::getFixLeg() { - const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& flows = getObject().fixedLeg(); - fixLeg.clear(); - for(size_t i = 0; i < flows.size(); i++) { - std::vector<double> cf; - QuantLib::FixedRateCoupon& c = (QuantLib::FixedRateCoupon&) *(flows[i]); - cf.push_back(c.accrualStartDate().serialNumber()); - cf.push_back(c.accrualEndDate().serialNumber()); - cf.push_back(c.date().serialNumber()); - cf.push_back(c.accrualPeriod()); - cf.push_back(c.accrualDays()); - cf.push_back(c.amount()); - fixLeg.push_back(cf); - } - return fixLeg; - } - - const std::vector<std::vector<double> >& - VanillaSwap::getFloatLeg() { - const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& flows = getObject().floatingLeg(); - floatLeg.clear(); - for(size_t i = 0; i < flows.size(); i++) { - std::vector<double> cf; - QuantLib::ParCoupon& c = (QuantLib::ParCoupon&)*(flows[i]); - cf.push_back(c.accrualStartDate().serialNumber()); - cf.push_back(c.accrualEndDate().serialNumber()); - cf.push_back(c.date().serialNumber()); - cf.push_back(c.fixingDate().serialNumber()); - cf.push_back(c.accrualPeriod()); - cf.push_back(c.accrualDays()); - cf.push_back(c.amount()); - cf.push_back(c.indexFixing()); - floatLeg.push_back(cf); - } - return floatLeg; - } } - --- 76,78 ---- Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** swap.hpp 24 May 2006 14:59:44 -0000 1.2 --- swap.hpp 6 Jun 2006 17:16:48 -0000 1.3 *************** *** 2,7 **** /* Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 2,9 ---- /* Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet + Copyright (C) 2005 Plamen Neykov + Copyright (C) 2006 Katiuscia Manzoni This file is part of QuantLib, a free-software/open-source library *************** *** 34,39 **** const boost::shared_ptr < CouponVector > &recvLegWrapper, const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure); ! ! EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument) }; --- 36,49 ---- const boost::shared_ptr < CouponVector > &recvLegWrapper, const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure); ! ! EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument); ! ! const std::vector<std::vector<double> >& legAnalysis(QuantLib::Size i); ! ! protected: ! Swap() {} ! ! private: ! std::vector<std::vector<double> > flowAnalysis_; }; |
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From: Ferdinando A. <na...@us...> - 2006-06-06 19:38:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1853/gensrc/metadata Modified Files: instruments.xml Log Message: exporting full Instrument interface Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** instruments.xml 31 May 2006 18:45:14 -0000 1.3 --- instruments.xml 6 Jun 2006 17:12:00 -0000 1.4 *************** *** 1,5 **** <Category name='instruments'> ! <description>functions to construct QuantLib instrument objects</description> ! <displayName>Instruments</displayName> <includes> <include>ql/Instruments/fixedcouponbond.hpp</include> --- 1,5 ---- <Category name='instruments'> ! <description>functions to construct QuantLib instrument objects</description> ! <displayName>Instruments</displayName> <includes> <include>ql/Instruments/fixedcouponbond.hpp</include> *************** *** 12,344 **** <Functions> ! <Member name='qlBondAccruedAmount' libraryClass='FixedCouponBond'> ! <description>Accrued: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>accruedAmount</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the accrual</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondCleanPrice' libraryClass='FixedCouponBond'> ! <description>If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>cleanPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='yield'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>bond yield</description> ! </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the clean price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondDirtyPrice' libraryClass='FixedCouponBond'> ! <description>dirty price: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>dirtyPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='yield'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>bond yield</description> ! </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the dirty price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> ! <description>theoretical clean price: The default bond settlement is used for calculation.</description> ! <libraryFunction>cleanPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the theoretical clean price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondThDirtyPrice' libraryClass='FixedCouponBond'> ! <description>theoretical dirty price: The default bond settlement is used for calculation.</description> ! <libraryFunction>dirtyPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the theoretical dirty price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondThYield' libraryClass='FixedCouponBond'> ! <description>theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> ! <libraryFunction>yield</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='Compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the theoretical yield</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondYield' libraryClass='FixedCouponBond'> ! <description>Yield: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>yield</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='cleanPrice'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Clean Price</description> ! </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the dirty price</description> ! </ReturnValue> ! </Member> ! <Constructor name='qlFixedCouponBond'> ! <libraryFunction>FixedCouponBond</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='issueDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>issue date</description> ! </Parameter> ! <Parameter name='firstCouponDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>first coupon date</description> ! </Parameter> ! <Parameter name='maturityDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity date</description> ! </Parameter> ! <Parameter name='settlementDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement days</description> ! </Parameter> ! <Parameter name='coupons'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupons</description> ! </Parameter> ! <Parameter name='nominal'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>nominals</description> ! </Parameter> ! <Parameter name='Redemption'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Redemption</description> ! </Parameter> ! <Parameter name='frequency' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>frequency ID</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='accrualBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Accrual Business Day Convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='paymentBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Payment Business Day Convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='startFromEnd'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>build schedule backwards (start from maturity)</description> ! </Parameter> ! <Parameter name='longFinal'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>long first/last period</description> ! </Parameter> ! <Parameter name='DiscountCurve' default='""'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle of the Yield Curve used for discounting</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Constructor name='qlZeroCouponBond'> ! <libraryFunction>ZeroCouponBond</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='issueDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>issue date</description> ! </Parameter> ! <Parameter name='maturityDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity date</description> ! </Parameter> ! <Parameter name='settlementDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement days</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>BusinessDayConvention</description> ! </Parameter> ! <Parameter name='redemption'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>redemption</description> ! </Parameter> ! <Parameter name='handleZeroCurve' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle of the Zero Curve object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! <Member name='qlNPV' libraryClass='Instrument'> ! <description>NPV</description> ! <libraryFunction>NPV</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>NPV</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> --- 12,384 ---- <Functions> ! <Member name='qlBondAccruedAmount' libraryClass='FixedCouponBond'> ! <description>Accrued: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>accruedAmount</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the accrual</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondCleanPrice' libraryClass='FixedCouponBond'> ! <description>If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>cleanPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='yield'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>bond yield</description> ! </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the clean price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondDirtyPrice' libraryClass='FixedCouponBond'> ! <description>dirty price: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>dirtyPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='yield'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>bond yield</description> ! </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the dirty price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> ! <description>theoretical clean price: The default bond settlement is used for calculation.