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Update to latest quantlib #30

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Update to latest quantlib #30

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948ed67
Align capitalisation with other FRA functions, e.g. qlFraRateHelper
igitur Oct 16, 2023
346a841
Remove deprecated functions that were removed from Quantlib (qlFRAfor…
igitur Oct 16, 2023
eb78eeb
Add qlFraAmount
igitur Oct 16, 2023
5098795
Include credit.xml in qlgensrc.vcxproj
igitur Oct 16, 2023
aa7137f
Remove qlRiskyFixedBond function. RiskyFixedBond was removed in QuantLib
igitur Oct 16, 2023
9970466
Add qlRiskyBondEngine
igitur Oct 17, 2023
3bea88f
Remove qlFixedRateBond2 in line with https://github.com/lballabio/Qua…
igitur Apr 25, 2024
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65 changes: 0 additions & 65 deletions QuantLibAddin/gensrc/metadata/functions/bonds.xml
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Expand Up @@ -1477,71 +1477,6 @@
</ParameterList>
</Constructor>

<Constructor name='qlFixedRateBond2'>
<libraryFunction>FixedRateBond</libraryFunction>
<SupportedPlatforms>
<!--SupportedPlatform name='Excel' calcInWizard='false'/-->
<SupportedPlatform name='Excel'/>
<SupportedPlatform name='Calc'/>
<SupportedPlatform name='Cpp'/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='Description' default='std::string()'>
<type>string</type>
<tensorRank>scalar</tensorRank>
<description>Bond description string. Autogenerated if null</description>
</Parameter>
<Parameter name='Currency' examplevalue='EUR'>
<type>QuantLib::Currency</type>
<tensorRank>scalar</tensorRank>
<description>bond Currency.</description>
</Parameter>
<Parameter name='SettlementDays' exampleValue='3'>
<type>QuantLib::Size</type>
<tensorRank>scalar</tensorRank>
<description>settlement days.</description>
</Parameter>
<Parameter name='FaceAmount' default='100.0'>
<type>QuantLib::Real</type>
<tensorRank>scalar</tensorRank>
<description>Face nominal amount.</description>
</Parameter>
<Parameter name='ScheduleID'>
<type>QuantLib::Schedule</type>
<superType>libraryClass</superType>
<tensorRank>scalar</tensorRank>
<description>Schedule object ID.</description>
</Parameter>
<Parameter name='Coupons'>
<type>QuantLib::InterestRate</type>
<tensorRank>vector</tensorRank>
<description>coupon InterestRate IDs.</description>
</Parameter>
<Parameter name='PaymentBDC' default='"Following"'>
<type>QuantLib::BusinessDayConvention</type>
<tensorRank>scalar</tensorRank>
<description>payment business day convention.</description>
</Parameter>
<Parameter name='Redemption' default='100.0'>
<type>QuantLib::Real</type>
<tensorRank>scalar</tensorRank>
<description>Redemption value.</description>
</Parameter>
<Parameter name='IssueDate' default='QuantLib::Date()'>
<type>QuantLib::Date</type>
<tensorRank>scalar</tensorRank>
<description>issue date: the bond can't be traded until then.</description>
</Parameter>
<Parameter name='PaymentCalendar' exampleValue='TARGET'>
<type>QuantLib::Calendar</type>
<tensorRank>scalar</tensorRank>
<description>payment holiday calendar (e.g. TARGET).</description>
</Parameter>
</Parameters>
</ParameterList>
</Constructor>

<Constructor name='qlFloatingRateBond'>
<libraryFunction>FloatingRateBond</libraryFunction>
<SupportedPlatforms>
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75 changes: 0 additions & 75 deletions QuantLibAddin/gensrc/metadata/functions/credit.xml
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Expand Up @@ -520,81 +520,6 @@
</ParameterList>
</Constructor>

<Constructor name='qlRiskyFixedBond'>
<libraryFunction>RiskyFixedBond</libraryFunction>
<SupportedPlatforms>
<!--SupportedPlatform name='Excel' calcInWizard='false'/-->
<SupportedPlatform name='Excel'/>
<SupportedPlatform name='Calc'/>
<SupportedPlatform name='Cpp'/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='Bondname'>
<type>string</type>
<tensorRank>scalar</tensorRank>
<description>Bonds id.</description>
</Parameter>
<Parameter name='Currency'>
<type>QuantLib::Currency</type>
<tensorRank>scalar</tensorRank>
<description>Curency of the reference bond affected.</description>
</Parameter>
<Parameter name='Recovery'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>Recovery Rate.</description>
</Parameter>

<Parameter name='DefaultCurve'>
<type>QuantLib::DefaultProbabilityTermStructure</type>
<superType>libToHandle</superType>
<tensorRank>scalar</tensorRank>
<description>default term structure object ID.</description>
</Parameter>

