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From: Eric E. <eri...@us...> - 2006-05-24 15:01:59
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2049 Modified Files: todo.csv Log Message: Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** todo.csv 23 May 2006 10:31:10 -0000 1.2 --- todo.csv 24 May 2006 15:01:52 -0000 1.3 *************** *** 12,19 **** "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly",,"M",, "QLA","Design","transfer qla/typefactory.hpp, qla/typeregistry to ObjectHandler?",,,, ! "QLA","Design","discontinue support for VC6",,"L",, "QLA","Design","use Excel SmartTags to allow interrogation of objects",,"L",, - "QLA","Design","improve formatting of log messages",,"L",, "QLA","Design","#include fewer headers to speed compilation",,"L",, "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,"23/05/2006", "QLA","Design","export IMM dates e.g. H7 -> date","done",,, --- 12,19 ---- "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly",,"M",, "QLA","Design","transfer qla/typefactory.hpp, qla/typeregistry to ObjectHandler?",,,, ! "QLA","Design","discontinue support for VC6","in progress","L",, "QLA","Design","use Excel SmartTags to allow interrogation of objects",,"L",, "QLA","Design","#include fewer headers to speed compilation",,"L",, + "QLA","Design","improve formatting of log messages",,"L",, "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,"23/05/2006", "QLA","Design","export IMM dates e.g. H7 -> date","done",,, |
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1079/qlo Modified Files: asianoption.cpp asianoption.hpp barrieroption.cpp barrieroption.hpp capfloor.cpp capfloor.hpp cliquetoption.cpp cliquetoption.hpp couponvectors.cpp couponvectors.hpp dividendvanillaoption.cpp dividendvanillaoption.hpp europeanoption.cpp europeanoption.hpp forwardvanillaoption.cpp forwardvanillaoption.hpp processes.cpp processes.hpp quantoforwardvanillaoption.cpp quantoforwardvanillaoption.hpp quantovanillaoption.cpp quantovanillaoption.hpp shortratemodels.cpp shortratemodels.hpp simpleswap.cpp simpleswap.hpp swap.cpp swap.hpp vanillaoption.cpp vanillaoption.hpp xibor.cpp xibor.hpp zerocouponbond.cpp zerocouponbond.hpp Log Message: autogenerate calls to OH_GET_OBJECT / OH_GET_REFERENCE Index: asianoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/asianoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** asianoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- asianoption.cpp 24 May 2006 14:59:43 -0000 1.2 *************** *** 29,46 **** ContinuousAveragingAsianOption::ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 29,40 ---- ContinuousAveragingAsianOption::ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); *************** *** 63,80 **** const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 57,68 ---- const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** couponvectors.cpp 19 May 2006 16:56:16 -0000 1.1 --- couponvectors.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,29 **** #include <qlo/couponvectors.hpp> - #include <qlo/schedule.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> - #include <qlo/xibor.hpp> #include <ql/CashFlows/analysis.hpp> --- 22,27 ---- *************** *** 33,40 **** namespace QuantLibAddin { ! double CouponVector::getBPS(const std::string &termStructureID) const { ! ! OH_GET_REFERENCE(termStructure, termStructureID, ! YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); --- 31,36 ---- namespace QuantLibAddin { ! double CouponVector::getBPS( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure) const { QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); *************** *** 44,58 **** FixedRateCouponVector::FixedRateCouponVector( ! const std::string &scheduleID, const QuantLib::BusinessDayConvention &convention, const std::vector<double> &nominals, const std::vector<double> &couponRates, ! const QuantLib::DayCounter &dayCount) { ! ! OH_GET_OBJECT(scheduleWrapper, scheduleID, Schedule) ! const QuantLib::Schedule& schedule = scheduleWrapper->getObject(); ! cashFlowVector_ = ! QuantLib::FixedRateCouponVector(schedule, convention, nominals, --- 40,50 ---- FixedRateCouponVector::FixedRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, const QuantLib::BusinessDayConvention &convention, const std::vector<double> &nominals, const std::vector<double> &couponRates, ! const QuantLib::DayCounter &dayCount) { cashFlowVector_ = ! QuantLib::FixedRateCouponVector(*schedule, convention, nominals, *************** *** 81,97 **** FloatingRateCouponVector::FloatingRateCouponVector( ! const std::string &scheduleID, const std::vector<double> &nominals, ! const std::string &indexID, const std::vector<double> &spreads) { - OH_GET_OBJECT(scheduleWrapper, scheduleID, Schedule) - const QuantLib::Schedule& schedule = scheduleWrapper->getObject(); - - OH_GET_REFERENCE(index, indexID, - Xibor, QuantLib::Xibor) - cashFlowVector_ = ! QuantLib::FloatingRateCouponVector(schedule, index->businessDayConvention(), nominals, --- 73,83 ---- FloatingRateCouponVector::FloatingRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, const std::vector<double> &nominals, ! const boost::shared_ptr < QuantLib::Xibor > &index, const std::vector<double> &spreads) { cashFlowVector_ = ! QuantLib::FloatingRateCouponVector(*schedule, index->businessDayConvention(), nominals, Index: europeanoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/europeanoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** europeanoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- europeanoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 31,48 **** EuropeanOption::EuropeanOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 31,41 ---- EuropeanOption::EuropeanOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: processes.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/processes.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** processes.cpp 19 May 2006 16:56:16 -0000 1.1 --- processes.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #endif #include <qlo/processes.hpp> - #include <qlo/volatilities.hpp> #include <qlo/generalutils.hpp> #include <qlo/typefactory.hpp> --- 21,24 ---- *************** *** 31,35 **** GeneralizedBlackScholesProcess::GeneralizedBlackScholesProcess( ! const std::string &handleBlackVol, const double &underlying, const QuantLib::DayCounter &dayCounter, --- 30,34 ---- GeneralizedBlackScholesProcess::GeneralizedBlackScholesProcess( ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructureP, const double &underlying, const QuantLib::DayCounter &dayCounter, *************** *** 48,53 **** new QuantLib::FlatForward(settlementDate, dividendYield, dayCounter))); - OH_GET_REFERENCE(blackVolTermStructureP, handleBlackVol, - BlackVolTermStructure, QuantLib::BlackVolTermStructure) QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructureP); --- 47,50 ---- Index: capfloor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capfloor.hpp 19 May 2006 16:56:16 -0000 1.1 --- capfloor.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 20,23 **** --- 20,24 ---- #include <qlo/baseinstruments.hpp> + #include <qlo/shortratemodels.hpp> #include <ql/Instruments/capfloor.hpp> #include <ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp> *************** *** 28,36 **** public: CapFloor( ! const std::string& couponVectorID, ! const std::string& termStructureID, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option); --- 29,37 ---- public: CapFloor( ! const std::string& couponVectorID, ! const boost::shared_ptr < QuantLib::YieldTermStructure >& termStructureP, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option); *************** *** 42,46 **** public: AnalyticCapFloorEngine( ! const std::string& handleModel); virtual boost::shared_ptr<void> getReference() const { return boost::static_pointer_cast<void>(engine_); --- 43,47 ---- public: AnalyticCapFloorEngine( ! const boost::shared_ptr < QuantLib::AffineModel >& model); virtual boost::shared_ptr<void> getReference() const { return boost::static_pointer_cast<void>(engine_); Index: dividendvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/dividendvanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** dividendvanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- dividendvanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 27,46 **** DividendVanillaOption::DividendVanillaOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 27,39 ---- DividendVanillaOption::DividendVanillaOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: quantoforwardvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantoforwardvanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantoforwardvanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- quantoforwardvanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,26 **** #include <qlo/typefactory.hpp> #include <qlo/exercise.hpp> - #include <qlo/termstructures.hpp> #include <qlo/volatilities.hpp> --- 22,25 ---- *************** *** 33,55 **** QuantoForwardVanillaOption::QuantoForwardVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(termStructure, handleTermStructure, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); - OH_GET_REFERENCE(blackVolTermStructure, handleBlackVol, - BlackVolTermStructure, QuantLib::BlackVolTermStructure) QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); --- 32,50 ---- QuantoForwardVanillaOption::QuantoForwardVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); *************** *** 59,71 **** new QuantLib::SimpleQuote(correlation))); - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); --- 54,60 ---- Index: processes.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/processes.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** processes.hpp 19 May 2006 16:56:16 -0000 1.1 --- processes.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 20,23 **** --- 20,24 ---- #include <oh/objhandler.hpp> + #include <qlo/volatilities.hpp> #include <ql/Processes/blackscholesprocess.hpp> *************** *** 28,32 **** GeneralizedBlackScholesProcess( ! const std::string &handleBlackVol, const double &underlying, const QuantLib::DayCounter &dayCounter, --- 29,33 ---- GeneralizedBlackScholesProcess( ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructureP, const double &underlying, const QuantLib::DayCounter &dayCounter, Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** couponvectors.hpp 19 May 2006 16:56:16 -0000 1.1 --- couponvectors.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 20,23 **** --- 20,25 ---- #include <oh/objhandler.hpp> + #include <qlo/schedule.hpp> + #include <qlo/xibor.hpp> #include <ql/CashFlows/cashflowvectors.hpp> *************** *** 38,42 **** virtual std::vector<std::vector<double> > getLeg() = 0; ! double getBPS(const std::string &termStructureID) const; protected: --- 40,44 ---- virtual std::vector<std::vector<double> > getLeg() = 0; ! double getBPS(const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure) const; protected: *************** *** 47,51 **** public: FixedRateCouponVector( ! const std::string &scheduleID, const QuantLib::BusinessDayConvention &convention, const std::vector<double> &nominals, --- 49,53 ---- public: FixedRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, const QuantLib::BusinessDayConvention &convention, const std::vector<double> &nominals, *************** *** 59,65 **** public: FloatingRateCouponVector( ! const std::string &scheduleID, const std::vector<double> &nominals, ! const std::string &indexID, const std::vector<double> &spreads); --- 61,67 ---- public: FloatingRateCouponVector( ! const boost::shared_ptr < QuantLib::Schedule > &schedule, const std::vector<double> &nominals, ! const boost::shared_ptr < QuantLib::Xibor > &index, const std::vector<double> &spreads); Index: xibor.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** xibor.hpp 19 May 2006 16:56:16 -0000 1.1 --- xibor.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,25 **** --- 22,26 ---- #include <oh/objhandler.hpp> #include <ql/Indexes/xibor.hpp> + #include <qlo/termstructures.hpp> namespace QuantLibAddin { *************** *** 35,39 **** const QuantLib::DayCounter &fltDayCounter, const long &fixingDays, ! const std::string &fwdCurveId, const std::vector<long> &lDates, const std::vector<double> &fixings); --- 36,40 ---- const QuantLib::DayCounter &fltDayCounter, const long &fixingDays, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &fwdYC, const std::vector<long> &lDates, const std::vector<double> &fixings); *************** *** 41,45 **** const QuantLib::Xibor& getObject() const {return *index_;} ! double fixing(const long &lFixingDate) const; virtual boost::shared_ptr<void> getReference() const { --- 42,46 ---- const QuantLib::Xibor& getObject() const {return *index_;} ! double fixing(const QuantLib::Date &fixingDate) const; virtual boost::shared_ptr<void> getReference() const { Index: forwardvanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardvanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** forwardvanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- forwardvanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,45 **** const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 28,38 ---- const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: cliquetoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cliquetoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** cliquetoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- cliquetoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,35 **** public: CliquetOption( ! const std::string &handleBlackScholes, const QuantLib::Option::Type &optionType, const double &strike, ! const long &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, --- 28,35 ---- public: CliquetOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const QuantLib::Option::Type &optionType, const double &strike, ! const QuantLib::Date &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, Index: barrieroption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/barrieroption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** barrieroption.cpp 19 May 2006 16:56:16 -0000 1.1 --- barrieroption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #include <qlo/barrieroption.hpp> #include <qlo/typefactory.hpp> - #include <qlo/exercise.hpp> namespace QuantLibAddin { --- 21,24 ---- *************** *** 29,46 **** const double &barrier, const double &rebate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 28,39 ---- const double &barrier, const double &rebate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: zerocouponbond.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/zerocouponbond.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** zerocouponbond.hpp 19 May 2006 16:56:16 -0000 1.1 --- zerocouponbond.