</description> ! <libraryFunction>cleanPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the theoretical clean price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondThDirtyPrice' libraryClass='FixedCouponBond'> ! <description>theoretical dirty price: The default bond settlement is used for calculation.</description> ! <libraryFunction>dirtyPrice</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the theoretical dirty price</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondThYield' libraryClass='FixedCouponBond'> ! <description>theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> ! <libraryFunction>yield</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='Compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dep tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the theoretical yield</description> ! </ReturnValue> ! </Member> ! <Member name='qlBondYield' libraryClass='FixedCouponBond'> ! <description>Yield: If no settlement is given the default bond settlement is used for calculation.</description> ! <libraryFunction>yield</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='cleanPrice'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Clean Price</description> ! </Parameter> ! <Parameter name='compounding' libraryType='QuantLib::Compounding'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> ! </Parameter> ! <Parameter name='settlementDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the dirty price</description> ! </ReturnValue> ! </Member> ! <Constructor name='qlFixedCouponBond'> ! <libraryFunction>FixedCouponBond</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='issueDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>issue date</description> ! </Parameter> ! <Parameter name='firstCouponDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>first coupon date</description> ! </Parameter> ! <Parameter name='maturityDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity date</description> ! </Parameter> ! <Parameter name='settlementDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement days</description> ! </Parameter> ! <Parameter name='coupons'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupons</description> ! </Parameter> ! <Parameter name='nominal'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>nominals</description> ! </Parameter> ! <Parameter name='Redemption'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>Redemption</description> ! </Parameter> ! <Parameter name='frequency' enumeration='QuantLib::Frequency'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>frequency ID</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='accrualBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Accrual Business Day Convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='paymentBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Payment Business Day Convention (e.g. ModifiedFollowing)</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='startFromEnd'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>build schedule backwards (start from maturity)</description> ! </Parameter> ! <Parameter name='longFinal'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>long first/last period</description> ! </Parameter> ! <Parameter name='DiscountCurve' default='""'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle of the Yield Curve used for discounting</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Constructor name='qlZeroCouponBond'> ! <libraryFunction>ZeroCouponBond</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='issueDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>issue date</description> ! </Parameter> ! <Parameter name='maturityDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maturity date</description> ! </Parameter> ! <Parameter name='settlementDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>settlement days</description> ! </Parameter> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET)</description> ! </Parameter> ! <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>BusinessDayConvention</description> ! </Parameter> ! <Parameter name='redemption'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>redemption</description> ! </Parameter> ! <Parameter name='handleZeroCurve' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle of the Zero Curve object</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Member name='qlNPV' libraryClass='Instrument'> ! <description>Returns Instrument's NPV</description> ! <libraryFunction>NPV</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>NPV</description> ! </ReturnValue> ! </Member> ! <Member name='qlNPVErrorEstimate' libraryClass='Instrument'> ! <description>Returns Instrument's NPV error estimation (e.g. Monte Carlo simulation)</description> ! <libraryFunction>errorEstimate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>NPV error estimation</description> ! </ReturnValue> ! </Member> ! <Member name='qlIsExpired' libraryClass='Instrument'> ! <description>Returns TRUE if the Instrument is expired</description> ! <libraryFunction>isExpired</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>TRUE if the Instrument is expired</description> ! </ReturnValue> ! </Member> ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-06 19:38:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4982/gensrc/metadata Modified Files: swap.xml vanillaswap.xml Log Message: 1) in synch with QuantLib Swap/VanillaSwap refactoring 2) VaniilaSwap now inherits from Swap (as in QuantLib) still to do: export to Excel multi-leg swap Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vanillaswap.xml 6 Jun 2006 08:10:05 -0000 1.1 --- vanillaswap.xml 6 Jun 2006 17:16:47 -0000 1.2 *************** *** 103,107 **** </Constructor> ! <Member name='qlSwapFairRate' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairRate</libraryFunction> --- 103,107 ---- </Constructor> ! <Member name='qlVanillaSwapFairRate' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairRate</libraryFunction> *************** *** 123,127 **** </Member> ! <Member name='qlSwapFairSpread' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairSpread</libraryFunction> --- 123,127 ---- </Member> ! <Member name='qlVanillaSwapFairSpread' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairSpread</libraryFunction> *************** *** 143,149 **** </Member> ! <Member name='qlSwapGetFixLeg' objectClass='VanillaSwap'> ! <description>The Fixed Leg Details</description> ! <libraryFunction>getFixLeg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 143,149 ---- </Member> ! <Member name='qlVanillaSwapFixedLeg' objectClass='VanillaSwap'> ! <description>The fixed leg cash flow analysis</description> ! <libraryFunction>fixedLeg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 154,162 **** <type>double</type> <tensorRank>matrix</tensorRank> ! <description>The Fixed Leg Details</description> </ReturnValue> </Member> ! <Member name='qlSwapFixedLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the fixed leg</description> <libraryFunction>fixedLegBPS</libraryFunction> --- 154,162 ---- <type>double</type> <tensorRank>matrix</tensorRank> ! <description>The fixed leg cash flow analysis</description> </ReturnValue> </Member> ! <Member name='qlVanillaSwapFixedLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the fixed leg</description> <libraryFunction>fixedLegBPS</libraryFunction> *************** *** 174,184 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the fix leg BPS</description> </ReturnValue> </Member> ! <Member name='qlSwapGetFloatLeg' objectClass='VanillaSwap'> ! <description>The Float Leg Details</description> ! <libraryFunction>getFloatLeg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 174,184 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the fixed leg BPS</description> </ReturnValue> </Member> ! <Member name='qlVanillaSwapFloatingLeg' objectClass='VanillaSwap'> ! <description>The floating leg cash flow analysis</description> ! <libraryFunction>floatingLeg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 194,202 **** <type>double</type> <tensorRank>matrix</tensorRank> ! <description>The Float Leg Details</description> </ReturnValue> </Member> ! <Member name='qlSwapFloatingLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the floating leg</description> <libraryFunction>floatingLegBPS</libraryFunction> --- 194,202 ---- <type>double</type> <tensorRank>matrix</tensorRank> ! <description>The floating leg cash flow analysis</description> </ReturnValue> </Member> ! <Member name='qlVanillaSwapFloatingLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the floating leg</description> <libraryFunction>floatingLegBPS</libraryFunction> *************** *** 214,218 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the float leg BPS</description> </ReturnValue> </Member> --- 214,218 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the floating leg BPS</description> </ReturnValue> </Member> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** swap.xml 6 Jun 2006 08:10:05 -0000 1.3 --- swap.xml 6 Jun 2006 17:16:47 -0000 1.4 *************** *** 28,37 **** </Constructor> ! <Member name='qlSwapFirstLegBPS' libraryClass='Swap'> ! <description>the BPS of the first leg</description> ! <libraryFunction>firstLegBPS</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> --- 28,42 ---- </Constructor> ! <Member name='qlSwapLegAnalysis' objectClass='Swap'> ! <description>Cash flow analysis of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legAnalysis</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> + <Parameter name='legNumber'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>Zero based leg number (e.g. input zero for the first leg)</description> + </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> *************** *** 43,57 **** <ReturnValue> <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>the first leg BPS</description> </ReturnValue> </Member> ! <Member name='qlSwapSecondLegBPS' libraryClass='Swap'> ! <description>the BPS of the first leg</description> ! <libraryFunction>secondLegBPS</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> --- 48,67 ---- <ReturnValue> <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>Leg cash flow analysis</description> </ReturnValue> </Member> ! <Member name='qlSwapLegBPS' libraryClass='Swap'> ! <description>the BPS of the i-th leg. The indexing is zero based: use 0 for the first leg.