Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17396/qlo
Modified Files:
ratehelpers.cpp ratehelpers.hpp
Log Message:
Index: ratehelpers.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ratehelpers.hpp 22 Jun 2006 15:18:13 -0000 1.4
--- ratehelpers.hpp 9 Oct 2006 15:48:19 -0000 1.5
***************
*** 32,38 ****
public:
double setQuote(double quote);
- //QuantLib::Handle<QuantLib::Quote> quoteHandle() const {
- // return quoteHandle_;
- //}
protected:
boost::shared_ptr<QuantLib::SimpleQuote> quote_;
--- 32,35 ----
***************
*** 53,57 ****
class FuturesRateHelper : public RateHelper {
public:
- QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj);
FuturesRateHelper(
const double price,
--- 50,53 ----
***************
*** 62,65 ****
--- 58,62 ----
const QuantLib::DayCounter& dayCounter,
const QuantLib::Rate convAdj);
+ QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj);
protected:
boost::shared_ptr<QuantLib::SimpleQuote> convAdj_;
Index: ratehelpers.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** ratehelpers.cpp 3 Oct 2006 17:24:15 -0000 1.8
--- ratehelpers.cpp 9 Oct 2006 15:48:18 -0000 1.9
***************
*** 58,68 ****
}
- QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj)
- {
- QuantLib::Spread diff = convAdj - convAdj_->value();
- convAdj_->setValue(convAdj);
- return diff;
- }
-
FuturesRateHelper::FuturesRateHelper(
const double price,
--- 58,61 ----
***************
*** 95,98 ****
--- 88,98 ----
}
+ QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj)
+ {
+ QuantLib::Spread diff = convAdj - convAdj_->value();
+ convAdj_->setValue(convAdj);
+ return diff;
+ }
+
SwapRateHelper::SwapRateHelper(
const double quote,
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