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 34,38 **** QuantLib::BusinessDayConvention convention, const double &redemption, ! const std::string &handleZeroCurve); }; } --- 34,38 ---- QuantLib::BusinessDayConvention convention, const double &redemption, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &zeroCurve); }; } Index: vanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** vanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- vanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 31,48 **** VanillaOption::VanillaOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); --- 31,42 ---- VanillaOption::VanillaOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); Index: shortratemodels.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/shortratemodels.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** shortratemodels.cpp 19 May 2006 16:56:16 -0000 1.1 --- shortratemodels.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #endif #include <qlo/shortratemodels.hpp> - #include <qlo/termstructures.hpp> #include <ql/termstructure.hpp> --- 21,24 ---- *************** *** 37,47 **** HullWhite::HullWhite( ! const std::string &handleTermStructure, const double &a, const double &sigma) { - OH_GET_REFERENCE(termStructureP, handleTermStructure, - YieldTermStructure, QuantLib::YieldTermStructure) - QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructureP); --- 36,43 ---- HullWhite::HullWhite( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructureP, const double &a, const double &sigma) { QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructureP); Index: europeanoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/europeanoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** europeanoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- europeanoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,36 **** public: EuropeanOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 28,36 ---- public: EuropeanOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: quantoforwardvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantoforwardvanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantoforwardvanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- quantoforwardvanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,24 **** --- 21,25 ---- #include <qlo/baseinstruments.hpp> #include <qlo/processes.hpp> + #include <qlo/termstructures.hpp> #include <ql/Instruments/quantoforwardvanillaoption.hpp> *************** *** 28,41 **** public: QuantoForwardVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 29,42 ---- public: QuantoForwardVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: cliquetoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cliquetoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** cliquetoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- cliquetoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,47 **** CliquetOption::CliquetOption( ! const std::string &handleBlackScholes, const QuantLib::Option::Type &optionType, const double &strike, ! const long &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, const long &timeSteps) { - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - boost::shared_ptr<QuantLib::PercentageStrikePayoff> payoff( new QuantLib::PercentageStrikePayoff(optionType, strike)); boost::shared_ptr<QuantLib::EuropeanExercise> exercise( ! new QuantLib::EuropeanExercise( ! QuantLib::Date(expiryDate))); boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); --- 28,43 ---- CliquetOption::CliquetOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const QuantLib::Option::Type &optionType, const double &strike, ! const QuantLib::Date &expiryDate, const std::vector < QuantLib::Date > &resetDates, const std::string &engineID, const long &timeSteps) { boost::shared_ptr<QuantLib::PercentageStrikePayoff> payoff( new QuantLib::PercentageStrikePayoff(optionType, strike)); boost::shared_ptr<QuantLib::EuropeanExercise> exercise( ! new QuantLib::EuropeanExercise(expiryDate)); boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); Index: simpleswap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/simpleswap.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** simpleswap.hpp 19 May 2006 16:56:16 -0000 1.1 --- simpleswap.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,25 **** --- 22,26 ---- #include <qlo/baseinstruments.hpp> + #include <qlo/xibor.hpp> #include <ql/Instruments/simpleswap.hpp> *************** *** 42,50 **** //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, ! const std::string &indexHandle, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const std::string &discCurveId); EXPORT_UNDERLYING_OBJECT(QuantLib::VanillaSwap, mInstrument) --- 43,51 ---- //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) Index: simpleswap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/simpleswap.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** simpleswap.cpp 19 May 2006 16:56:16 -0000 1.1 --- simpleswap.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 26,30 **** #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> - #include <qlo/xibor.hpp> #include <ql/CashFlows/fixedratecoupon.hpp> #include <ql/CashFlows/parcoupon.hpp> --- 26,29 ---- *************** *** 46,62 **** //const std::string &fltFrqID, const QuantLib::DayCounter &floatDayCounter, ! const std::string &indexHandle, const bool &floatStartFromEnd, const bool &floatLongFinal, const QuantLib::Rate &floatSpread, ! const std::string &discCurveId) { - OH_GET_REFERENCE(discYC, discCurveId, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure(discYC); - OH_GET_REFERENCE(index, indexHandle, Xibor, - QuantLib::Xibor) - QuantLib::Schedule fixedSchedule(calendar, startDate, maturity, fixFrq, fixBDC, QuantLib::Date(), fixStartFromEnd, fixLongFinal); --- 45,56 ---- //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); Index: forwardvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/forwardvanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** forwardvanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- forwardvanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 30,38 **** const double &moneyness, const long &resetDate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 30,38 ---- const double &moneyness, const long &resetDate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: shortratemodels.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/shortratemodels.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** shortratemodels.hpp 19 May 2006 16:56:16 -0000 1.1 --- shortratemodels.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,25 **** #include <oh/objhandler.hpp> ! #include <ql/ShortRateModels/OneFactorModels/vasicek.hpp> #include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp> --- 21,25 ---- #include <oh/objhandler.hpp> ! #include <qlo/termstructures.hpp> #include <ql/ShortRateModels/OneFactorModels/vasicek.hpp> #include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp> *************** *** 48,52 **** public: HullWhite( ! const std::string &handleTermStructure, const double &a, const double &sigma); --- 48,52 ---- public: HullWhite( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructureP, const double &a, const double &sigma); Index: zerocouponbond.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/zerocouponbond.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** zerocouponbond.cpp 19 May 2006 16:56:16 -0000 1.1 --- zerocouponbond.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 38,45 **** QuantLib::BusinessDayConvention convention, const double &redemption, ! const std::string &handleZeroCurve) { - OH_GET_REFERENCE(zeroCurve, handleZeroCurve, - ZeroCurve, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> zeroCurveH(zeroCurve); --- 38,43 ---- QuantLib::BusinessDayConvention convention, const double &redemption, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &zeroCurve) { QuantLib::Handle<QuantLib::YieldTermStructure> zeroCurveH(zeroCurve); Index: asianoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/asianoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** asianoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- asianoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 29,37 **** ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 29,37 ---- ContinuousAveragingAsianOption( const QuantLib::Average::Type &averageType, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); *************** *** 47,55 **** const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 47,55 ---- const long &pastFixings, const std::vector < QuantLib::Date > &fixingDates, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: swap.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swap.cpp 19 May 2006 16:56:16 -0000 1.1 --- swap.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,44 **** #endif - #include <qlo/couponvectors.hpp> #include <qlo/swap.hpp> - #include <qlo/termstructures.hpp> namespace QuantLibAddin { Swap::Swap( ! const std::string &paidLegID, ! const std::string &recvLegID, ! const std::string &termStructureID) { - OH_GET_OBJECT(paidLegWrapper, paidLegID, CouponVector) const CashFlowVector& paidLeg = paidLegWrapper->getObject(); - - OH_GET_OBJECT(recvLegWrapper, recvLegID, CouponVector) const CashFlowVector& recvLeg = recvLegWrapper->getObject(); - - OH_GET_REFERENCE(termStructure, termStructureID, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); --- 22,36 ---- #endif #include <qlo/swap.hpp> namespace QuantLibAddin { Swap::Swap( ! const boost::shared_ptr < CouponVector > &paidLegWrapper, ! const boost::shared_ptr < CouponVector > &recvLegWrapper, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure) { const CashFlowVector& paidLeg = paidLegWrapper->getObject(); const CashFlowVector& recvLeg = recvLegWrapper->getObject(); QuantLib::Handle<QuantLib::YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(termStructure); Index: swap.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swap.hpp 19 May 2006 16:56:16 -0000 1.1 --- swap.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,25 **** --- 22,27 ---- #include <qlo/baseinstruments.hpp> + #include <qlo/couponvectors.hpp> + #include <qlo/termstructures.hpp> #include <ql/Instruments/swap.hpp> *************** *** 29,35 **** public: Swap( ! const std::string &paidLegID, ! const std::string &recvLegID, ! const std::string &termStructureID); EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument) --- 31,37 ---- public: Swap( ! const boost::shared_ptr < CouponVector > &paidLegWrapper, ! const boost::shared_ptr < CouponVector > &recvLegWrapper, ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure); EXPORT_UNDERLYING_OBJECT(QuantLib::Swap, mInstrument) Index: capfloor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capfloor.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capfloor.cpp 19 May 2006 16:56:16 -0000 1.1 --- capfloor.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 22,26 **** #include <qlo/capfloor.hpp> #include <qlo/couponvectors.hpp> - #include <qlo/shortratemodels.hpp> #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> --- 22,25 ---- *************** *** 29,37 **** CapFloor::CapFloor( ! const std::string& couponVectorID, ! const std::string& termStructureID, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option) { --- 28,36 ---- CapFloor::CapFloor( ! const std::string& couponVectorID, ! const boost::shared_ptr < QuantLib::YieldTermStructure >& termStructureP, ! const std::vector<double>& capStrikes, ! const std::vector<double>& floorStrikes, ! const std::string& engineID, const QuantLib::CapFloor::Type& option) { *************** *** 39,44 **** AnalyticCapFloorEngine, QuantLib::PricingEngine) - OH_GET_REFERENCE(termStructureP, termStructureID, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructureP); --- 38,41 ---- *************** *** 56,63 **** AnalyticCapFloorEngine::AnalyticCapFloorEngine( ! const std::string& handleModel) { ! ! OH_GET_REFERENCE(model, handleModel, ! AffineModel, QuantLib::AffineModel) engine_ = boost::shared_ptr<QuantLib::AnalyticCapFloorEngine>( --- 53,57 ---- AnalyticCapFloorEngine::AnalyticCapFloorEngine( ! const boost::shared_ptr < QuantLib::AffineModel >& model) { engine_ = boost::shared_ptr<QuantLib::AnalyticCapFloorEngine>( Index: quantovanillaoption.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantovanillaoption.cpp 19 May 2006 16:56:16 -0000 1.1 --- quantovanillaoption.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 33,53 **** QuantoVanillaOption::QuantoVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps) { - - OH_GET_REFERENCE(termStructure, handleTermStructure, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); - OH_GET_REFERENCE(blackVolTermStructure, handleBlackVol, - BlackVolTermStructure, QuantLib::BlackVolTermStructure) QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); --- 33,48 ---- QuantoVanillaOption::QuantoVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps) { QuantLib::Handle<QuantLib::YieldTermStructure> termStructureH(termStructure); QuantLib::Handle<QuantLib::BlackVolTermStructure> blackVolTermStructureH(blackVolTermStructure); *************** *** 57,69 **** new QuantLib::SimpleQuote(correlation))); - OH_GET_REFERENCE(blackScholesProcess, handleBlackScholes, - GeneralizedBlackScholesProcess, QuantLib::GeneralizedBlackScholesProcess) - boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff = Create<boost::shared_ptr<QuantLib::StrikedTypePayoff> >()(optionTypeID, payoffID, strike); - OH_GET_REFERENCE(exercise, handleExercise, Exercise, - QuantLib::Exercise) - boost::shared_ptr<QuantLib::PricingEngine> pricingEngine = Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps); --- 52,58 ---- Index: xibor.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/xibor.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** xibor.cpp 19 May 2006 16:56:16 -0000 1.1 --- xibor.cpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 23,27 **** #include <qlo/xibor.hpp> #include <qlo/generalutils.hpp> - #include <qlo/termstructures.hpp> #include <qlo/typefactory.hpp> #include <ql/Indexes/indexmanager.hpp> --- 23,26 ---- *************** *** 39,48 **** const QuantLib::DayCounter &fltDayCounter, const long &fixingDays, ! const std::string &fwdCurveId, const std::vector<long> &lDates, const std::vector<double> &fixings) { - OH_GET_REFERENCE(fwdYC, fwdCurveId, - YieldTermStructure, QuantLib::YieldTermStructure) QuantLib::Handle<QuantLib::YieldTermStructure> forecastingTermStructure(fwdYC); --- 38,45 ---- 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> forecastingTermStructure(fwdYC); *************** *** 60,65 **** } ! double Xibor::fixing(const long &lFixingDate) const{ ! return index_->fixing(make_date(lFixingDate)); } --- 57,62 ---- } ! double Xibor::fixing(const QuantLib::Date &fixingDate) const{ ! return index_->fixing(fixingDate); } Index: barrieroption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/barrieroption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** barrieroption.hpp 19 May 2006 16:56:16 -0000 1.1 --- barrieroption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 21,24 **** --- 21,25 ---- #include <qlo/baseinstruments.hpp> #include <qlo/processes.hpp> + #include <qlo/exercise.hpp> #include <ql/Instruments/barrieroption.hpp> *************** *** 31,39 **** const double &barrier, const double &rebate, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 32,40 ---- const double &barrier, const double &rebate, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::string &engineID, const long &timeSteps); Index: dividendvanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/dividendvanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** dividendvanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- dividendvanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,36 **** public: DividendVanillaOption( ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, --- 28,36 ---- public: DividendVanillaOption( ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const boost::shared_ptr < QuantLib::Exercise > &exercise, const std::vector < QuantLib::Date > ÷ndDates, const std::vector < double > ÷nds, Index: quantovanillaoption.