</description> ! <libraryFunction>legBPS</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> + <Parameter name='legNumber'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>Zero based leg number (e.g. input zero for the first leg)</description> + </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> *************** *** 64,68 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the second leg BPS</description> </ReturnValue> </Member> --- 74,78 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the leg BPS</description> </ReturnValue> </Member> *************** *** 110,112 **** </Functions> </Category> - --- 120,121 ---- |
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From: Ferdinando A. <na...@us...> - 2006-06-06 08:10:11
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22689/qlo Modified Files: .cvsignore instruments.hpp swap.cpp Added Files: vanillaswap.cpp vanillaswap.hpp Removed Files: simpleswap.cpp simpleswap.hpp Log Message: renaming simpleswap.* files as vanillaswap.*, according to the actual class name Index: .cvsignore =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** .cvsignore 19 May 2006 16:56:16 -0000 1.1 --- .cvsignore 6 Jun 2006 08:10:05 -0000 1.2 *************** *** 21,27 **** vo_schedule.*pp vo_shortratemodels.*pp - vo_simpleswap.*pp vo_swap.*pp vo_termstructures.*pp vo_volatilities.*pp vo_xibor.*pp --- 21,27 ---- vo_schedule.*pp vo_shortratemodels.*pp vo_swap.*pp vo_termstructures.*pp + vo_vanillaswap.*pp vo_volatilities.*pp vo_xibor.*pp --- simpleswap.hpp DELETED --- --- NEW FILE: vanillaswap.hpp --- /* Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet 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_simpleswap_hpp #define qla_simpleswap_hpp #include <qlo/baseinstruments.hpp> #include <qlo/xibor.hpp> #include <ql/Instruments/vanillaswap.hpp> namespace QuantLibAddin { class VanillaSwap : public Instrument { public: VanillaSwap( const QuantLib::Date &startDate, const QuantLib::Date &maturity, const QuantLib::Real &nominal, const bool &payFixed, const QuantLib::Rate &fixRate, const QuantLib::Calendar& calendar, const QuantLib::Frequency &fixFrqID, const QuantLib::BusinessDayConvention &fixBDCID, const QuantLib::DayCounter &fixDayCounter, const bool &fixStartFromEnd, const bool &fixLongFinal, //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, const boost::shared_ptr < QuantLib::Xibor > &index, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC); EXPORT_UNDERLYING_OBJECT(QuantLib::VanillaSwap, mInstrument) const std::vector<std::vector<double> >& getFixLeg(); const std::vector<std::vector<double> >& getFloatLeg(); private: std::vector<std::vector<double> > fixLeg; std::vector<std::vector<double> > floatLeg; }; } #endif --- NEW FILE: vanillaswap.cpp --- /* Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005 Plamen Neykov Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) #include <qlo/config.hpp> #endif #include <qlo/vanillaswap.hpp> #include <qlo/generalutils.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> #include <ql/CashFlows/fixedratecoupon.hpp> #include <ql/CashFlows/parcoupon.hpp> #include <vector> namespace QuantLibAddin { VanillaSwap::VanillaSwap( const QuantLib::Date &startDate, const QuantLib::Date &maturity, const QuantLib::Real &nominal, const bool &payFixed, const QuantLib::Rate &fixRate, const QuantLib::Calendar& calendar, const QuantLib::Frequency &fixFrq, const QuantLib::BusinessDayConvention &fixBDC, const QuantLib::DayCounter &fixDayCounter, const bool &fixStartFromEnd, const bool &fixLongFinal, //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, const boost::shared_ptr < QuantLib::Xibor > &index, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, const boost::shared_ptr < QuantLib::YieldTermStructure > &discYC) { QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure(discYC); QuantLib::Schedule fixedSchedule(calendar, startDate, maturity, fixFrq, fixBDC, QuantLib::Date(), fixStartFromEnd, fixLongFinal); QuantLib::Schedule floatSchedule(calendar, startDate, maturity, index->frequency(), index->businessDayConvention(), QuantLib::Date(), floatStartFromEnd, floatLongFinal); mInstrument = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::VanillaSwap(payFixed, nominal, fixedSchedule, fixRate, fixDayCounter, floatSchedule, index, index->settlementDays(), floatSpread, floatDayCounter, discountingTermStructure)); } const std::vector<std::vector<double> >& VanillaSwap::getFixLeg() { const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& flows = getObject().fixedLeg(); fixLeg.clear(); for(size_t i = 0; i < flows.size(); i++) { std::vector<double> cf; QuantLib::FixedRateCoupon& c = (QuantLib::FixedRateCoupon&) *(flows[i]); cf.push_back(c.accrualStartDate().serialNumber()); cf.push_back(c.accrualEndDate().serialNumber()); cf.push_back(c.date().serialNumber()); cf.push_back(c.accrualPeriod()); cf.push_back(c.accrualDays()); cf.push_back(c.amount()); fixLeg.push_back(cf); } return fixLeg; } const std::vector<std::vector<double> >& VanillaSwap::getFloatLeg() { const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& flows = getObject().floatingLeg(); floatLeg.clear(); for(size_t i = 0; i < flows.size(); i++) { std::vector<double> cf; QuantLib::ParCoupon& c = (QuantLib::ParCoupon&)*(flows[i]); cf.push_back(c.accrualStartDate().serialNumber()); cf.push_back(c.accrualEndDate().serialNumber()); cf.push_back(c.date().serialNumber()); cf.push_back(c.fixingDate().serialNumber()); cf.push_back(c.accrualPeriod()); cf.push_back(c.accrualDays()); cf.push_back(c.amount()); cf.push_back(c.indexFixing()); floatLeg.push_back(cf); } return floatLeg; } } --- simpleswap.cpp DELETED --- Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** swap.cpp 24 May 2006 14:59:44 -0000 1.2 --- swap.cpp 6 Jun 2006 08:10:05 -0000 1.3 *************** *** 36,40 **** discountingTermStructure.linkTo(termStructure); ! mInstrument = boost::shared_ptr<QuantLib::Swap>( new QuantLib::Swap(paidLeg, recvLeg, discountingTermStructure)); } --- 36,40 ---- discountingTermStructure.linkTo(termStructure); ! mInstrument = boost::shared_ptr<QuantLib::Instrument>( new QuantLib::Swap(paidLeg, recvLeg, discountingTermStructure)); } Index: instruments.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/instruments.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** instruments.hpp 19 May 2006 16:56:16 -0000 1.1 --- instruments.hpp 6 Jun 2006 08:10:05 -0000 1.2 *************** *** 21,25 **** #include <qlo/fixedcouponbond.hpp> #include <qlo/zerocouponbond.hpp> ! #include <qlo/simpleswap.hpp> #endif --- 21,25 ---- #include <qlo/fixedcouponbond.hpp> #include <qlo/zerocouponbond.hpp> ! #include <qlo/vanillaswap.hpp> #endif |
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From: Ferdinando A. <na...@us...> - 2006-06-06 08:10:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22689/gensrc/metadata Modified Files: config.xml swap.xml Added Files: vanillaswap.xml Removed Files: simpleswap.xml Log Message: renaming simpleswap.* files as vanillaswap.*, according to the actual class name --- simpleswap.xml DELETED --- Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/config.