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From: Ferdinando A. <na...@us...> - 2006-07-24 15:45:34
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16039/qlo Modified Files: enumclassctors.cpp enumclassctors.hpp termstructures.cpp termstructures.hpp Log Message: exporting PiecewiseYield alternatives Index: termstructures.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** termstructures.hpp 27 Jun 2006 09:54:19 -0000 1.8 --- termstructures.hpp 24 Jul 2006 15:45:24 -0000 1.9 *************** *** 42,46 **** const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter); }; --- 42,48 ---- const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter, ! const std::string& traitsID, ! const std::string& interpolatorID); }; Index: termstructures.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/termstructures.cpp,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** termstructures.cpp 4 Jul 2006 17:07:56 -0000 1.14 --- termstructures.cpp 24 Jul 2006 15:45:24 -0000 1.15 *************** *** 39,44 **** const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter) { ! std::vector<boost::shared_ptr<QuantLib::RateHelper> > rateHelpersQL; std::vector<std::string>::const_iterator i; --- 39,46 ---- const QuantLib::Calendar &calendar, const std::vector<std::string> &handlesRateHelper, ! const QuantLib::DayCounter &dayCounter, ! const std::string& traitsID, ! const std::string& interpolatorID) ! { std::vector<boost::shared_ptr<QuantLib::RateHelper> > rateHelpersQL; std::vector<std::string>::const_iterator i; *************** *** 72,76 **** libraryObject_ = Create<boost::shared_ptr<QuantLib::YieldTermStructure> >() ! ("Discount", "LogLinear", nDays, calendar, rateHelpersQL, dayCounter); /* --- 74,78 ---- libraryObject_ = Create<boost::shared_ptr<QuantLib::YieldTermStructure> >() ! (traitsID, interpolatorID, nDays, calendar, rateHelpersQL, dayCounter); /* Index: enumclassctors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** enumclassctors.cpp 21 Jul 2006 18:19:17 -0000 1.7 --- enumclassctors.cpp 24 Jul 2006 15:45:24 -0000 1.8 *************** *** 378,381 **** --- 378,395 ---- /* *** YieldTermStructure *** */ + //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 391,394 **** --- 405,501 ---- 1.0e-6)); } + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::Discount, + QuantLib::Cubic>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::LogLinear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::LogLinear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter) { + return boost::shared_ptr<QuantLib::YieldTermStructure>( + new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate, + QuantLib::Linear>( + nDays, calendar, + rateHelpers, + dayCounter, + 1.0e-6)); + } } Index: enumclassctors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** enumclassctors.hpp 21 Jul 2006 18:19:17 -0000 1.7 --- enumclassctors.hpp 24 Jul 2006 15:45:24 -0000 1.8 *************** *** 139,142 **** --- 139,148 ---- /* *** YieldTermStructure *** */ + //Discount based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_LOGLINEAR_PiecewiseYieldCurve( const long &nDays, *************** *** 144,147 **** --- 150,191 ---- const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> DISCOUNT_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + //ZeroYield based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> ZEROYIELD_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + //ForwardRate based yield term structures + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_LOGLINEAR_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + boost::shared_ptr<QuantLib::YieldTermStructure> FORWARDRATE_CUBIC_PiecewiseYieldCurve( + const long &nDays, + const QuantLib::Calendar &calendar, + const std::vector<boost::shared_ptr<QuantLib::RateHelper> > &rateHelpers, + const QuantLib::DayCounter &dayCounter); + } |