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/quantovanillaoption.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** quantovanillaoption.hpp 19 May 2006 16:56:16 -0000 1.1 --- quantovanillaoption.hpp 24 May 2006 14:59:44 -0000 1.2 *************** *** 28,39 **** public: QuantoVanillaOption::QuantoVanillaOption( ! const std::string &handleTermStructure, ! const std::string &handleBlackVol, const double &correlation, ! const std::string &handleBlackScholes, const std::string &optionTypeID, const std::string &payoffID, const double &strike, ! const std::string &handleExercise, const std::string &engineID, const long &timeSteps); --- 28,39 ---- public: QuantoVanillaOption::QuantoVanillaOption( ! const boost::shared_ptr < QuantLib::YieldTermStructure > &termStructure, ! const boost::shared_ptr < QuantLib::BlackVolTermStructure > &blackVolTermStructure, const double &correlation, ! const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess, ... [truncated message content] |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1079/gensrc/metadata Modified Files: capfloor.xml couponvectors.xml instruments.xml options.xml processes.xml shortratemodels.xml simpleswap.xml swap.xml xibor.xml Log Message: autogenerate calls to OH_GET_OBJECT / OH_GET_REFERENCE Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** swap.xml 23 May 2006 16:41:18 -0000 1.1 --- swap.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 9,23 **** <ParameterList> <Parameters> ! <Parameter name='paidLegID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to paid leg</description> </Parameter> ! <Parameter name='recvLegID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to receveid leg</description> </Parameter> ! <Parameter name='termStructureID'> <type>string</type> <tensorRank>scalar</tensorRank> --- 9,23 ---- <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> Index: options.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/options.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** options.xml 23 May 2006 16:41:18 -0000 1.1 --- options.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 24,28 **** <description>rebate</description> </Parameter> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 24,28 ---- <description>rebate</description> </Parameter> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 44,48 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 44,48 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 73,77 **** <description>average type</description> </Parameter> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 73,77 ---- <description>average type</description> </Parameter> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 93,97 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 93,97 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 117,121 **** <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 117,121 ---- <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 132,136 **** <description>strike</description> </Parameter> ! <Parameter name='expiryDate'> <type>long</type> <tensorRank>scalar</tensorRank> --- 132,136 ---- <description>strike</description> </Parameter> ! <Parameter name='expiryDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 181,185 **** <description>fixing dates</description> </Parameter> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 181,185 ---- <description>fixing dates</description> </Parameter> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 201,205 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 201,205 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 225,229 **** <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 225,229 ---- <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 245,249 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 245,249 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 289,293 **** <description>reset date</description> </Parameter> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 289,293 ---- <description>reset date</description> </Parameter> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 309,313 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 309,313 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 358,362 **** <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 358,362 ---- <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 378,382 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 378,382 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 402,406 **** <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 402,406 ---- <ParameterList> <Parameters> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 422,426 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 422,426 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 446,455 **** <ParameterList> <Parameters> ! <Parameter name='handleTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of a term structure object</description> </Parameter> ! <Parameter name='handleBlackVol'> <type>string</type> <tensorRank>scalar</tensorRank> --- 446,455 ---- <ParameterList> <Parameters> ! <Parameter name='handleTermStructure' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of a term structure object</description> </Parameter> ! <Parameter name='handleBlackVol' libraryClass='BlackVolTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 461,465 **** <description>correlation</description> </Parameter> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 461,465 ---- <description>correlation</description> </Parameter> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 481,485 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 481,485 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 505,514 **** <ParameterList> <Parameters> ! <Parameter name='handleTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of a term structure object</description> </Parameter> ! <Parameter name='handleBlackVol'> <type>string</type> <tensorRank>scalar</tensorRank> --- 505,514 ---- <ParameterList> <Parameters> ! <Parameter name='handleTermStructure' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of a term structure object</description> </Parameter> ! <Parameter name='handleBlackVol' libraryClass='BlackVolTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 530,534 **** <description>reset date</description> </Parameter> ! <Parameter name='handleBlackScholes'> <type>string</type> <tensorRank>scalar</tensorRank> --- 530,534 ---- <description>reset date</description> </Parameter> ! <Parameter name='handleBlackScholes' libraryClass='GeneralizedBlackScholesProcess'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 550,554 **** <description>strike</description> </Parameter> ! <Parameter name='handleExercise'> <type>string</type> <tensorRank>scalar</tensorRank> --- 550,554 ---- <description>strike</description> </Parameter> ! <Parameter name='handleExercise' libraryClass='Exercise'> <type>string</type> <tensorRank>scalar</tensorRank> Index: shortratemodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** shortratemodels.xml 23 May 2006 16:41:18 -0000 1.1 --- shortratemodels.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 9,13 **** <ParameterList> <Parameters> ! <Parameter name='handleTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> --- 9,13 ---- <ParameterList> <Parameters> ! <Parameter name='handleTermStructure' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: xibor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/xibor.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** xibor.xml 23 May 2006 16:41:18 -0000 1.1 --- xibor.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 49,53 **** <description>fixing days (e.g. 2)</description> </Parameter> ! <Parameter name='ForwardCurve'> <type>string</type> <tensorRank>scalar</tensorRank> --- 49,53 ---- <description>fixing days (e.g. 2)</description> </Parameter> ! <Parameter name='ForwardCurve' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** processes.xml 23 May 2006 16:41:18 -0000 1.1 --- processes.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 9,13 **** <ParameterList> <Parameters> ! <Parameter name='handleBlackVol'> <type>string</type> <tensorRank>scalar</tensorRank> --- 9,13 ---- <ParameterList> <Parameters> ! <Parameter name='handleBlackVol' libraryClass='BlackVolTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: simpleswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/simpleswap.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** simpleswap.xml 23 May 2006 16:41:18 -0000 1.1 --- simpleswap.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 74,78 **** <description>floating day counter (e.g. Actual365Fixed)</description> </Parameter> ! <Parameter name='IndexHandle'> <type>string</type> <tensorRank>scalar</tensorRank> --- 74,78 ---- <description>floating day counter (e.g. Actual365Fixed)</description> </Parameter> ! <Parameter name='IndexHandle' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 94,98 **** <description>Index Spread</description> </Parameter> ! <Parameter name='DiscountCurve'> <type>string</type> <tensorRank>scalar</tensorRank> --- 94,98 ---- <description>Index Spread</description> </Parameter> ! <Parameter name='DiscountCurve' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** instruments.xml 23 May 2006 16:41:18 -0000 1.1 --- instruments.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 304,308 **** <description>redemption</description> </Parameter> ! <Parameter name='handleZeroCurve'> <type>string</type> <tensorRank>scalar</tensorRank> --- 304,308 ---- <description>redemption</description> </Parameter> ! <Parameter name='handleZeroCurve' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** couponvectors.xml 23 May 2006 16:41:17 -0000 1.1 --- couponvectors.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 9,13 **** <ParameterList> <Parameters> ! <Parameter name='scheduleID'> <type>string</type> <tensorRank>scalar</tensorRank> --- 9,13 ---- <ParameterList> <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 43,47 **** <ParameterList> <Parameters> ! <Parameter name='scheduleID'> <type>string</type> <tensorRank>scalar</tensorRank> --- 43,47 ---- <ParameterList> <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 53,57 **** <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID'> <type>string</type> <tensorRank>scalar</tensorRank> --- 53,57 ---- <description>coupon nominals</description> </Parameter> ! <Parameter name='indexID' libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 93,97 **** <ParameterList> <Parameters> ! <Parameter name='termStructureID'> <type>string</type> <tensorRank>scalar</tensorRank> --- 93,97 ---- <ParameterList> <Parameters> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** capfloor.xml 23 May 2006 16:41:17 -0000 1.1 --- capfloor.xml 24 May 2006 14:59:43 -0000 1.2 *************** *** 9,13 **** <ParameterList> <Parameters> ! <Parameter name='handleModel'> <type>string</type> <tensorRank>scalar</tensorRank> --- 9,13 ---- <ParameterList> <Parameters> ! <Parameter name='handleModel' libraryClass='AffineModel'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 28,32 **** <description>coupon vector</description> </Parameter> ! <Parameter name='termStructureID'> <type>string</type> <tensorRank>scalar</tensorRank> --- 28,32 ---- <description>coupon vector</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> |
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From: Ferdinando A. <na...@us...> - 2006-05-24 14:34:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23771 Modified Files: QuantLibAddin_vc8.sln Log Message: project dependency added Index: QuantLibAddin_vc8.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin_vc8.sln,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** QuantLibAddin_vc8.sln 23 May 2006 16:41:17 -0000 1.2 --- QuantLibAddin_vc8.sln 24 May 2006 14:34:28 -0000 1.3 *************** *** 23,26 **** --- 23,29 ---- EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibObjects", "QuantLibObjects_vc8.vcproj", "{CAB8330C-6424-4455-9285-3654587EF71F}" + ProjectSection(ProjectDependencies) = postProject + {88BE5568-6E55-41C5-A251-670FAFB44336} = {88BE5568-6E55-41C5-A251-670FAFB44336} + EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "gensrc", "gensrc\gensrc_vc8.vcproj", "{88BE5568-6E55-41C5-A251-670FAFB44336}" |
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From: Eric E. <eri...@us...> - 2006-05-24 11:06:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10920/gensrc/metadata Modified Files: calendar.xml date.xml termstructures.xml Log Message: replace "return_func='xxx'" with conversion of QL datatypes for return values Index: date.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/date.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** date.xml 23 May 2006 16:41:17 -0000 1.1 --- date.xml 24 May 2006 11:05:35 -0000 1.2 *************** *** 90,94 **** </Parameters> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 90,94 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 110,114 **** </Parameters> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 110,114 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 151,155 **** </Parameters> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 151,155 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 165,169 **** <Parameters/> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 165,169 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** calendar.xml 23 May 2006 16:41:17 -0000 1.1 --- calendar.xml 24 May 2006 11:05:35 -0000 1.2 *************** *** 77,81 **** </Parameters> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 77,81 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** termstructures.xml 23 May 2006 16:41:18 -0000 1.1 --- termstructures.xml 24 May 2006 11:05:35 -0000 1.2 *************** *** 157,161 **** <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 157,161 ---- <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 170,174 **** <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 170,174 ---- <ParameterList> <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 394,398 **** </Parameters> </ParameterList> ! <ReturnValue> <type>any</type> <tensorRank>vector</tensorRank> --- 394,398 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::DiscountFactor'> <type>any</type> <tensorRank>vector</tensorRank> *************** *** 445,449 **** </Parameters> </ParameterList> ! <ReturnValue return_func='rate'> <type>any</type> <tensorRank>vector</tensorRank> --- 445,449 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::InterestRate'> <type>any</type> <tensorRank>vector</tensorRank> *************** *** 491,495 **** </Parameters> </ParameterList> ! <ReturnValue return_func='rate'> <type>any</type> <tensorRank>vector</tensorRank> --- 491,495 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::InterestRate'> <type>any</type> <tensorRank>vector</tensorRank> *************** *** 532,536 **** </Parameters> </ParameterList> ! <ReturnValue> <type>any</type> <tensorRank>vector</tensorRank> --- 532,536 ---- </Parameters> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>any</type> <tensorRank>vector</tensorRank> *************** *** 544,549 **** <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 544,550 ---- <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> *************** *** 557,562 **** <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> ! <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> --- 558,564 ---- <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> |