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** config.xml 23 May 2006 16:41:17 -0000 1.1 --- config.xml 6 Jun 2006 08:10:05 -0000 1.2 *************** *** 21,28 **** <categoryName>schedule</categoryName> <categoryName>shortratemodels</categoryName> - <categoryName>simpleswap</categoryName> <categoryName>swap</categoryName> <categoryName>termstructures</categoryName> <categoryName>utilities</categoryName> <categoryName>volatilities</categoryName> <categoryName>xibor</categoryName> --- 21,28 ---- <categoryName>schedule</categoryName> <categoryName>shortratemodels</categoryName> <categoryName>swap</categoryName> <categoryName>termstructures</categoryName> <categoryName>utilities</categoryName> + <categoryName>vanillaswap</categoryName> <categoryName>volatilities</categoryName> <categoryName>xibor</categoryName> --- NEW FILE: vanillaswap.xml --- <Category name='vanillaswap'> <description>construct and return a handle to a vanilla swap object</description> <displayName>Vanilla Swap</displayName> <Functions> <Constructor name='qlVanillaSwap'> <libraryFunction>VanillaSwap</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='StartDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity date</description> </Parameter> <Parameter name='Nominal'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Notional Amount</description> </Parameter> <Parameter name='PayFixed'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>pay or receive the fixed rate</description> </Parameter> <Parameter name='FixRate'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the fixed rate</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='FixFrq' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Fixed Leg Frequency</description> </Parameter> <Parameter name='FixBDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Fixed Leg Business Day Convention</description> </Parameter> <Parameter name='FixDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>fixed leg day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='fixStartFromEnd'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>build fixed leg schedule backwards (start from maturity)</description> </Parameter> <Parameter name='fixLongFinal'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>fixed leg schedule long first/last period</description> </Parameter> <!--Parameter name='FltFrq'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Floating Leg Frequency</description> </Parameter--> <Parameter name='FloatdayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='IndexHandle' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of the Index for the float leg</description> </Parameter> <Parameter name='fltStartFromEnd'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>build floating leg schedule backwards (start from maturity)</description> </Parameter> <Parameter name='fltLongFinal'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>floating leg schedule long first/last period</description> </Parameter> <Parameter name='FloatSpread'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Index Spread</description> </Parameter> <Parameter name='DiscountCurve' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of the Yield Curve used for discounting</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlSwapFairRate' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the fair rate</description> </ReturnValue> </Member> <Member name='qlSwapFairSpread' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairSpread</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the fair spread</description> </ReturnValue> </Member> <Member name='qlSwapGetFixLeg' objectClass='VanillaSwap'> <description>The Fixed Leg Details</description> <libraryFunction>getFixLeg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>matrix</tensorRank> <description>The Fixed Leg Details</description> </ReturnValue> </Member> <Member name='qlSwapFixedLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the fixed leg</description> <libraryFunction>fixedLegBPS</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the fix leg BPS</description> </ReturnValue> </Member> <Member name='qlSwapGetFloatLeg' objectClass='VanillaSwap'> <description>The Float Leg Details</description> <libraryFunction>getFloatLeg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>matrix</tensorRank> <description>The Float Leg Details</description> </ReturnValue> </Member> <Member name='qlSwapFloatingLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the floating leg</description> <libraryFunction>floatingLegBPS</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the float leg BPS</description> </ReturnValue> </Member> </Functions> </Category> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** swap.xml 24 May 2006 14:59:43 -0000 1.2 --- swap.xml 6 Jun 2006 08:10:05 -0000 1.3 *************** *** 1,32 **** <Category name='swap'> ! <description>functions to construct QuantLib swap objects</description> ! <displayName>Swap</displayName> ! <Functions> ! <Constructor name='qlSwap'> ! <libraryFunction>Swap</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='paidLegID' objectClass='CouponVector'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to paid leg</description> ! </Parameter> ! <Parameter name='recvLegID' objectClass='CouponVector'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to receveid leg</description> ! </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> </Category> --- 1,112 ---- <Category name='swap'> ! <description>functions to construct QuantLib swap objects</description> ! <displayName>Swap</displayName> ! <Functions> ! <Constructor name='qlSwap'> ! <libraryFunction>Swap</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='paidLegID' objectClass='CouponVector'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle to paid leg</description> ! </Parameter> ! <Parameter name='recvLegID' objectClass='CouponVector'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle to receveid leg</description> ! </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>handle to discounting term structure</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! ! <Member name='qlSwapFirstLegBPS' libraryClass='Swap'> ! <description>the BPS of the first leg</description> ! <libraryFunction>firstLegBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the first leg BPS</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwapSecondLegBPS' libraryClass='Swap'> ! <description>the BPS of the first leg</description> ! <libraryFunction>secondLegBPS</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the second leg BPS</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwapStartDate' libraryClass='Swap'> ! <description>the start date of the swap</description> ! <libraryFunction>startDate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>the start date of the swap</description> ! </ReturnValue> ! </Member> ! <Member name='qlSwapMaturity' libraryClass='Swap'> ! <description>the maturity date of the swap</description> ! <libraryFunction>maturity</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>the maturity date of the swap</description> ! </ReturnValue> ! </Member> ! ! </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-06 08:10:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22689 Modified Files: QuantLibObjects_vc8.vcproj Log Message: renaming simpleswap.* files as vanillaswap.*, according to the actual class name Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** QuantLibObjects_vc8.vcproj 5 Jun 2006 11:42:57 -0000 1.6 --- QuantLibObjects_vc8.vcproj 6 Jun 2006 08:10:05 -0000 1.7 *************** *** 419,426 **** </File> <File - RelativePath="qlo\simpleswap.cpp" - > - </File> - <File RelativePath="qlo\swap.cpp" > --- 419,422 ---- *************** *** 439,442 **** --- 435,442 ---- </File> <File + RelativePath=".\qlo\vanillaswap.cpp" + > + </File> + <File RelativePath="qlo\vo_calendar.cpp" > *************** *** 483,495 **** </File> <File ! RelativePath="qlo\vo_simpleswap.cpp" > </File> <File ! RelativePath="qlo\vo_swap.cpp" > </File> <File ! RelativePath="qlo\vo_termstructures.cpp" > </File> --- 483,495 ---- </File> <File ! RelativePath="qlo\vo_swap.cpp" > </File> <File ! RelativePath="qlo\vo_termstructures.cpp" > </File> <File ! RelativePath=".\qlo\vo_vanillaswap.cpp" > </File> *************** *** 628,635 **** </File> <File - RelativePath="qlo\simpleswap.hpp" - > - </File> - <File RelativePath="qlo\swap.hpp" > --- 628,631 ---- *************** *** 656,659 **** --- 652,659 ---- </File> <File + RelativePath=".\qlo\vanillaswap.hpp" + > + </File> + <File RelativePath="qlo\vo_calendar.hpp" > *************** *** 700,712 **** </File> <File ! RelativePath="qlo\vo_simpleswap.hpp" > </File> <File ! RelativePath="qlo\vo_swap.hpp" > </File> <File ! RelativePath="qlo\vo_termstructures.hpp" > </File> --- 700,712 ---- </File> <File ! RelativePath="qlo\vo_swap.hpp" > </File> <File ! RelativePath="qlo\vo_termstructures.hpp" > </File> <File ! RelativePath=".\qlo\vo_vanillaswap.hpp" > </File> |
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From: Ferdinando A. <na...@us...> - 2006-06-06 08:10:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22689/gensrc Modified Files: Makefile.vc gensrc_vc8.vcproj Log Message: renaming simpleswap.* files as vanillaswap.*, according to the actual class name Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** Makefile.vc 23 May 2006 17:34:45 -0000 1.2 --- Makefile.vc 6 Jun 2006 08:10:05 -0000 1.3 *************** *** 5,31 **** SCRIPT=scripts\gensrc.py ! METADATA=metadata\calendar.xml \ ! metadata\capfloor.xml \ ! metadata\config.xml \ ! metadata\couponvectors.xml \ ! metadata\date.xml \ ! metadata\daycounter.xml \ ! metadata\enumerations.xml \ ! metadata\exercise.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\simpleswap.xml \ ! metadata\swap.xml \ ! metadata\termstructures.xml \ ! metadata\utilities.xml \ ! metadata\volatilities.xml \ ! metadata\xibor.xml ALL : $(BUILDFLAG) --- 5,32 ---- SCRIPT=scripts\gensrc.py ! METADATA=\ ! metadata\calendar.xml \ ! metadata\capfloor.xml \ ! metadata\config.xml \ ! metadata\couponvectors.xml \ ! metadata\date.xml \ ! metadata\daycounter.xml \ ! metadata\enumerations.xml \ ! metadata\exercise.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\termstructures.xml \ ! metadata\utilities.xml \ ! metadata\vanillaswap.xml \ ! metadata\volatilities.xml \ ! metadata\xibor.xml ALL : $(BUILDFLAG) Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** gensrc_vc8.vcproj 23 May 2006 17:36:10 -0000 1.2 --- gensrc_vc8.vcproj 6 Jun 2006 08:10:05 -0000 1.3 *************** *** 119,126 **** </File> <File - RelativePath="metadata\simpleswap.xml" - > - </File> - <File RelativePath="metadata\swap.xml" > --- 119,122 ---- *************** *** 135,138 **** --- 131,138 ---- </File> <File + RelativePath=".\metadata\vanillaswap.xml" + > + </File> + <File RelativePath="metadata\volatilities.xml" > |