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From: Eric E. <eri...@us...> - 2006-05-24 11:05:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10920/qlo Added Files: conversions.cpp conversions.hpp Removed Files: clientutils.cpp clientutils.hpp Log Message: replace "return_func='xxx'" with conversion of QL datatypes for return values --- NEW FILE: conversions.cpp --- /* Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #if defined(HAVE_CONFIG_H) // Dynamically created by configure #include <qlo/config.hpp> #endif #include <qlo/conversions.hpp> namespace QuantLibAddin { double libraryToScalar(const QuantLib::InterestRate &i) { return i.rate(); } long libraryToScalar(const QuantLib::Date &d) { return d.serialNumber(); } std::vector < long > libraryToVector(const std::vector < QuantLib::Date > &v) { std::vector < long > ret; for (std::vector < QuantLib::Date >::const_iterator i = v.begin(); i != v.end(); i++) ret.push_back(i->serialNumber()); return ret; } } --- NEW FILE: conversions.hpp --- /* Copyright (C) 2005 Plamen Neykov Copyright (C) 2004, 2005, 2006 Eric Ehlers This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file \brief Miscellaneous utility functions available to clients of %QuantLibAddin i.e. the Addins */ #ifndef qla_conversions_hpp #define qla_conversions_hpp #include <ql/date.hpp> #include <ql/interestrate.hpp> #include <vector> namespace QuantLibAddin { /*! \group conversions Conversion of library types to C++ types. Called by autogenerated addin code. */ double libraryToScalar(const QuantLib::InterestRate&); long libraryToScalar(const QuantLib::Date&); std::vector < long > libraryToVector(const std::vector<QuantLib::Date>&); } #endif --- clientutils.hpp DELETED --- --- clientutils.cpp DELETED --- |
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From: Eric E. <eri...@us...> - 2006-05-24 11:05:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10920 Modified Files: QuantLibObjects_vc8.vcproj Log Message: replace "return_func='xxx'" with conversion of QL datatypes for return values Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** QuantLibObjects_vc8.vcproj 23 May 2006 11:49:07 -0000 1.2 --- QuantLibObjects_vc8.vcproj 24 May 2006 11:05:35 -0000 1.3 *************** *** 347,359 **** </File> <File ! RelativePath=".\qlo\clientutils.cpp" > </File> <File ! RelativePath="qlo\cliquetoption.cpp" > </File> <File ! RelativePath="qlo\complextyperegistry.cpp" > </File> --- 347,359 ---- </File> <File ! RelativePath="qlo\cliquetoption.cpp" > </File> <File ! RelativePath="qlo\complextyperegistry.cpp" > </File> <File ! RelativePath=".\qlo\conversions.cpp" > </File> *************** *** 544,556 **** </File> <File ! RelativePath=".\qlo\clientutils.hpp" > </File> <File ! RelativePath="qlo\cliquetoption.hpp" > </File> <File ! RelativePath="qlo\config.hpp" > </File> --- 544,556 ---- </File> <File ! RelativePath="qlo\cliquetoption.hpp" > </File> <File ! RelativePath="qlo\config.hpp" > </File> <File ! RelativePath=".\qlo\conversions.hpp" > </File> |
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From: Eric E. <eri...@us...> - 2006-05-23 17:36:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5732/gensrc Modified Files: gensrc_vc8.vcproj Log Message: add copyright file to workspace Index: gensrc_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/gensrc_vc8.vcproj,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** gensrc_vc8.vcproj 23 May 2006 16:41:17 -0000 1.1 --- gensrc_vc8.vcproj 23 May 2006 17:36:10 -0000 1.2 *************** *** 147,150 **** --- 147,154 ---- > </File> + <File + RelativePath=".\stub.copyright" + > + </File> </Files> <Globals> |
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From: Eric E. <eri...@us...> - 2006-05-23 17:34:53
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5053/gensrc Modified Files: Makefile.vc Log Message: cleaner syntax Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.vc,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.vc 23 May 2006 16:41:17 -0000 1.1 --- Makefile.vc 23 May 2006 17:34:45 -0000 1.2 *************** *** 1,9 **** # QuantLibAddin\gensrc\Makefile.vc ! COMPONENT_NAME=gensrc ! INT_DIR=build\vc ! FLAG1=$(INT_DIR)\$(COMPONENT_NAME).flag1 ! ! SCRIPTS=scripts\gensrc.py METADATA=metadata\calendar.xml \ --- 1,7 ---- # QuantLibAddin\gensrc\Makefile.vc ! BUILD_DIR=build\vc ! BUILDFLAG=$(BUILD_DIR)\buildflag ! SCRIPT=scripts\gensrc.py METADATA=metadata\calendar.xml \ *************** *** 31,46 **** metadata\xibor.xml ! ALL : $(FLAG1) ! "$(INT_DIR)" : ! if not exist "$(INT_DIR)" mkdir "$(INT_DIR)" ! $(FLAG1) : $(STUBS) $(SCRIPTS) $(METADATA) $(INT_DIR) set PYTHONPATH=$(GENSRC_DIR)\import ! # scripts\gensrc.py -a ! scripts\gensrc.py -eqv echo flagged > $@ CLEAN : ! -@ if EXIST "$(INT_DIR)\*" del /f /q "$(INT_DIR)\*" --- 29,44 ---- metadata\xibor.xml ! ALL : $(BUILDFLAG) ! $(BUILD_DIR) : ! if not exist $(BUILD_DIR) mkdir $(BUILD_DIR) ! $(BUILDFLAG) : $(SCRIPT) $(METADATA) $(BUILD_DIR) set PYTHONPATH=$(GENSRC_DIR)\import ! # $(SCRIPT) -a ! $(SCRIPT) -eqv echo flagged > $@ CLEAN : ! -@ if EXIST $(BUILD_DIR)\* del /f /q $(BUILD_DIR)\* |
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16543/gensrc/metadata Added Files: calendar.xml capfloor.xml config.xml couponvectors.xml date.xml daycounter.xml enumerations.xml exercise.xml instruments.xml interpolation.xml mathf.xml options.xml prices.xml processes.xml randomsequencegenerator.xml schedule.xml shortratemodels.xml simpleswap.xml swap.xml termstructures.xml utilities.xml volatilities.xml xibor.xml Log Message: transfer addin-specific code and metadata from gensrc to QuantLibAddin --- NEW FILE: shortratemodels.xml --- <Category name='shortratemodels'> <description>functions to construct QuantLib short-rate model objects</description> <displayName>Short Rate Models</displayName> <Functions> <Constructor name='qlHullWhite'> <libraryFunction>HullWhite</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='handleTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to a term structure object</description> </Parameter> <Parameter name='a'> <type>double</type> <tensorRank>scalar</tensorRank> <description>a</description> </Parameter> <Parameter name='sigma'> <type>double</type> <tensorRank>scalar</tensorRank> <description>volatility</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlVasicek'> <libraryFunction>Vasicek</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='a'> <type>double</type> <tensorRank>scalar</tensorRank> <description>mean reverting speed</description> </Parameter> <Parameter name='b'> <type>double</type> <tensorRank>scalar</tensorRank> <description>short-rate limit value</description> </Parameter> <Parameter name='lambda'> <type>double</type> <tensorRank>scalar</tensorRank> <description>risk premium</description> </Parameter> <Parameter name='sigma'> <type>double</type> <tensorRank>scalar</tensorRank> <description>volatility</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: swap.xml --- <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'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to paid leg</description> </Parameter> <Parameter name='recvLegID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to receveid leg</description> </Parameter> <Parameter name='termStructureID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to discounting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: daycounter.xml --- <Category name='daycounter'> <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> <type>long</type> <tensorRank>scalar</tensorRank> <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> <type>double</type> <tensorRank>scalar</tensorRank> <description>advanced date</description> </ReturnValue> </Procedure> </Functions> </Category> --- NEW FILE: config.xml --- <Config> <qlaRootDirectory>../../QuantLibAddin/qlo/</qlaRootDirectory> <voRootDirectory>../../QuantLibAddin/qlo/</voRootDirectory> <excelRootDirectory>../../QuantLibXL/qlxl/</excelRootDirectory> <categoryNames> <categoryName>calendar</categoryName> <categoryName>capfloor</categoryName> <categoryName>couponvectors</categoryName> <categoryName>date</categoryName> <categoryName>daycounter</categoryName> <categoryName>exercise</categoryName> <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> <categoryName>mathf</categoryName> <categoryName>options</categoryName> <categoryName>prices</categoryName> <categoryName>processes</categoryName> <categoryName>randomsequencegenerator</categoryName> <categoryName>schedule</categoryName> <categoryName>shortratemodels</categoryName> <categoryName>simpleswap</categoryName> <categoryName>swap</categoryName> <categoryName>termstructures</categoryName> <categoryName>utilities</categoryName> <categoryName>volatilities</categoryName> <categoryName>xibor</categoryName> </categoryNames> </Config> --- NEW FILE: xibor.xml --- <Category name='xibor'> <description>functions to construct QuantLib Xibor objects</description> <displayName>Indices</displayName> <Functions> <Constructor name='qlXibor'> <libraryFunction>Xibor</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='IndexName'> <type>string</type> <tensorRank>scalar</tensorRank> <description>index name</description> </Parameter> <Parameter name='Currency' enumeration='QuantLib::Currency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Index Currency</description> </Parameter> <Parameter name='tenor'> <type>long</type> <tensorRank>scalar</tensorRank> <description>the tenor of this index</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>time units applying to above tenor</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='BDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual360)</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='ForwardCurve'> <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> </ParameterList> </Constructor> <Member name='qlXiborFixing' libraryClass='Xibor'> <description>retrive the fixing for the given Xibor object</description> <libraryFunction>fixing</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='fixingDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>xibor fixing</description> </ReturnValue> </Member> </Functions> </Category> --- NEW FILE: volatilities.xml --- <Category name='volatilities'> <description>functions to construct QuantLib volatility objects</description> <displayName>Volatilities</displayName> <Functions> <Constructor name='qlBlackConstantVol'> <libraryFunction>BlackConstantVol</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> <Parameter name='volatility'> <type>double</type> <tensorRank>scalar</tensorRank> <description>volatility</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlBlackVarianceSurface'> <libraryFunction>BlackVarianceSurface</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> <Parameter name='dates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates</description> </Parameter> <Parameter name='strikes'> <type>double</type> <tensorRank>vector</tensorRank> <description>strikes</description> </Parameter> <Parameter name='volatilities'> <type>double</type> <tensorRank>matrix</tensorRank> <description>volatilities</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: termstructures.xml --- <Category name='termstructures'> <description>functions to construct QuantLib term structure objects</description> <displayName>Term Structures</displayName> <Functions> <Constructor name='qlDepositRateHelper'> <libraryFunction>DepositRateHelper</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='quote'> <type>double</type> <tensorRank>scalar</tensorRank> <description>quote</description> </Parameter> <Parameter name='maturity'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>time units applying to above maturity</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlFuturesRateHelper'> <libraryFunction>FuturesRateHelper</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='price'> <type>double</type> <tensorRank>scalar</tensorRank> <description>future price</description> </Parameter> <Parameter name='IMM'> <type>string</type> <tensorRank>scalar</tensorRank> <description>IMM code</description> </Parameter> <Parameter name='months'> <type>long</type> <tensorRank>scalar</tensorRank> <description>future contract lenght in months</description> </Parameter> <Parameter name='calendar' enumeration ='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='bDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Business Day Convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlSwapRateHelper'> <libraryFunction>SwapRateHelper</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='quote'> <type>double</type> <tensorRank>scalar</tensorRank> <description>quote</description> </Parameter> <Parameter name='maturity'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>time units applying to above maturity</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='fixedLegFrequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>fixed leg frequency (e.g. Annual)</description> </Parameter> <Parameter name='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>fixed leg convention (e.g. Unadjusted)</description> </Parameter> <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='floatingLegFrequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating leg frequency (e.g. Quarterly, Semiannual, etc.)