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From: Ferdinando A. <na...@us...> - 2006-06-06 02:54:23
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11898/qlo Modified Files: calendar.hpp Log Message: exportinf Calendar and DayCounter interface Index: calendar.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/calendar.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** calendar.hpp 23 May 2006 11:49:07 -0000 1.2 --- calendar.hpp 5 Jun 2006 13:28:46 -0000 1.3 *************** *** 34,38 **** } protected: ! boost::shared_ptr<QuantLib::JointCalendar> jointCalendar_; }; --- 34,38 ---- } protected: ! boost::shared_ptr<QuantLib::Calendar> jointCalendar_; }; |
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From: Ferdinando A. <na...@us...> - 2006-06-06 02:54:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25759 Modified Files: QuantLibObjects_vc8.vcproj Log Message: defining QL_DISABLE_DEPRECATED Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** QuantLibObjects_vc8.vcproj 25 May 2006 17:38:25 -0000 1.5 --- QuantLibObjects_vc8.vcproj 5 Jun 2006 11:42:57 -0000 1.6 *************** *** 44,48 **** InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="2" --- 44,48 ---- InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="2" *************** *** 121,125 **** InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="0" --- 121,125 ---- InlineFunctionExpansion="1" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;NDEBUG;_LIB" StringPooling="true" RuntimeLibrary="0" *************** *** 197,201 **** Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" --- 197,201 ---- Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" *************** *** 274,278 **** Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" --- 274,278 ---- Optimization="0" AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)/functions" ! PreprocessorDefinitions="QL_DISABLE_DEPRECATED;WIN32;_DEBUG;_LIB" MinimalRebuild="true" BasicRuntimeChecks="3" |
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From: Ferdinando A. <na...@us...> - 2006-06-06 02:50:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11898 Modified Files: todonando.txt Log Message: exportinf Calendar and DayCounter interface Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** todonando.txt 5 Jun 2006 11:45:12 -0000 1.3 --- todonando.txt 5 Jun 2006 13:28:46 -0000 1.4 *************** *** 42,48 **** CALENDAR ! - default parameter (Following non funziona) ! - usare period invece che (n, timeUnit) - loop parameters DAYCOUNTER --- 42,50 ---- CALENDAR ! - default parameter (Following doesn't work) ! - 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? DAYCOUNTER |
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From: Ferdinando A. <na...@us...> - 2006-06-06 02:33:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11898/gensrc/metadata Modified Files: calendar.xml date.xml daycounter.xml Log Message: exportinf Calendar and DayCounter interface Index: daycounter.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/daycounter.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** daycounter.xml 23 May 2006 16:41:17 -0000 1.1 --- daycounter.xml 5 Jun 2006 13:28:45 -0000 1.2 *************** *** 2,33 **** <description>Daycounter related QuantLib functions</description> <displayName>Daycounter</displayName> ! <includes> ! <include>ql/Functions/daycounters.hpp</include> ! </includes> <Functions> ! <Procedure name='qlDayCount'> <description>calculate the number of days in a period according to a given day count convention</description> <functionCategory>QuantLib</functionCategory> - <alias>QuantLib::dayCount</alias> - <platforms>EGO</platforms> <ParameterList> ! <Parameters> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day-counter convention</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> ! </Parameters> </ParameterList> <ReturnValue> --- 2,39 ---- <description>Daycounter related QuantLib functions</description> <displayName>Daycounter</displayName> ! <includes/> <Functions> ! <EnumerationMember name='qlDayCounterName' enumeration='QuantLib::DayCounter'> ! <description>returns the name of the given DayCounter</description> ! <libraryFunction>name</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>DayCounter name</description> ! </ReturnValue> ! </EnumerationMember> ! ! <EnumerationMember name='qlDayCount' enumeration='QuantLib::DayCounter'> <description>calculate the number of days in a period according to a given day count convention</description> + <libraryFunction>dayCount</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='startDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date</description> ! </Parameter> ! <Parameter name='endDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>end date</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 36,73 **** <description>days between the start date and the end date</description> </ReturnValue> ! </Procedure> ! <Procedure name='qlYearFraction'> <description>calculate a year fraction</description> <functionCategory>QuantLib</functionCategory> - <alias>QuantLib::yearFraction</alias> <ParameterList> ! <Parameters> ! <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day-counter convention</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='refPeriodStart' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date for reference period</description> ! </Parameter> ! <Parameter name='refPeriodEnd' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>end date for reference period</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> --- 42,74 ---- <description>days between the start date and the end date</description> </ReturnValue> ! </EnumerationMember> ! <EnumerationMember name='qlYearFraction' enumeration='QuantLib::DayCounter'> <description>calculate a year fraction</description> + <libraryFunction>yearFraction</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='startDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date</description> ! </Parameter> ! <Parameter name='endDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>end date</description> ! </Parameter> ! <Parameter name='refPeriodStart' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>start date for reference period</description> ! </Parameter> ! <Parameter name='refPeriodEnd' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>end date for reference period</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> *************** *** 76,80 **** <description>advanced date</description> </ReturnValue> ! </Procedure> </Functions> --- 77,81 ---- <description>advanced date</description> </ReturnValue> ! </EnumerationMember> </Functions> Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** calendar.xml 1 Jun 2006 18:42:11 -0000 1.4 --- calendar.xml 5 Jun 2006 13:28:45 -0000 1.5 *************** *** 3,7 **** <displayName>Calendar</displayName> <includes> - <include>ql/Functions/calendars.hpp</include> <include>qlo/calendar.hpp</include> <include>qlo/vo_calendar.hpp</include> --- 3,6 ---- *************** *** 9,23 **** <Functions> ! <Procedure name='qlIsHoliday' > ! <description>returns TRUE if the date is a holiday for the given calendar</description> <functionCategory>QuantLib</functionCategory> - <alias>QuantLib::isHoliday</alias> <ParameterList> <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Calendar to use for holiday determination</description> </Parameter> <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> --- 8,51 ---- <Functions> ! <EnumerationMember name='qlCalendarName' enumeration='QuantLib::Calendar'> ! <description>returns the name of the given calendar</description> ! <libraryFunction>name</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>calendar name</description> ! </ReturnValue> ! </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> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>date</description> </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE if the date is a business day for the given calendar</description> + </ReturnValue> + </EnumerationMember> + + <EnumerationMember name='qlIsHoliday' enumeration='QuantLib::Calendar'> + <description>returns TRUE if the date is a holiday for the given calendar</description> + <libraryFunction>isHoliday</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> *************** *** 32,48 **** <description>TRUE if the date is a holiday for the given calendar</description> </ReturnValue> ! </Procedure> ! <Procedure name='qlIsEndOfMonth' > <description>returns TRUE if the date is last business day for the month in the given calendar</description> <functionCategory>QuantLib</functionCategory> - <alias>QuantLib::isEndOfMonth</alias> <ParameterList> <Parameters> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Calendar to use for holiday determination</description> - </Parameter> <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> --- 60,71 ---- <description>TRUE if the date is a holiday for the given calendar</description> </ReturnValue> ! </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> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='date' libraryType='QuantLib::Date'> <type>long</type> *************** *** 