</description> </Parameter> <Parameter name='floatingLegConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating leg convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlEarliestDate' libraryClass='RateHelper'> <description>retrieve a RateHelper's earliest date</description> <libraryFunction>earliestDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>earliest date</description> </ReturnValue> </Member> <Member name='qlLatestDate' libraryClass='RateHelper'> <description>retrieve a RateHelper's latest date</description> <libraryFunction>latestDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>latest date</description> </ReturnValue> </Member> <Member name='qlSetQuote' objectClass='RateHelper'> <description>update quote of existing Rate Helper object</description> <libraryFunction>setQuote</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='Quote'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the new qoute</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>diff new quote - old quote</description> </ReturnValue> </Member> <Member name='qlReferenceQuote' libraryClass='RateHelper'> <description>retrieve a RateHelper's reference quote</description> <libraryFunction>referenceQuote</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>reference quote</description> </ReturnValue> </Member> <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='rateHelpers'> <type>string</type> <tensorRank>vector</tensorRank> <description>vector of rate-helper handles</description> </Parameter> <Parameter name='includeFlag'> <type>bool</type> <tensorRank>vector</tensorRank> <description>inclusion boolean</description> </Parameter> <Parameter name='priority'> <type>long</type> <tensorRank>vector</tensorRank> <description>priority integer (higher number for higher priority)</description> </Parameter> <Parameter name='nFutures'> <type>long</type> <tensorRank>scalar</tensorRank> <description>max number of futures to be included</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of instance names of selected rate helpers</description> </ReturnValue> </Procedure> <Constructor name='qlPiecewiseYieldCurve'> <libraryFunction>PiecewiseYieldCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EGO</platforms> <ParameterList> <Parameters> <Parameter name='nDays' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> <description>number of days to advance from EvaluationDate (usually zero or two): it fixes the date at which the discount factor = 1.0</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET) to advance from global EvaluationDate</description> </Parameter> <Parameter name='rateHelpers'> <type>string</type> <tensorRank>vector</tensorRank> <description>vector of rate-helper handles</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlDiscountCurve'> <libraryFunction>DiscountCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='curveDates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates of the curve</description> </Parameter> <Parameter name='curveDiscounts'> <type>double</type> <tensorRank>vector</tensorRank> <description>discount factors for the above dates</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlZeroCurve'> <libraryFunction>ZeroCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='curveDates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates of the curve</description> </Parameter> <Parameter name='curveYields'> <type>double</type> <tensorRank>vector</tensorRank> <description>zero rates for the above dates</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlForwardCurve'> <libraryFunction>ForwardCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='curveDates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates of the curve</description> </Parameter> <Parameter name='forwardYields'> <type>double</type> <tensorRank>vector</tensorRank> <description>forwards rates for the above dates</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlForwardSpreadedTermStructure'> <libraryFunction>ForwardSpreadedTermStructure</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='YieldTermStructure' class='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to the Yield Curve to be spreaded</description> </Parameter> <Parameter name='spread'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the spread to be applied to the forward rates of the yield curve</description> </Parameter> </Parameters> </ParameterList> </Constructor> <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> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='DfDates' libraryType='QuantLib::Date'> <type>any</type> <tensorRank>vector</tensorRank> <description>vector of dates</description> </Parameter> <Parameter name='iPol'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>Interpolate Flag</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>any</type> <tensorRank>vector</tensorRank> <description>vector of discount factors</description> </ReturnValue> </Member> <Member name='qlForwardRate' libraryClass='YieldTermStructure' loopParameter='d2'> <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='d1' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>date 1</description> </Parameter> <Parameter name='d2' libraryType='QuantLib::Date'> <type>any</type> <tensorRank>vector</tensorRank> <description>date 2</description> </Parameter> <Parameter name='resultDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>result DayCounter</description> </Parameter> <Parameter name='compID' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>comp</description> </Parameter> <Parameter name='freqID' enumeration='QuantLib::Frequency' default='"Annual"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>freq</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>extrapolate</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue return_func='rate'> <type>any</type> <tensorRank>vector</tensorRank> <description>interest rate</description> </ReturnValue> </Member> <Member name='qlZeroRate' libraryClass='YieldTermStructure' loopParameter='dates'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='dates' libraryType='QuantLib::Date'> <type>any</type> <tensorRank>vector</tensorRank> <description>date</description> </Parameter> <Parameter name='resultDayCounterID' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>resultDayCounter</description> </Parameter> <Parameter name='compID' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>comp</description> </Parameter> <Parameter name='freqID' enumeration='QuantLib::Frequency' default='"Annual"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>freq</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>extrapolate</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue return_func='rate'> <type>any</type> <tensorRank>vector</tensorRank> <description>interest rate</description> </ReturnValue> </Member> <Member name='qlParRate' libraryClass='YieldTermStructure' loopParameter='tenor'> <description>return a vector of implied par rates corresponding to input vector of tenors for given date/payment frequency</description> <libraryFunction>parRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='tenor'> <type>any</type> <tensorRank>vector</tensorRank> <description>tenor</description> </Parameter> <Parameter name='startDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date</description> </Parameter> <Parameter name='freqID' enumeration='QuantLib::Frequency' default='"Annual"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>freq</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>extrapolate</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>any</type> <tensorRank>vector</tensorRank> <description>interest rate</description> </ReturnValue> </Member> <Member name='qlReferenceDate' libraryClass='YieldTermStructure'> <description>return the earliest date at which the YieldTermStructure is defined (i.e. discount factor = 1.0)</description> <libraryFunction>referenceDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>earliest date</description> </ReturnValue> </Member> <Member name='qlMaxDate' libraryClass='YieldTermStructure'> <description>return the latest date at which the YieldTermStructure is defined (not considering extrapolation feature)</description> <libraryFunction>maxDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>latest date</description> </ReturnValue> </Member> </Functions> </Category> --- NEW FILE: capfloor.xml --- <Category name='capfloor'> <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> <Functions> <Constructor name='qlAnalyticCapFloorEngine'> <libraryFunction>AnalyticCapFloorEngine</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='handleModel'> <type>string</type> <tensorRank>scalar</tensorRank> <description>affine model (providing a discount bond option pricing formula)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlCapFloor'> <libraryFunction>CapFloor</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='couponVectorID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>coupon vector</description> </Parameter> <Parameter name='termStructureID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to term structure</description> </Parameter> <Parameter name='capStrikes'> <type>double</type> <tensorRank>vector</tensorRank> <description>cap strikes</description> </Parameter> <Parameter name='floorStrikes'> <type>double</type> <tensorRank>vector</tensorRank> <description>floor strikes</description> </Parameter> <Parameter name='handleEngine'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to pricing engine</description> </Parameter> <Parameter name='optionType' enumeration='QuantLib::CapFloor::Type'> <type>string</type> <tensorRank>scalar</tensorRank> <description>option type (cap, floor or collar)</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: utilities.xml --- <Category name='utilities'> <description>diagnostic and utility functions</description> <displayName>Utilities</displayName> <Functions> <Procedure name='qlVersion'> <description>returns the version number of QuantLib</description> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> <description>QuantLib version number</description> </ReturnValue> </Procedure> <Procedure name='qlListRegisteredEnums'> <description>return the names of all registered enums</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::EnumRegistry::instance().getAllRegisteredTypes</alias> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of names of registered enums</description> </ReturnValue> </Procedure> <Procedure name='qlListEnum'> <description>return the members of a given enumeration</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::EnumRegistry::instance().getTypeElements</alias> <ParameterList> <Parameters> <Parameter name='enumId'> <type>string</type> <tensorRank>scalar</tensorRank> <description>name of the enum to list</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of the members of the specified enumeration</description> </ReturnValue> </Procedure> <Procedure name='qlListRegisteredTypes'> <description>return the names of all registered complex types</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::ComplexTypeRegistry::instance().getAllRegisteredTypes</alias> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of names of registered enums</description> </ReturnValue> </Procedure> <Procedure name='qlListType'> <description>return the members of a given complex type</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::ComplexTypeRegistry::instance().getTypeElements</alias> <ParameterList> <Parameters> <Parameter name='typeId'> <type>string</type> <tensorRank>scalar</tensorRank> <description>name of the complex type to list</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of the members of the specified enumeration</description> </ReturnValue> </Procedure> </Functions> </Category> --- NEW FILE: randomsequencegenerator.xml --- <Category name='randomsequencegenerator'> <description>functions to generate random number sequences</description> <displayName>Random Sequence Generator</displayName> <Functions> <Procedure name='qlRand'> <description>returns a random number between 0 and 1.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::rand</alias> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>a random number between 0 and 1</description> </ReturnValue> </Procedure> <!--Procedure name='qlRandomize'> <description>returns a random number between 0 and 1.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::randomize</alias> <ParameterList> <Parameters> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>the seed used to initialize the random number generator</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> <description>void</description> </ReturnValue> </Procedure--> <Member name='qlVariates' objectClass='RandomSequenceGenerator'> <description>generate variates</description> <libraryFunction>variates</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='samples'> <type>long</type> <tensorRank>scalar</tensorRank> <description>number of samples</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>matrix</tensorRank> <description>variates</description> </ReturnValue> </Member> <Constructor name='qlMersenneTwisterRsg'> <libraryFunction>MersenneTwisterRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>seed</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlFaureRsg'> <libraryFunction>FaureRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlHaltonRsg'> <libraryFunction>HaltonRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>seed</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlSobolRsg'> <libraryFunction>SobolRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>seed</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: exercise.xml --- <Category name='exercise'> <description>functions to construct QuantLib Exercise objects</description> <displayName>Exercise</displayName> <Functions> <Constructor name='qlAmericanExercise'> <libraryFunction>AmericanExercise</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='earliestDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>earliest exercise date</description> </Parameter> <Parameter name='latestDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>latest exercise date</description> </Parameter> <Parameter name='payoffAtExpiry' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>payoff at expiry</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlEuropeanExercise'> <libraryFunction>EuropeanExercise</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='expiryDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>expiry date</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlBermudanExercise'> <libraryFunction>BermudanExercise</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates</description> </Parameter> <Parameter name='payoffAtExpiry' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>payoff at expiry</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: mathf.xml --- <Category name='mathf'> <description>Math QuantLib functions</description> <displayName>Math</displayName> <includes> <include>ql/Functions/mathf.hpp</include> </includes> <Functions> <Procedure name='qlPrimeNumber' > <description>returns the N-th prime number</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::PrimeNumbers::get</alias> <ParameterList> <Parameters> <Parameter name='N'> <type>long</type> <tensorRank>scalar</tensorRank> <description>index of the prime number (e.g N=2 returns 3)</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>long</type> <tensorRank>scalar</tensorRank> <description>the N-th prime number</description> </ReturnValue> </Procedure> <Procedure name="qlNormDist"> <description>Returns the normal cumulative distribution for the specified mean and standard deviation.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normDist</alias> <ParameterList> <Parameters> <Parameter name="X"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the value for which you want the distribution</description> </Parameter> <Parameter name="Mean" default="0.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the arithmetic mean of the distribution</description> </Parameter> <Parameter name="Standard_dev" default="1.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the standard deviation of the distribution, a positive number</description> </Parameter> <Parameter name="cumulative" default="TRUE"> <type>bool</type> <tensorRank>scalar</tensorRank> <description>is a logical value: for the cumulative distribution function, use TRUE; for the probability mass function, use FALSE</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the normal cumulative distribution for the specified mean and standard deviation</description> </ReturnValue> </Procedure> <Procedure name="qlNormSDist"> <description>Returns the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normDist</alias> <ParameterList> <Parameters> <Parameter name="Z"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the value for which you want the distribution</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> </ReturnValue> </Procedure> <Procedure name="qlNormInv"> <description>Returns the inverse of the normal cumulative distribution for the specified mean and standard deviation.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normInv</alias> <ParameterList> <Parameters> <Parameter name="Probability"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> </Parameter> <Parameter name="Mean" default="0.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the arithmetic mean of the distribution</description> </Parameter> <Parameter name="Standard_dev" default="1.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the standard deviation of the distribution, a positive number</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the inverse of the normal cumulative distribution for the specified mean and standard deviation</description> </ReturnValue> </Procedure> <Procedure name="qlNormSInv"> <description>Returns the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normInv</alias> <ParameterList> <Parameters> <Parameter name="Probability"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> </ReturnValue> </Procedure> </Functions> </Category> --- NEW FILE: calendar.xml --- <Category name='calendar'> <description>Calendar related QuantLib functions</description> <displayName>Calendar</displayName> <includes> <include>ql/Functions/calendars.hpp</include> <include>qlo/calendar.hpp</include> <include>qlo/vo_calendar.hpp</include> </includes> <Functions> <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'> <type>long</type> <tensorRank>vector</tensorRank> <description>holidays</description> </ReturnValue> </Procedure> <Procedure name='qlAdvanceCalendar' > <description>advances a date according to a given calendar</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::advanceCalendar</alias> <ParameterList> <Parameters> <Parameter name='startDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date to be advanced</description> </Parameter> <Parameter name='n'> <type>long</type> <tensorRank>scalar</tensorRank> <description>number of units to advance</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>units to advance</description> </Parameter> <Parameter name='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> <description>rolling convention</description> </Parameter> </Parameters> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>advanced date</description> </ReturnValue> </Procedure> <Constructor name='qlJointCalendar'> <libraryFunction>JointCalendar</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='jointCalendarRule' enumeration='QuantLib::JointCalendarRule' default='"JoinHolidays"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>JoinHolidays/JoinBusinessDays</description> </Parameter> <Parameter name='calendars' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>vector</tensorRank> <description>list of two, three or four calendars to join</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: simpleswap.xml --- <Category name='simpleswap'> <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'> <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'> <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> <descri... 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From: Eric E. <eri...@us...> - 2006-05-23 16:41:29
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16543/gensrc Added Files: .cvsignore Makefile.vc gensrc.vcproj gensrc_vc8.vcproj stub.copyright Log Message: transfer addin-specific code and metadata from gensrc to QuantLibAddin --- NEW FILE: Makefile.vc --- # QuantLibAddin\gensrc\Makefile.vc COMPONENT_NAME=gensrc INT_DIR=build\vc FLAG1=$(INT_DIR)\$(COMPONENT_NAME).flag1 SCRIPTS=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 : $(FLAG1) "$(INT_DIR)" : if not exist "$(INT_DIR)" mkdir "$(INT_DIR)" $(FLAG1) : $(STUBS) $(SCRIPTS) $(METADATA) $(INT_DIR) set PYTHONPATH=$(GENSRC_DIR)\import # scripts\gensrc.py -a scripts\gensrc.py -eqv echo flagged > $@ CLEAN : -@ if EXIST "$(INT_DIR)\*" del /f /q "$(INT_DIR)\*" --- NEW FILE: .cvsignore --- *.user build --- NEW FILE: stub.copyright --- /* Copyright (C) 2004, 2005, 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet Copyright (C) 2004, 2005, 2006 Eric Ehlers Copyright (C) 2006 Katiuscia Manzoni Copyright (C) 2006 Marco Marchioro--StatPro Italia Copyright (C) 2005, 2006 Plamen Neykov Copyright (C) 2005 Walter Penschke Copyright (C) 2004, 2005 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email qua...@li... The license is also available online at http://quantlib.org/html/license.html This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ --- NEW FILE: gensrc_vc8.vcproj --- <?xml version="1.0" encoding="Windows-1252"?> <VisualStudioProject ProjectType="Visual C++" Version="8.00" Name="gensrc" ProjectGUID="{88BE5568-6E55-41C5-A251-670FAFB44336}" Keyword="MakeFileProj" > <Platforms> <Platform Name="Win32" /> </Platforms> <ToolFiles> </ToolFiles> <Configurations> <Configuration Name="All|Win32" OutputDirectory="build\vc" IntermediateDirectory="build\vc" ConfigurationType="0" > <Tool Name="VCNMakeTool" BuildCommandLine="NMAKE /f "Makefile.vc"" ReBuildCommandLine="NMAKE /f "Makefile.vc" /a" CleanCommandLine="NMAKE /f "Makefile.vc" clean" Output="" PreprocessorDefinitions="WIN32;_DEBUG" IncludeSearchPath="" ForcedIncludes="" AssemblySearchPath="" ForcedUsingAssemblies="" CompileAsManaged="" /> </Configuration> </Configurations> <References> </References> <Files> <Filter Name="scripts" > <File RelativePath="scripts\gensrc.py" > </File> </Filter> <Filter Name="metadata" > <File RelativePath="metadata\calendar.xml" > </File> <File RelativePath="metadata\capfloor.xml" > </File> <File RelativePath="metadata\config.xml" > </File> <File RelativePath="metadata\couponvectors.xml" > </File> <File RelativePath="metadata\date.xml" > </File> <File RelativePath="metadata\daycounter.xml" > </File> <File RelativePath="metadata\enumerations.xml" > </File> <File RelativePath="metadata\exercise.xml" > </File> <File RelativePath="metadata\instruments.xml" > </File> <File RelativePath="metadata\interpolation.xml" > </File> <File RelativePath="metadata\mathf.xml" > </File> <File RelativePath="metadata\options.xml" > </File> <File RelativePath="metadata\prices.xml" > </File> <File RelativePath="metadata\processes.xml" > </File> <File RelativePath="metadata\randomsequencegenerator.xml" > </File> <File RelativePath="metadata\schedule.xml" > </File> <File RelativePath="metadata\shortratemodels.xml" > </File> <File RelativePath="metadata\simpleswap.xml" > </File> <File RelativePath="metadata\swap.xml" > </File> <File RelativePath="metadata\termstructures.xml" > </File> <File RelativePath="metadata\utilities.xml" > </File> <File RelativePath="metadata\volatilities.xml" > </File> <File RelativePath="metadata\xibor.xml" > </File> </Filter> <File RelativePath="Makefile.vc" > </File> </Files> <Globals> </Globals> </VisualStudioProject> --- NEW FILE: gensrc.vcproj --- <?xml version="1.0" encoding="Windows-1252"?> <VisualStudioProject ProjectType="Visual C++" Version="7.10" Name="gensrc" ProjectGUID="{19C36A53-51F2-4951-9A38-CCF6A250814F}" Keyword="MakeFileProj"> <Platforms> <Platform Name="Win32"/> </Platforms> <Configurations> <Configuration Name="All|Win32" OutputDirectory="Debug" IntermediateDirectory="Debug" ConfigurationType="0"> <Tool Name="VCNMakeTool" BuildCommandLine="NMAKE /f "Makefile.vc"" ReBuildCommandLine="NMAKE /f "Makefile.vc" /a" CleanCommandLine="NMAKE /f "Makefile.vc" clean"/> </Configuration> </Configurations> <References> </References> <Files> <Filter Name="scripts" Filter=""> <File RelativePath="scripts\gensrc.py"> </File> </Filter> <Filter Name="metadata" Filter=""> <File RelativePath="metadata\calendar.xml"> </File> <File RelativePath="metadata\capfloor.xml"> </File> <File RelativePath="metadata\config.xml"> </File> <File RelativePath="metadata\couponvectors.xml"> </File> <File RelativePath="metadata\date.xml"> </File> <File RelativePath="metadata\daycounter.xml"> </File> <File RelativePath="metadata\enumerations.xml"> </File> <File RelativePath="metadata\exercise.xml"> </File> <File RelativePath="metadata\instruments.xml"> </File> <File RelativePath="metadata\interpolation.xml"> </File> <File RelativePath="metadata\mathf.xml"> </File> <File RelativePath="metadata\options.xml"> </File> <File RelativePath="metadata\prices.xml"> </File> <File RelativePath="metadata\processes.xml"> </File> <File RelativePath="metadata\randomsequencegenerator.xml"> </File> <File RelativePath="metadata\schedule.xml"> </File> <File RelativePath="metadata\shortratemodels.xml"> </File> <File RelativePath="metadata\simpleswap.xml"> </File> <File RelativePath="metadata\swap.xml"> </File> <File RelativePath="metadata\termstructures.xml"> </File> <File RelativePath="metadata\utilities.xml"> </File> <File RelativePath="metadata\volatilities.xml"> </File> <File RelativePath="metadata\xibor.xml"> </File> </Filter> <File RelativePath="Makefile.vc"> </File> </Files> <Globals> </Globals> </VisualStudioProject> |
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From: Eric E. <eri...@us...> - 2006-05-23 16:41:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16543/gensrc/scripts Added Files: gensrc.py Log Message: transfer addin-specific code and metadata from gensrc to QuantLibAddin --- NEW FILE: gensrc.py --- """ Copyright (C) 2005, 2006 Eric Ehlers Copyright (C) 2005, 2006 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. """ import sys import getopt import addinqla import addinexcel import addincalc import addinc import addinguile import addindoxygen import valueobjects import utilities import config def usage(): """Fail with a message documenting command line arguments.""" errorMessage = 'usage: ' + sys.argv[0] + """ -[targets] where [targets] is any of: q - generate source for QuantLibAddin e - generate source for Excel addin o - generate source for OpenOffice.org Calc addin c - generate source for C addin g - generate source for Guile addin d - generate doxygen documentation files v - generate ValueObjects or a - all of the above or h - display this help message""" sys.exit(errorMessage) # parse command line arguments try: opts, args = getopt.getopt(sys.argv[1:], 'qeocgdahv', 'help' ) except getopt.GetoptError: usage() config.Config.getInstance().initialize() addins = [] for o, a in opts: if o in ('-h', '--help'): usage() elif o == '-q': addins.append(utilities.serializeObject(addinqla.AddinQla)) elif o == '-e': addins.append(utilities.serializeObject(addinexcel.AddinExcel)) #elif o == '-o': # addins.append(utilities.serializeObject(addincalc.AddinCalc)) #elif o == '-c': # addins.append(utilities.serializeObject(addinc.AddinC)) #elif o == '-g': # addins.append(utilities.serializeObject(addinguile.AddinGuile)) #elif o == '-d': # addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) elif o == '-v': addins.append(utilities.serializeObject(valueobjects.ValueObjects)) #elif o == '-a': # if len(opts) != 1: sys.exit('flag -a cannot be combined with other flags') # addins.append(utilities.serializeObject(addinqla.AddinQla)) # addins.append(utilities.serializeObject(addinexcel.AddinExcel)) # addins.append(utilities.serializeObject(addincalc.AddinCalc)) # addins.append(utilities.serializeObject(addinc.AddinC)) # addins.append(utilities.serializeObject(addinguile.AddinGuile)) # addins.append(utilities.serializeObject(addindoxygen.AddinDoxygen)) # addins.append(utilities.serializeObject(valueobjects.ValueObjects)) else: usage() if not len(addins): usage() # generate source code for chosen target projects utilities.generate(addins) |
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From: Eric E. <eri...@us...> - 2006-05-23 16:41:27
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16543 Modified Files: QuantLibAddin_vc8.sln Log Message: transfer addin-specific code and metadata from gensrc to QuantLibAddin Index: QuantLibAddin_vc8.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin_vc8.sln,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** QuantLibAddin_vc8.sln 19 May 2006 16:56:16 -0000 1.1 --- QuantLibAddin_vc8.sln 23 May 2006 16:41:17 -0000 1.2 *************** *** 24,27 **** --- 24,29 ---- Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibObjects", "QuantLibObjects_vc8.vcproj", "{CAB8330C-6424-4455-9285-3654587EF71F}" EndProject + Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "gensrc", "gensrc\gensrc_vc8.vcproj", "{88BE5568-6E55-41C5-A251-670FAFB44336}" + EndProject Global GlobalSection(SolutionConfigurationPlatforms) = preSolution *************** *** 83,86 **** --- 85,98 ---- {CAB8330C-6424-4455-9285-3654587EF71F}.Release|Win32.ActiveCfg = Release|Win32 {CAB8330C-6424-4455-9285-3654587EF71F}.Release|Win32.Build.0 = Release|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.All|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug CRTDLL|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Debug|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release CRTDLL|Win32.Build.0 = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.ActiveCfg = All|Win32 + {88BE5568-6E55-41C5-A251-670FAFB44336}.Release|Win32.Build.0 = All|Win32 EndGlobalSection GlobalSection(SolutionProperties) = preSolution |