57,89 **** <description>TRUE if the date is last business day for the month in the given calendar</description> </ReturnValue> ! </Procedure> ! <Procedure name='qlHolidayList' > <description>returns the holidays in a period between two dates according to a given holiday calendar</description> <functionCategory>QuantLib</functionCategory> - <alias>QuantLib::holidayList</alias> <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Calendar to use for holiday determination</description> ! </Parameter> ! <Parameter name='fromDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>first date of the period</description> ! </Parameter> ! <Parameter name='toDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>last date of the period</description> ! </Parameter> ! <Parameter name='includeWeekEnds' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>include week-end as holidays</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> --- 80,172 ---- <description>TRUE if the date is last business day for the month in the given calendar</description> </ReturnValue> ! </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> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>the last business day in the given calendar of the month to which the given date belongs</description> ! </ReturnValue> ! </EnumerationMember> ! ! <EnumerationMember name='qlAddHoliday' enumeration='QuantLib::Calendar'> ! <description>adds an holiday to the given calendar</description> ! <libraryFunction>addHoliday</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! <description>SUCCESS/FAILURE</description> ! </ReturnValue> ! </EnumerationMember> ! ! <EnumerationMember name='qlRemoveHoliday' enumeration='QuantLib::Calendar'> ! <description>removes an holiday from the given calendar</description> ! <libraryFunction>addHoliday</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>void</type> ! <tensorRank>scalar</tensorRank> ! <description>SUCCESS/FAILURE</description> ! </ReturnValue> ! </EnumerationMember> ! ! <Procedure name='qlHolidayList'> <description>returns the holidays in a period between two dates according to a given holiday calendar</description> + <alias>QuantLib::Calendar::holidayList</alias> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Calendar to use for holiday determination</description> ! </Parameter> ! <Parameter name='fromDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>first date of the period</description> ! </Parameter> ! <Parameter name='toDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>last date of the period</description> ! </Parameter> ! <Parameter name='includeWeekEnds' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>include week-end as holidays</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> *************** *** 94,101 **** </Procedure> ! <Procedure name='qlAdvanceCalendar' > <description>advances a date according to a given calendar</description> <functionCategory>QuantLib</functionCategory> - <alias>QuantLib::advanceCalendar</alias> <ParameterList> <Parameters> --- 177,209 ---- </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> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='date' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>date to be adjusted</description> ! </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>rolling convention</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>adjusted date</description> ! </ReturnValue> ! </EnumerationMember> ! ! <EnumerationMember name='qlAdvance' enumeration='QuantLib::Calendar'> <description>advances a date according to a given calendar</description> + <libraryFunction>advance</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> *************** *** 115,124 **** <description>units to advance</description> </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Calendar to be used for advancing the date</description> ! </Parameter> ! <Parameter name='rollingConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> --- 223,227 ---- <description>units to advance</description> </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 132,136 **** <description>advanced date</description> </ReturnValue> ! </Procedure> <Constructor name='qlJointCalendar'> --- 235,239 ---- <description>advanced date</description> </ReturnValue> ! </EnumerationMember> <Constructor name='qlJointCalendar'> *************** *** 153,210 **** </Constructor> - <EnumerationMember name='qlCalendarName' enumeration='QuantLib::Calendar'> - <description>returns the name of the given calendar</description> - <libraryFunction>name</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>calendar name</description> - </ReturnValue> - </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> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='date' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>TRUE/FALSE</description> - </ReturnValue> - </EnumerationMember> - - <EnumerationMember name='qlAddHoliday' enumeration='QuantLib::Calendar'> - <description>returns TRUE if the date is a holiday for the given calendar</description> - <libraryFunction>addHoliday</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='date' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>void</type> - <tensorRank>scalar</tensorRank> - <description>SUCCESS/FAILURE</description> - </ReturnValue> - </EnumerationMember> - </Functions> </Category> --- 256,259 ---- Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** date.xml 31 May 2006 18:44:47 -0000 1.4 --- date.xml 5 Jun 2006 13:28:45 -0000 1.5 *************** *** 8,11 **** --- 8,45 ---- <Functions> + <Procedure name='qlEvaluationDate'> + <description>returns the current value of the Evaluation Date</description> + <functionCategory>QuantLib</functionCategory> + <alias>QuantLib::Settings::instance().evaluationDate</alias> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>evaluation date</description> + </ReturnValue> + </Procedure> + + <Procedure name='qlSetEvaluationDate'> + <description>sets the value of the Evaluation Date</description> + <functionCategory>QuantLib</functionCategory> + <alias>QuantLib::setEvaluationDate</alias> + <ParameterList> + <Parameters> + <Parameter name='evalDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>new value for the evaluation date</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>evaluation date</description> + </ReturnValue> + </Procedure> + <Procedure name='qlIsIMMdate' > <description>returns whether or not the given date is an IMM date.</description> *************** *** 48,71 **** </Procedure> - <Procedure name='qlIMMdate'> - <description>returns the IMM date corresponding to the given IMM code (e.g. March 15th, 2006 for H6).</description> - <functionCategory>QuantLib</functionCategory> - <alias>QuantLib::Date::IMMdate</alias> - <ParameterList> - <Parameters> - <Parameter name='IMMcode'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>2 letter IMM code (e.q. \"H9\")</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>the corresponding IMM code</description> - </ReturnValue> - </Procedure> - <Procedure name='qlIMMcode'> <description>returns the future code corresponding to a given IMM date (e.g. H6 for March 15th, 2006). It fails if the input date is not an IMM date.</description> --- 82,85 ---- *************** *** 88,123 **** </Procedure> ! ! <Procedure name='qlSetEvaluationDate'> ! <description>sets the value of the Evaluation Date</description> ! <functionCategory>QuantLib</functionCategory> ! <alias>QuantLib::setEvaluationDate</alias> ! <ParameterList> ! <Parameters> ! <Parameter name='evalDate' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>new value for the evaluation date</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>evaluation date</description> ! </ReturnValue> ! </Procedure> ! ! <Procedure name='qlEvaluationDate'> ! <description>returns the current value of the Evaluation Date</description> <functionCategory>QuantLib</functionCategory> ! <alias>QuantLib::Settings::instance().evaluationDate</alias> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>evaluation date</description> </ReturnValue> </Procedure> --- 102,122 ---- </Procedure> ! <Procedure name='qlIMMdate'> ! <description>returns the IMM date corresponding to the given IMM code (e.g. March 15th, 2006 for H6).</description> <functionCategory>QuantLib</functionCategory> ! <alias>QuantLib::Date::IMMdate</alias> <ParameterList> ! <Parameters> ! <Parameter name='IMMcode'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>2 letter IMM code (e.q. \"H9\")</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> ! <description>the corresponding IMM code</description> </ReturnValue> </Procedure> |
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From: Ferdinando A. <na...@us...> - 2006-06-06 01:23:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27305 Modified Files: todo.txt todonando.txt Log Message: updated Index: todo.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.txt,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** todo.txt 22 May 2006 15:20:39 -0000 1.3 --- todo.txt 5 Jun 2006 11:45:12 -0000 1.4 *************** *** 1,24 **** - - create NSIS installer - - PICEWISEYIELDTERMSTRUCTURE - - invertire ordine di interpolator ed accuracy - - 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 - - ratehelper filter: via i false, sort, via i duplicati,max numvber of futures - - verificare comportamento al roll dei future: cosa succede nel bootstrapping se - un future scade per effetto del muovere la evaluation date? - - conv adj dei futures - - turn of year - - extended grid with all relevant dates - - revise bondhelpers - - ratehelper usato da piu' curve: non si puo' utilizzare il setTermStructure - - DATE - - H7 <-> date - - format the cell to date when returning a serialnumber - - getEvaluationDate volatile, or at least provide a hook - - SPREADSHEETS - - perchè non funziona quando ratehelpers è aperto? - - signed spreadsheet and macro --- 0 ---- Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** todonando.txt 1 Jun 2006 19:13:42 -0000 1.2 --- todonando.txt 5 Jun 2006 11:45:12 -0000 1.3 *************** *** 42,46 **** CALENDAR ! - esporre tutta l'interfaccia (inclusa EndOfMonth) SPREADSHEETS --- 42,52 ---- CALENDAR ! - default parameter (Following non funziona) ! - usare period invece che (n, timeUnit) ! - loop parameters ! ! DAYCOUNTER ! - default parameter? ! - loop parameters SPREADSHEETS |
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From: Ferdinando A. <na...@us...> - 2006-06-06 01:22:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26820/gensrc/metadata Modified Files: termstructures.xml Log Message: Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** termstructures.xml 29 May 2006 17:52:30 -0000 1.3 --- termstructures.xml 5 Jun 2006 11:44:43 -0000 1.4 *************** *** 371,375 **** <Member name='qlDiscount' libraryClass='YieldTermStructure' loopParameter='DfDates'> ! <description>Return a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> <libraryFunction>discount</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 371,375 ---- <Member name='qlDiscount' libraryClass='YieldTermStructure' loopParameter='DfDates'> ! <description>Returns a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> <libraryFunction>discount</libraryFunction> <functionCategory>QuantLib</functionCategory> |
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From: Eric E. <eri...@us...> - 2006-06-02 09:40:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30209/gensrc/metadata Modified Files: xibor.xml Log Message: make fixings parameter optional Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** xibor.xml 1 Jun 2006 12:51:20 -0000 1.4 --- xibor.xml 2 Jun 2006 09:40:40 -0000 1.5 *************** *** 59,63 **** <description>fixing dates</description> </Parameter> ! <Parameter name='fixings'> <type>double</type> <tensorRank>vector</tensorRank> --- 59,63 ---- <description>fixing dates</description> </Parameter> ! <Parameter name='fixings' default='0'> <type>double</type> <tensorRank>vector</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-06-01 19:13:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18268 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** todonando.txt 19 May 2006 16:56:16 -0000 1.1 --- todonando.txt 1 Jun 2006 19:13:42 -0000 1.2 *************** *** 1,4 **** ! rename all QuantLibAddin projects LUIGI --- 1,20 ---- ! DESIGN ! - refactor ObjectHandler ! - stubs in QuantLibObject ! - enforce version number check ! ! 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 *************** *** 8,17 **** I need all three and PiecewiseYieldCurve to expose the underlying grid and the underlying _discount_ grid ! - PiecewiseYieldCurve: invert interpolator and accuracy parameter order 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 - - ratehelperselection filter: add priority, move to QuantLib - conv adj dei futures - turn of year --- 24,32 ---- 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 *************** *** 20,30 **** - ratehelper usato da piu' curve: non si puo' utilizzare il setTermStructure - export discount,loglinear selection ! - use forwardrate(period) and loop on periods - export to Excel method overload DATE - format the cell to date when returning a serialnumber ! - getEvaluationDate volatile, or at least provide a hook SPREADSHEETS - signed spreadsheet and macro --- 35,58 ---- - ratehelper usato da piu' curve: non si puo' utilizzare il setTermStructure - export discount,loglinear selection ! - add period support as input parameter - export to Excel method overload DATE - format the cell to date when returning a serialnumber ! ! CALENDAR ! - esporre tutta l'interfaccia (inclusa EndOfMonth) SPREADSHEETS - signed spreadsheet and macro + - testare perche' non funziona con due curve (es EURYC, EURYC2) + + RICHIESTE ASSURDE + - trigger a tempo + + PROJECT ADMIN + - add developers + + XIBOR + - esporre Index invece che Xibor + - creare EURIBOR3M indexes |
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From: Eric E. <eri...@us...> - 2006-06-01 18:42:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6454 Modified Files: todo.csv Log Message: add support for calls to member functions of enumerations Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** todo.csv 1 Jun 2006 10:35:57 -0000 1.9 --- todo.csv 1 Jun 2006 18:42:11 -0000 1.10 *************** *** 1,12 **** "project","subproject","task","status","priority","comp date","comment" ! "OH","Design","if user supplies handle stub he must ensure it's unique / link handle stub to calling cell (?)","done",1,05/31/2006, ! "QLA","Enumerations","add support for accessing member function of Enumeration e.g. publish the public interface for Calendar, DayCounter","in progress",1,, "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,, "QLA","Design","implement XIBOR etc as Enumerations expose their public interface QL changes required",,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,, ,,,,,, "OH","Design","""reflection"" - support member functions dynamically",,3,, --- 1,13 ---- "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, ,,,,,, "OH","Design","""reflection"" - support member functions dynamically",,3,, *************** *** 30,34 **** "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","srcgen 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,, --- 31,35 ---- "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,, *************** *** 36,41 **** "QLA","General Support","C++ examples - add VOs, NPV calculations",,3,, "QLA","General Support","EXPORT_QL_OBJECT macro not fully polymorphic",,3,, ! "QLA","srcgen","extend rule.py to support conversion of Guile datatypes",,3,, ! "QLA","srcgen","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,, --- 37,43 ---- "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,, ! "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,, *************** *** 63,67 **** "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","srcgen 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" --- 65,69 ---- "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" *************** *** 90,104 **** "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, srcgen, QLA, QLXL","done",3,"19/5/2006", ! "QLA","srcgen","allow for comments in XML (ignore '#comment' nodes)","cancelled",3,,"already works OK" ! "QLA","srcgen","remove redundant XML tag getObject='true' for Member functions","cancelled",,"26/04/2006","the tag is in use" ! "QLA","srcgen","category metadata list of <includes> - only first item in list is processed","done",,06/05/2006, ! "QLA","srcgen","add support for QuantLib::Date as datatype of return value","done",,"26/04/2006", ! "QLA","srcgen","generate summary of files created/updated/changed per platform","done",3,"30/04/2006", ! "QLA","srcgen","add support for vector of QuantLib::Dates as input parameter","done",,06/05/2006, ! "QLA","srcgen","fix typo in Xibor - qlSobolRsg","done",,"26/04/2006", ! "QLA","srcgen","autogenerate source for Members which loop on input param","done",,"28/04/2006", ! "QLA","srcgen","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","done",,"23/5/2006", ! "QLA","srcgen","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", --- 92,106 ---- "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", |
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From: Eric E. <eri...@us...> - 2006-06-01 18:42:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6454/gensrc/metadata Modified Files: calendar.xml Log Message: add support for calls to member functions of enumerations Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** calendar.xml 31 May 2006 18:44:47 -0000 1.3 --- calendar.xml 1 Jun 2006 18:42:11 -0000 1.4 *************** *** 153,156 **** --- 153,210 ---- </Constructor> + <EnumerationMember name='qlCalendarName' enumeration='QuantLib::Calendar'> + <description>returns the name of the given calendar</description> + <libraryFunction>name</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>calendar name</description> + </ReturnValue> + </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> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='date' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>date</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>TRUE/FALSE</description> + </ReturnValue> + </EnumerationMember> + + <EnumerationMember name='qlAddHoliday' enumeration='QuantLib::Calendar'> + <description>returns TRUE if the date is a holiday for the given calendar</description> + <libraryFunction>addHoliday</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='date' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>date</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + <description>SUCCESS/FAILURE</description> + </ReturnValue> + </EnumerationMember> + </Functions> </Category> |