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From: Eric E. <eri...@us...> - 2006-05-23 16:38:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15150/metadata Log Message: Directory /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata added to the repository |
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From: Eric E. <eri...@us...> - 2006-05-23 16:38:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15150/scripts Log Message: Directory /cvsroot/quantlibaddin/QuantLibAddin/gensrc/scripts added to the repository |
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From: Eric E. <eri...@us...> - 2006-05-23 16:37:48
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14771/gensrc Log Message: Directory /cvsroot/quantlibaddin/QuantLibAddin/gensrc added to the repository |
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From: Ferdinando A. <na...@us...> - 2006-05-23 11:56:40
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7456/qlo Modified Files: clientutils.cpp clientutils.hpp Log Message: assorted fixes Index: clientutils.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/clientutils.hpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** clientutils.hpp 23 May 2006 10:31:10 -0000 1.2 --- clientutils.hpp 23 May 2006 11:56:36 -0000 1.3 *************** *** 42,46 **** //std::vector < QuantLib::Date > createQLDate(const std::vector < long > &dates); ! //std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v); } --- 42,46 ---- //std::vector < QuantLib::Date > createQLDate(const std::vector < long > &dates); ! std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v); } Index: clientutils.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/clientutils.cpp,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** clientutils.cpp 23 May 2006 10:31:10 -0000 1.2 --- clientutils.cpp 23 May 2006 11:56:36 -0000 1.3 *************** *** 39,49 **** //} ! //std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v) { ! // std::vector < long > ret; ! // for (std::vector < QuantLib::Date >::const_iterator i = v.begin(); ! // i != v.end(); i++) ! // ret.push_back(i->serialNumber()); ! // return ret; ! //} } --- 39,49 ---- //} ! std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v) { ! std::vector < long > ret; ! for (std::vector < QuantLib::Date >::const_iterator i = v.begin(); ! i != v.end(); i++) ! ret.push_back(i->serialNumber()); ! return ret; ! } } |
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From: Ferdinando A. <na...@us...> - 2006-05-23 11:49:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4850 Modified Files: QuantLibObjects_vc8.vcproj Log Message: assorted fixes Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** QuantLibObjects_vc8.vcproj 19 May 2006 16:56:16 -0000 1.1 --- QuantLibObjects_vc8.vcproj 23 May 2006 11:49:07 -0000 1.2 *************** *** 347,351 **** </File> <File ! RelativePath="qlo\clientutils.cpp" > </File> --- 347,351 ---- </File> <File ! RelativePath=".\qlo\clientutils.cpp" > </File> *************** *** 544,548 **** </File> <File ! RelativePath="qlo\clientutils.hpp" > </File> --- 544,548 ---- </File> <File ! RelativePath=".\qlo\clientutils.hpp" > </File> |
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From: Ferdinando A. <na...@us...> - 2006-05-23 11:49:18
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4850/qlo Modified Files: calendar.cpp calendar.hpp Log Message: assorted fixes Index: calendar.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/calendar.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** calendar.hpp 19 May 2006 16:56:16 -0000 1.1 --- calendar.hpp 23 May 2006 11:49:07 -0000 1.2 *************** *** 29,33 **** JointCalendar( const QuantLib::JointCalendarRule &jointCalendarRule, ! const std::vector < std::string > &calendars); virtual boost::shared_ptr<void> getReference() const { return boost::static_pointer_cast<void>(jointCalendar_); --- 29,33 ---- JointCalendar( const QuantLib::JointCalendarRule &jointCalendarRule, ! const std::vector <QuantLib::Calendar> &calendars); virtual boost::shared_ptr<void> getReference() const { return boost::static_pointer_cast<void>(jointCalendar_); Index: calendar.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/calendar.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** calendar.cpp 19 May 2006 16:56:16 -0000 1.1 --- calendar.cpp 23 May 2006 11:49:07 -0000 1.2 *************** *** 28,52 **** JointCalendar::JointCalendar( const QuantLib::JointCalendarRule &jointCalendarRule, ! const std::vector < std::string > &calendars) { if (calendars.size() == 2) { jointCalendar_ = boost::shared_ptr<QuantLib::JointCalendar>( new QuantLib::JointCalendar( ! Create<QuantLib::Calendar>()(calendars[0]), ! Create<QuantLib::Calendar>()(calendars[1]), jointCalendarRule)); } else if (calendars.size() == 3) { jointCalendar_ = boost::shared_ptr<QuantLib::JointCalendar>( new QuantLib::JointCalendar( ! Create<QuantLib::Calendar>()(calendars[0]), ! Create<QuantLib::Calendar>()(calendars[1]), ! Create<QuantLib::Calendar>()(calendars[2]), jointCalendarRule)); } else if (calendars.size() == 4) { jointCalendar_ = boost::shared_ptr<QuantLib::JointCalendar>( new QuantLib::JointCalendar( ! Create<QuantLib::Calendar>()(calendars[0]), ! Create<QuantLib::Calendar>()(calendars[1]), ! Create<QuantLib::Calendar>()(calendars[2]), ! Create<QuantLib::Calendar>()(calendars[3]), jointCalendarRule)); } else { --- 28,52 ---- JointCalendar::JointCalendar( const QuantLib::JointCalendarRule &jointCalendarRule, ! const std::vector <QuantLib::Calendar> &calendars) { if (calendars.size() == 2) { jointCalendar_ = boost::shared_ptr<QuantLib::JointCalendar>( new QuantLib::JointCalendar( ! calendars[0], ! calendars[1], jointCalendarRule)); } else if (calendars.size() == 3) { jointCalendar_ = boost::shared_ptr<QuantLib::JointCalendar>( new QuantLib::JointCalendar( ! calendars[0], ! calendars[1], ! calendars[2], jointCalendarRule)); } else if (calendars.size() == 4) { jointCalendar_ = boost::shared_ptr<QuantLib::JointCalendar>( new QuantLib::JointCalendar( ! calendars[0], ! calendars[1], ! calendars[2], ! calendars[3], jointCalendarRule)); } else { |
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From: Eric E. <eri...@us...> - 2006-05-23 10:31:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9015/qlo Modified Files: clientutils.cpp clientutils.hpp Log Message: improved support for conversion of datatypes Index: clientutils.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/clientutils.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** clientutils.hpp 19 May 2006 16:56:16 -0000 1.1 --- clientutils.hpp 23 May 2006 10:31:10 -0000 1.2 *************** *** 34,43 **** */ /*! convert a long to a QuantLib date */ ! QuantLib::Date createQLDate(const long &date); ! std::vector < QuantLib::Date > createQLDate(const std::vector < long > &dates); ! std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v); } --- 34,46 ---- */ + // Eric - 23-5-2005 - these functions have been superceded by enhanced + // data conversions in gensrc - this file will be removed + /*! convert a long to a QuantLib date */ ! //QuantLib::Date createQLDate(const long &date); ! //std::vector < QuantLib::Date > createQLDate(const std::vector < long > &dates); ! //std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v); } Index: clientutils.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/clientutils.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** clientutils.cpp 19 May 2006 16:56:16 -0000 1.1 --- clientutils.cpp 23 May 2006 10:31:10 -0000 1.2 *************** *** 24,49 **** namespace QuantLibAddin { ! QuantLib::Date createQLDate(const long &date) { ! if (date) ! return QuantLib::Date(date); ! else ! return QuantLib::Date(); ! } ! std::vector < QuantLib::Date > createQLDate(const std::vector < long > &dates) { ! std::vector < QuantLib::Date > ret; ! for (std::vector < long >::const_iterator i = dates.begin(); ! i != dates.end(); i++) ! ret.push_back(QuantLib::Date(*i)); ! return ret; ! } ! std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v) { ! std::vector < long > ret; ! for (std::vector < QuantLib::Date >::const_iterator i = v.begin(); ! i != v.end(); i++) ! ret.push_back(i->serialNumber()); ! return ret; ! } } --- 24,49 ---- namespace QuantLibAddin { ! //QuantLib::Date createQLDate(const long &date) { ! // if (date) ! // return QuantLib::Date(date); ! // else ! // return QuantLib::Date(); ! //} ! //std::vector < QuantLib::Date > createQLDate(const std::vector < long > &dates) { ! // std::vector < QuantLib::Date > ret; ! // for (std::vector < long >::const_iterator i = dates.begin(); ! // i != dates.end(); i++) ! // ret.push_back(QuantLib::Date(*i)); ! // return ret; ! //} ! //std::vector < long > dateToLongVec(const std::vector < QuantLib::Date > &v) { ! // std::vector < long > ret; ! // for (std::vector < QuantLib::Date >::const_iterator i = v.begin(); ! // i != v.end(); i++) ! // ret.push_back(i->serialNumber()); ! // return ret; ! //} } |
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From: Eric E. <eri...@us...> - 2006-05-23 10:31:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9015 Modified Files: todo.csv Log Message: improved support for conversion of datatypes Index: todo.csv =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.csv,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** todo.csv 19 May 2006 16:56:16 -0000 1.1 --- todo.csv 23 May 2006 10:31:10 -0000 1.2 *************** *** 10,14 **** "QLA","Functions","qlGetDf() to return vector","done","M","21/04/2006","renamed to qlDiscount()" "QLA","Design","use ""instanceName"" instead of ""handle""","in progress","L",, - "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code?","in progress",,,"need to add support for one input dependent on other inputs" "QLA","Design","detect if calling range is row-wise / column-wise - format return vector accordingly",,"M",, "QLA","Design","transfer qla/typefactory.hpp, qla/typeregistry to ObjectHandler?",,,, --- 10,13 ---- *************** *** 17,20 **** --- 16,20 ---- "QLA","Design","improve formatting of log messages",,"L",, "QLA","Design","#include fewer headers to speed compilation",,"L",, + "QLA","Design","move all Create<>s from qla/*.?pp into autogenerated addin code","done",,"23/05/2006", "QLA","Design","export IMM dates e.g. H7 -> date","done",,, "QLA","Design","in session.cpp replace bespoke parsing with boost::regex","done","L",05/08/2006, *************** *** 35,39 **** "QLA","VBA framework","QuantLibAddin menu for Excel","done",,"18/04/2006", "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,"18/04/2006", ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, srcgen, QLA, QLXL","in progress","L",, "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,"L",, "QLA","Enumerations","qlListEnum() - single return value gets repeated in calling range force scalar to be returned as vector",,,,"is there an example of an enum list containing 1 item?" --- 35,39 ---- "QLA","VBA framework","QuantLibAddin menu for Excel","done",,"18/04/2006", "QLA","VBA framework","right click in cell to create enumeration drop down list","done",,"18/04/2006", ! "QLA","QuantLibXL","separate SourceForge projects/websites for OH, srcgen, QLA, QLXL","done","L","19/5/2006", "QLA","ValueObjects","dynamic properties e.g. ohMember(""instanceName"", ""NPV"", ...) replaces qlNPV(""instanceName"")",,"L",, "QLA","Enumerations","qlListEnum() - single return value gets repeated in calling range force scalar to be returned as vector",,,,"is there an example of an enum list containing 1 item?" *************** *** 44,48 **** "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled","L",, "QLA","Enumerations","add support for abbreviations","cancelled","M","21/04/2006","not required because of right-click menu" ! "QLA","Excel binding","srcgen function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard",,,, "QLA","Excel binding","categorize function names in Excel Function Wizard","suspended",,"20/04/2006","conflict with Adfin addin" "QLA","Excel binding","XLL description in Addin manager","cancelled",,"20/04/2006","not supported by Excel C API" --- 44,48 ---- "QLA","Enumerations","if string name omitted from XML, use class name as default","cancelled","L",, "QLA","Enumerations","add support for abbreviations","cancelled","M","21/04/2006","not required because of right-click menu" ! "QLA","Excel binding","srcgen function metadata ""noWizardRecalc"" to suppress recalc under Excel Function Wizard",,,,"also required for ctors otherwise GC breaks" "QLA","Excel binding","categorize function names in Excel Function Wizard","suspended",,"20/04/2006","conflict with Adfin addin" "QLA","Excel binding","XLL description in Addin manager","cancelled",,"20/04/2006","not supported by Excel C API" *************** *** 64,71 **** "QLA","General Support","sort out RandomSequenceGenerator","done",,"19/04/2006", "QLA","srcgen","add support for direct call to member function of temporary object e.g. qlDayCount(), qlYearFraction()",,,, - "QLA","srcgen","add support for complete conversion of datatype of function return value scalar/vector/matrix, QL datatypes, void, etc.","in progress",,, - "QLA","srcgen","call OH_GET_REFERENCE from Addin code for functions with getObject='true' ?","in progress","L",, "QLA","srcgen","extend rule.py to support conversion of Guile datatypes",,"L",, "QLA","srcgen","Provide schema for XML",,"L",, "QLA","srcgen","add support for vector of QuantLib::Dates as input parameter","done",,06/05/2006, "QLA","srcgen","category metadata list of <includes> - only first item in list is processed","done",,06/05/2006, --- 64,71 ---- "QLA","General Support","sort out RandomSequenceGenerator","done",,"19/04/2006", "QLA","srcgen","add support for direct call to member function of temporary object e.g. qlDayCount(), qlYearFraction()",,,, "QLA","srcgen","extend rule.py to support conversion of Guile datatypes",,"L",, "QLA","srcgen","Provide schema for XML",,"L",, + "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","L","23/5/2006", "QLA","srcgen","add support for vector of QuantLib::Dates as input parameter","done",,06/05/2006, "QLA","srcgen","category metadata list of <includes> - only first item in list is processed","done",,06/05/2006, |
|
From: Ferdinando A. <na...@us...> - 2006-05-22 16:56:43