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From: Ferdinando A. <na...@us...> - 2006-06-01 12:52:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19350/gensrc/metadata Modified Files: xibor.xml Log Message: qlXiborFixing(const Date& fixingDate, bool forecastTodaysFixing = false) Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** xibor.xml 31 May 2006 18:41:24 -0000 1.3 --- xibor.xml 1 Jun 2006 12:51:20 -0000 1.4 *************** *** 52,66 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle of the Yield Curve used for forecasting</description> </Parameter> ! <Parameter name='dates' default='0'> ! <type>long</type> <tensorRank>vector</tensorRank> ! <description>dates</description> </Parameter> ! <Parameter name='fixings' default='0'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>fixings</description> </Parameter> </Parameters> --- 52,66 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Yield Curve used for forecasting</description> </Parameter> ! <Parameter name='dates' libraryType='QuantLib::Date'> ! <type>any</type> <tensorRank>vector</tensorRank> ! <description>fixing dates</description> </Parameter> ! <Parameter name='fixings'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>fixing values</description> </Parameter> </Parameters> *************** *** 79,82 **** --- 79,87 ---- <description>fixing date(s)</description> </Parameter> + <Parameter name='forecastTodaysFixing' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>forecast today's fixing even if the actual fixing is already available</description> + </Parameter> </Parameters> </ParameterList> |
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From: Ferdinando A. <na...@us...> - 2006-06-01 12:51:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19350/qlo Modified Files: xibor.cpp xibor.hpp Log Message: qlXiborFixing(const Date& fixingDate, bool forecastTodaysFixing = false) Index: xibor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.hpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** xibor.hpp 31 May 2006 18:40:05 -0000 1.3 --- xibor.hpp 1 Jun 2006 12:51:20 -0000 1.4 *************** *** 27,42 **** class Xibor : public ObjHandler::Object { public: ! Xibor( ! const std::string &indexName, ! const QuantLib::Currency& crr, ! const long &tenor, ! QuantLib::TimeUnit timeUnits, ! const QuantLib::Calendar& calendar, ! QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter &fltDayCounter, ! const long &fixingDays, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &fwdYC, ! const std::vector<long> &lDates, ! const std::vector<double> &fixings); const QuantLib::Xibor& getObject() const {return *index_;} --- 27,41 ---- class Xibor : public ObjHandler::Object { public: ! Xibor(const std::string &indexName, ! const QuantLib::Currency& crr, ! const long &tenor, ! QuantLib::TimeUnit timeUnits, ! const QuantLib::Calendar& calendar, ! QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter &fltDayCounter, ! const long &fixingDays, ! const boost::shared_ptr <QuantLib::YieldTermStructure> &fwdYC, ! const std::vector<QuantLib::Date>& dates, ! const std::vector<double> &fixings); const QuantLib::Xibor& getObject() const {return *index_;} Index: xibor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** xibor.cpp 31 May 2006 18:40:05 -0000 1.3 --- xibor.cpp 1 Jun 2006 12:51:20 -0000 1.4 *************** *** 29,44 **** QuantLib::Date make_date(long d) { return QuantLib::Date(d); } ! Xibor::Xibor( ! const std::string &indexName, ! const QuantLib::Currency& crr, ! const long &tenor, ! QuantLib::TimeUnit timeUnits, ! const QuantLib::Calendar& calendar, ! QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter &fltDayCounter, ! const long &fixingDays, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &fwdYC, ! const std::vector<long> &lDates, ! const std::vector<double> &fixings) { QuantLib::Handle<QuantLib::YieldTermStructure> --- 29,43 ---- QuantLib::Date make_date(long d) { return QuantLib::Date(d); } ! Xibor::Xibor(const std::string &indexName, ! const QuantLib::Currency& crr, ! const long &tenor, ! QuantLib::TimeUnit timeUnits, ! const QuantLib::Calendar& calendar, ! QuantLib::BusinessDayConvention fltBDC, ! const QuantLib::DayCounter &fltDayCounter, ! const long &fixingDays, ! const boost::shared_ptr <QuantLib::YieldTermStructure> &fwdYC, ! const std::vector<QuantLib::Date>& dates, ! const std::vector<double> &fixings) { QuantLib::Handle<QuantLib::YieldTermStructure> *************** *** 51,61 **** fltBDC, fltDayCounter, forecastingTermStructure)); ! QL_REQUIRE(fixings.size() == lDates.size(), "Xibor::Xibor the nuber of given dates does not match the number" " of fixings!"); ! if(lDates.size() > 0 && !(lDates.size() == 1 && lDates[0] == 0)) { ! std::vector<QuantLib::Date> dates(lDates.size()); ! std::transform(lDates.begin(), lDates.end(), dates.begin(), ! make_date); QuantLib::History history(dates, fixings); QuantLib::IndexManager::instance().setHistory(index_->name(), --- 50,57 ---- fltBDC, fltDayCounter, forecastingTermStructure)); ! QL_REQUIRE(fixings.size() == dates.size(), "Xibor::Xibor the nuber of given dates does not match the number" " of fixings!"); ! if(dates.size() > 0) { QuantLib::History history(dates, fixings); QuantLib::IndexManager::instance().setHistory(index_->name(), |
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From: Eric E. <eri...@us...> - 2006-06-01 11:34:30
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2680/qlo Modified Files: termstructures.cpp Log Message: revise processing for instance names Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** termstructures.cpp 30 May 2006 10:05:01 -0000 1.3 --- termstructures.cpp 1 Jun 2006 10:52:21 -0000 1.4 *************** *** 217,234 **** namespace detail { class RateHelperPrioritySorter { public: // does h1 come before h2? ! bool operator()(const std::pair<boost::shared_ptr<RateHelper>, long>& h1, ! const std::pair<boost::shared_ptr<RateHelper>, long>& h2) const { ! if (h1.first->getObject().latestDate() > h2.first->getObject().latestDate()) return false; ! if (h1.first->getObject().latestDate() == h2.first->getObject().latestDate()) { ! if (h1.second > h2.second) { return false; ! } else if (h1.second == h2.second) { ! return h1.first->getStubName() > h2.first->getStubName(); } } --- 217,245 ---- namespace detail { + struct RateHelperItem { + QuantLib::Date latestDate; + long priority; + std::string instanceName; + RateHelperItem( + const QuantLib::Date& latestDate, + const long& priority, + const std::string& instanceName) + : latestDate(latestDate), priority(priority), instanceName(instanceName) {} + }; + class RateHelperPrioritySorter { public: // does h1 come before h2? ! bool operator()(const RateHelperItem& h1, ! const RateHelperItem& h2) const { ! if (h1.latestDate > h2.latestDate) return false; ! if (h1.latestDate == h2.latestDate) { ! if (h1.priority > h2.priority) { return false; ! } else if (h1.priority == h2.priority) { ! return h1.instanceName > h2.instanceName; } } *************** *** 263,267 **** // purge input rate helpers according to their includeFlag, // their expiration, and maximum number of allowed futures ! std::vector<std::pair<boost::shared_ptr<RateHelper>, long> > rhs; QuantLib::Size i; long futuresCounter = 0; --- 274,278 ---- // purge input rate helpers according to their includeFlag, // their expiration, and maximum number of allowed futures ! std::vector<detail::RateHelperItem> rhs; QuantLib::Size i; long futuresCounter = 0; *************** *** 271,290 **** if (includeFlag[i]) { if (!boost::dynamic_pointer_cast<FuturesRateHelper>(instruments[i]) && (earliestDate >= evalDate)) { ! rhs.push_back(std::make_pair(instruments[i], priority[i])); } else if (futuresCounter<nFutures && (earliestDate-2 >= evalDate)) { futuresCounter++; ! rhs.push_back(std::make_pair(instruments[i], priority[i])); } } } ! std::vector<std::string> instanceNameStubs; // zero or one rate helper left if (rhs.size()<2) { ! std::vector<std::pair<boost::shared_ptr<RateHelper>, long> >::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! instanceNameStubs.push_back((*i).first->getStubName()); ! return instanceNameStubs; } --- 282,303 ---- if (includeFlag[i]) { if (!boost::dynamic_pointer_cast<FuturesRateHelper>(instruments[i]) && (earliestDate >= evalDate)) { ! rhs.push_back(detail::RateHelperItem(instruments[i]->getObject().latestDate(), ! priority[i], instrumentHandles[i])); } else if (futuresCounter<nFutures && (earliestDate-2 >= evalDate)) { futuresCounter++; ! rhs.push_back(detail::RateHelperItem(instruments[i]->getObject().latestDate(), ! priority[i], instrumentHandles[i])); } } } ! std::vector<std::string> instanceNames; // zero or one rate helper left if (rhs.size()<2) { ! std::vector<detail::RateHelperItem>::const_iterator i; for (i = rhs.begin(); i != rhs.end(); i++) ! instanceNames.push_back(i->instanceName); ! return instanceNames; } *************** *** 293,303 **** for (i=0; i<rhs.size()-1; i++) { ! if (rhs[i].first->getObject().latestDate() < rhs[i+1].first->getObject().latestDate()) ! instanceNameStubs.push_back(rhs[i].first->getStubName()); } // add the last one in any case ! instanceNameStubs.push_back(rhs[i].first->getStubName()); ! return instanceNameStubs; } --- 306,316 ---- for (i=0; i<rhs.size()-1; i++) { ! if (rhs[i].latestDate < rhs[i+1].latestDate) ! instanceNames.push_back(rhs[i].instanceName); } // add the last one in any case ! instanceNames.push_back(rhs[i].instanceName); ! return instanceNames; } |