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19317 Modified Files: QuantLibAddin.sln QuantLibObjects.vcproj Log Message: VC7.1 catching up Index: QuantLibAddin.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.sln,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** QuantLibAddin.sln 22 May 2006 15:16:03 -0000 1.2 --- QuantLibAddin.sln 22 May 2006 16:56:40 -0000 1.3 *************** *** 2,9 **** --- 2,11 ---- Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinC", "Addins\C\AddinC.vcproj", "{FE5EE378-AD4E-4B32-8030-C089D7067336}" ProjectSection(ProjectDependencies) = postProject + {6A4CC8C6-BE43-4571-B261-037E56A7A38D} = {6A4CC8C6-BE43-4571-B261-037E56A7A38D} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinCalc", "Addins\Calc\AddinCalc.vcproj", "{D8B630DB-69ED-455C-AC79-22903E750175}" ProjectSection(ProjectDependencies) = postProject + {6A4CC8C6-BE43-4571-B261-037E56A7A38D} = {6A4CC8C6-BE43-4571-B261-037E56A7A38D} EndProjectSection EndProject *************** *** 11,21 **** ProjectSection(ProjectDependencies) = postProject {FE5EE378-AD4E-4B32-8030-C089D7067336} = {FE5EE378-AD4E-4B32-8030-C089D7067336} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCppDemo", "Clients\C++\ClientCppDemo.vcproj", "{88B70320-57E9-47B5-9298-881B79789139}" ProjectSection(ProjectDependencies) = postProject EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibObject", "QuantLibObjects.vcproj", "{6A4CC8C6-BE43-4571-B261-037E56A7A38D}" ProjectSection(ProjectDependencies) = postProject EndProjectSection --- 13,25 ---- ProjectSection(ProjectDependencies) = postProject {FE5EE378-AD4E-4B32-8030-C089D7067336} = {FE5EE378-AD4E-4B32-8030-C089D7067336} + {6A4CC8C6-BE43-4571-B261-037E56A7A38D} = {6A4CC8C6-BE43-4571-B261-037E56A7A38D} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCppDemo", "Clients\C++\ClientCppDemo.vcproj", "{88B70320-57E9-47B5-9298-881B79789139}" ProjectSection(ProjectDependencies) = postProject + {6A4CC8C6-BE43-4571-B261-037E56A7A38D} = {6A4CC8C6-BE43-4571-B261-037E56A7A38D} EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibObjects", "QuantLibObjects.vcproj", "{6A4CC8C6-BE43-4571-B261-037E56A7A38D}" ProjectSection(ProjectDependencies) = postProject EndProjectSection Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** QuantLibObjects.vcproj 22 May 2006 15:16:03 -0000 1.2 --- QuantLibObjects.vcproj 22 May 2006 16:56:40 -0000 1.3 *************** *** 362,365 **** --- 362,368 ---- </File> <File + RelativePath=".\qlo\enumregistry.cpp"> + </File> + <File RelativePath="qlo\europeanoption.cpp"> </File> *************** *** 413,416 **** --- 416,467 ---- </File> <File + RelativePath=".\qlo\vo_calendar.cpp"> + </File> + <File + RelativePath=".\qlo\vo_capfloor.cpp"> + </File> + <File + RelativePath=".\qlo\vo_couponvectors.cpp"> + </File> + <File + RelativePath=".\qlo\vo_exercise.cpp"> + </File> + <File + RelativePath=".\qlo\vo_instruments.cpp"> + </File> + <File + RelativePath=".\qlo\vo_interpolation.cpp"> + </File> + <File + RelativePath=".\qlo\vo_options.cpp"> + </File> + <File + RelativePath=".\qlo\vo_processes.cpp"> + </File> + <File + RelativePath=".\qlo\vo_randomsequencegenerator.cpp"> + </File> + <File + RelativePath=".\qlo\vo_schedule.cpp"> + </File> + <File + RelativePath=".\qlo\vo_shortratemodels.cpp"> + </File> + <File + RelativePath=".\qlo\vo_simpleswap.cpp"> + </File> + <File + RelativePath=".\qlo\vo_swap.cpp"> + </File> + <File + RelativePath=".\qlo\vo_termstructures.cpp"> + </File> + <File + RelativePath=".\qlo\vo_volatilities.cpp"> + </File> + <File + RelativePath=".\qlo\vo_xibor.cpp"> + </File> + <File RelativePath="qlo\volatilities.cpp"> </File> |
|
From: Ferdinando A. <na...@us...> - 2006-05-22 15:20:49
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15684 Modified Files: todo.txt Log Message: Index: todo.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todo.txt,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** todo.txt 22 May 2006 13:26:24 -0000 1.2 --- todo.txt 22 May 2006 15:20:39 -0000 1.3 *************** *** 1,3 **** --- 1,5 ---- + create NSIS installer + PICEWISEYIELDTERMSTRUCTURE - invertire ordine di interpolator ed accuracy |
|
From: Ferdinando A. <na...@us...> - 2006-05-22 15:16:18
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13910/qlo Modified Files: zerocurve.cpp Log Message: VC7.1 catching up Index: zerocurve.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/zerocurve.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** zerocurve.cpp 19 May 2006 16:56:16 -0000 1.1 --- zerocurve.cpp 22 May 2006 15:16:03 -0000 1.2 *************** *** 22,28 **** #endif ! #include <qla/zerocurve.hpp> ! #include <qla/generalutils.hpp> ! #include <qla/typefactory.hpp> namespace QuantLibAddin { --- 22,28 ---- #endif ! #include <qlo/zerocurve.hpp> ! #include <qlo/generalutils.hpp> ! #include <qlo/typefactory.hpp> namespace QuantLibAddin { |
|
From: Ferdinando A. <na...@us...> - 2006-05-22 15:16:12
|
Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13910 Modified Files: QuantLibAddin.sln QuantLibObjects.vcproj Log Message: VC7.1 catching up Index: QuantLibAddin.sln =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.sln,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** QuantLibAddin.sln 19 May 2006 16:56:16 -0000 1.1 --- QuantLibAddin.sln 22 May 2006 15:16:03 -0000 1.2 *************** *** 2,21 **** Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinC", "Addins\C\AddinC.vcproj", "{FE5EE378-AD4E-4B32-8030-C089D7067336}" ProjectSection(ProjectDependencies) = postProject - {456E211C-E43C-4D7C-A533-BACA7B9D1306} = {456E211C-E43C-4D7C-A533-BACA7B9D1306} EndProjectSection EndProject Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinCalc", "Addins\Calc\AddinCalc.vcproj", "{D8B630DB-69ED-455C-AC79-22903E750175}" ProjectSection(ProjectDependencies) = postProject - {456E211C-E43C-4D7C-A533-BACA7B9D1306} = {456E211C-E43C-4D7C-A533-BACA7B9D1306} - EndProjectSection - EndProject - Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinExcelDynamic", "Addins\Excel\AddinExcelDynamic.vcproj", "{C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}" - ProjectSection(ProjectDependencies) = postProject - {456E211C-E43C-4D7C-A533-BACA7B9D1306} = {456E211C-E43C-4D7C-A533-BACA7B9D1306} - EndProjectSection - EndProject - Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "AddinExcelStatic", "Addins\Excel\AddinExcelStatic.vcproj", "{9AC7268A-CDC1-446A-88CD-8CC173FBBF31}" - ProjectSection(ProjectDependencies) = postProject - {456E211C-E43C-4D7C-A533-BACA7B9D1306} = {456E211C-E43C-4D7C-A533-BACA7B9D1306} EndProjectSection EndProject --- 2,9 ---- *************** *** 27,39 **** Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCppDemo", "Clients\C++\ClientCppDemo.vcproj", "{88B70320-57E9-47B5-9298-881B79789139}" ProjectSection(ProjectDependencies) = postProject - {456E211C-E43C-4D7C-A533-BACA7B9D1306} = {456E211C-E43C-4D7C-A533-BACA7B9D1306} - EndProjectSection - EndProject - Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibAddin", "QuantLibAddin.vcproj", "{456E211C-E43C-4D7C-A533-BACA7B9D1306}" - ProjectSection(ProjectDependencies) = postProject - {907578A6-F059-4D7A-AB15-6BF686F23919} = {907578A6-F059-4D7A-AB15-6BF686F23919} EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "srcgen", "srcgen\srcgen.vcproj", "{907578A6-F059-4D7A-AB15-6BF686F23919}" ProjectSection(ProjectDependencies) = postProject EndProjectSection --- 15,21 ---- Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ClientCppDemo", "Clients\C++\ClientCppDemo.vcproj", "{88B70320-57E9-47B5-9298-881B79789139}" ProjectSection(ProjectDependencies) = postProject EndProjectSection EndProject ! Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "QuantLibObject", "QuantLibObjects.vcproj", "{6A4CC8C6-BE43-4571-B261-037E56A7A38D}" ProjectSection(ProjectDependencies) = postProject EndProjectSection *************** *** 78,109 **** {D8B630DB-69ED-455C-AC79-22903E750175}.Release SingleThread.ActiveCfg = Debug CRTDLL|Win32 {D8B630DB-69ED-455C-AC79-22903E750175}.Release SingleThread.Build.0 = Debug CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.All.ActiveCfg = Release CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.All.Build.0 = Release CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Debug.ActiveCfg = Debug CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Debug.Build.0 = Debug CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Debug CRTDLL.ActiveCfg = Debug CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Debug CRTDLL.Build.0 = Debug CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Debug SingleThread.ActiveCfg = Debug CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Debug SingleThread.Build.0 = Debug CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Release.ActiveCfg = Release CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Release.Build.0 = Release CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Release CRTDLL.ActiveCfg = Release CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Release CRTDLL.Build.0 = Release CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Release SingleThread.ActiveCfg = Release CRTDLL|Win32 - {C56F4285-9FAA-4FDC-B5A5-C2CB226EB153}.Release SingleThread.Build.0 = Release CRTDLL|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.All.ActiveCfg = Release CRTDLL|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.All.Build.0 = Release CRTDLL|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Debug.ActiveCfg = Debug|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Debug.Build.0 = Debug|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Debug CRTDLL.ActiveCfg = Debug CRTDLL|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Debug CRTDLL.Build.0 = Debug CRTDLL|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Debug SingleThread.ActiveCfg = Debug SingleThread|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Debug SingleThread.Build.0 = Debug SingleThread|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Release.ActiveCfg = Release|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Release.Build.0 = Release|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Release CRTDLL.ActiveCfg = Release CRTDLL|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Release CRTDLL.Build.0 = Release CRTDLL|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Release SingleThread.ActiveCfg = Release SingleThread|Win32 - {9AC7268A-CDC1-446A-88CD-8CC173FBBF31}.Release SingleThread.Build.0 = Release SingleThread|Win32 {5719B9B4-8566-4CD9-8F74-A3E98BCC55BD}.All.ActiveCfg = Debug CRTDLL|Win32 {5719B9B4-8566-4CD9-8F74-A3E98BCC55BD}.All.Build.0 = Debug CRTDLL|Win32 --- 60,63 ---- *************** *** 134,165 **** {88B70320-57E9-47B5-9298-881B79789139}.Release SingleThread.ActiveCfg = Release SingleThread|Win32 {88B70320-57E9-47B5-9298-881B79789139}.Release SingleThread.Build.0 = Release SingleThread|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.All.ActiveCfg = Debug CRTDLL|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.All.Build.0 = Debug CRTDLL|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Debug.ActiveCfg = Debug|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Debug.Build.0 = Debug|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Debug CRTDLL.ActiveCfg = Debug CRTDLL|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Debug CRTDLL.Build.0 = Debug CRTDLL|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Debug SingleThread.ActiveCfg = Debug SingleThread|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Debug SingleThread.Build.0 = Debug SingleThread|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Release.ActiveCfg = Release|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Release.Build.0 = Release|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Release CRTDLL.ActiveCfg = Release CRTDLL|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Release CRTDLL.Build.0 = Release CRTDLL|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Release SingleThread.ActiveCfg = Release SingleThread|Win32 ! {456E211C-E43C-4D7C-A533-BACA7B9D1306}.Release SingleThread.Build.0 = Release SingleThread|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.All.ActiveCfg = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.All.Build.0 = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Debug.ActiveCfg = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Debug.Build.0 = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Debug CRTDLL.ActiveCfg = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Debug CRTDLL.Build.0 = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Debug SingleThread.ActiveCfg = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Debug SingleThread.Build.0 = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Release.ActiveCfg = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Release.Build.0 = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Release CRTDLL.ActiveCfg = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Release CRTDLL.Build.0 = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Release SingleThread.ActiveCfg = All|Win32 ! {907578A6-F059-4D7A-AB15-6BF686F23919}.Release SingleThread.Build.0 = All|Win32 EndGlobalSection GlobalSection(ExtensibilityGlobals) = postSolution --- 88,105 ---- {88B70320-57E9-47B5-9298-881B79789139}.Release SingleThread.ActiveCfg = Release SingleThread|Win32 {88B70320-57E9-47B5-9298-881B79789139}.Release SingleThread.Build.0 = Release SingleThread|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.All.ActiveCfg = Debug CRTDLL|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.All.Build.0 = Debug CRTDLL|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Debug.ActiveCfg = Debug|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Debug.Build.0 = Debug|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Debug CRTDLL.ActiveCfg = Debug CRTDLL|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Debug CRTDLL.Build.0 = Debug CRTDLL|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Debug SingleThread.ActiveCfg = Debug SingleThread|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Debug SingleThread.Build.0 = Debug SingleThread|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release.ActiveCfg = Release|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release.Build.0 = Release|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release CRTDLL.ActiveCfg = Release CRTDLL|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release CRTDLL.Build.0 = Release CRTDLL|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release SingleThread.ActiveCfg = Release SingleThread|Win32 ! {6A4CC8C6-BE43-4571-B261-037E56A7A38D}.Release SingleThread.Build.0 = Release SingleThread|Win32 EndGlobalSection GlobalSection(ExtensibilityGlobals) = postSolution Index: QuantLibObjects.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects.vcproj,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** QuantLibObjects.vcproj 19 May 2006 16:56:16 -0000 1.1 --- QuantLibObjects.vcproj 22 May 2006 15:16:03 -0000 1.2 *************** *** 3,7 **** ProjectType="Visual C++" Version="7.10" ! Name="QuantLibAddin" SccProjectName="" SccLocalPath=""> --- 3,8 ---- ProjectType="Visual C++" Version="7.10" ! Name="QuantLibObjects" ! ProjectGUID="{6A4CC8C6-BE43-4571-B261-037E56A7A38D}" SccProjectName="" SccLocalPath=""> *************** *** 23,27 **** Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories="./,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" --- 24,28 ---- Optimization="2" InlineFunctionExpansion="1" ! AdditionalIncludeDirectories=".,$(OBJECT_HANDLER_DIR),$(QL_DIR),$(QL_DIR)\functions" PreprocessorDefinitions="WIN32;NDEBUG;_LIB" StringPooling="TRUE" *************** *** 41,45 **** <Tool Name="VCLibrarianTool" ! OutputFile="lib\QuantLibAddin-vc71-mt-0_3_13.lib" SuppressStartupBanner="TRUE"/> <Tool --- 42,46 ---- <Tool Name="VCLibrarianTool" ! 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