<Parameter name='Schedule'>
<type>QuantLib::Schedule</type>
<superType>libraryClass</superType>
<tensorRank>scalar</tensorRank>
<description>Schedule.</description>
</Parameter>
<Parameter name='Rate'>
<type>QuantLib::Rate</type>
<tensorRank>scalar</tensorRank>
<description>Rate.</description>
</Parameter>
<Parameter name='DayCounter' exampleValue='Actual/360'>
<type>QuantLib::DayCounter</type>
<tensorRank>scalar</tensorRank>
<description>premium leg day counter (e.g. Actual/360).</description>
</Parameter>
<Parameter name='PaymentConvention' default='"Following"'>
<type>QuantLib::BusinessDayConvention</type>
<tensorRank>scalar</tensorRank>
<description>Payment dates' business day convention.</description>
</Parameter>
<Parameter name='Notional'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>Notional.</description>
</Parameter>
<Parameter name='DiscountingCurve'>
<type>QuantLib::YieldTermStructure</type>
<superType>libToHandle</superType>
<tensorRank>scalar</tensorRank>
<description>discounting YieldTermStructure object ID.</description>
</Parameter>
<Parameter name='PricingDate'>
<type>QuantLib::Date</type>
<tensorRank>scalar</tensorRank>
<description>desired npv date.</description>
</Parameter>

</Parameters>
</ParameterList>
</Constructor>

<!-- Limited by now to one curve/event_type pair and one default event-->
<Constructor name='qlIssuer'>
<libraryFunction>Issuer</libraryFunction>
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24 changes: 4 additions & 20 deletions QuantLibAddin/gensrc/metadata/functions/forwardrateagreement.xml
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Expand Up @@ -71,7 +71,7 @@
</ParameterList>
</Constructor>

<Member name='qlFRAforwardRate' type='QuantLib::ForwardRateAgreement'>
<Member name='qlFraForwardRate' type='QuantLib::ForwardRateAgreement'>
<description>Returns the relevant forward rate associated with the FRA term.</description>
<libraryFunction>forwardRate</libraryFunction>
<SupportedPlatforms>
Expand All @@ -87,25 +87,9 @@
</ReturnValue>
</Member>

<Member name='qlFRAforwardValue' type='QuantLib::ForwardRateAgreement'>
<description>Returns the forward value of the FRA.</description>
<libraryFunction>forwardValue</libraryFunction>
<SupportedPlatforms>
<SupportedPlatform name='Excel'/>
<!--SupportedPlatform name='Cpp'/-->
</SupportedPlatforms>
<ParameterList>
<Parameters/>
</ParameterList>
<ReturnValue>
<type>double</type>
<tensorRank>scalar</tensorRank>
</ReturnValue>
</Member>

<Member name='qlFRAspotValue' type='QuantLib::ForwardRateAgreement'>
<description>Returns the spot value of the FRA.</description>
<libraryFunction>spotValue</libraryFunction>
<Member name='qlFraAmount' type='QuantLib::ForwardRateAgreement'>
<description>Returns the payoff of the FRA on the value date.</description>
<libraryFunction>amount</libraryFunction>
<SupportedPlatforms>
<SupportedPlatform name='Excel'/>
<!--SupportedPlatform name='Cpp'/-->
Expand Down
33 changes: 33 additions & 0 deletions QuantLibAddin/gensrc/metadata/functions/pricingengines.xml
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Expand Up @@ -11,6 +11,7 @@
<include>qlo/processes.hpp</include>
<include>ql/pricingengines/blackformula.hpp</include>
<include>ql/pricingengines/blackscholescalculator.hpp</include>
<include>ql/termstructures/defaulttermstructure.hpp</include>
<include>ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp</include>
<include>ql/termstructures/volatility/swaption/swaptionvolstructure.hpp</include>
<include>ql/pricingengines/swaption/jamshidianswaptionengine.hpp</include>
Expand All @@ -26,6 +27,7 @@
<include>qlo/processes.hpp</include>
<include>ql/pricingengines/blackformula.hpp</include>
<include>ql/pricingengines/blackscholescalculator.hpp</include>
<include>ql/termstructures/defaulttermstructure.hpp</include>
<include>ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp</include>
<include>ql/termstructures/volatility/swaption/swaptionvolstructure.hpp</include>
<include>ql/pricingengines/swaption/jamshidianswaptionengine.hpp</include>
Expand Down Expand Up @@ -1549,6 +1551,37 @@
</ParameterList>
</Constructor>

<Constructor name='qlRiskyBondEngine'>
<libraryFunction>RiskyBondEngine</libraryFunction>
<SupportedPlatforms>
<!--SupportedPlatform name='Excel' calcInWizard='false'/-->
<SupportedPlatform name='Excel'/>
<SupportedPlatform name='Calc'/>
<SupportedPlatform name='Cpp'/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='DefaultCurve'>
<type>QuantLib::DefaultProbabilityTermStructure</type>
<superType>libToHandle</superType>
<tensorRank>scalar</tensorRank>
<description>default term structure object ID.</description>
</Parameter>
<Parameter name='Recovery'>
<type>double</type>
<tensorRank>scalar</tensorRank>
<description>Recovery Rate.</description>
</Parameter>
<Parameter name='DiscountingCurve'>
<type>QuantLib::YieldTermStructure</type>
<superType>libToHandle</superType>
<tensorRank>scalar</tensorRank>
<description>discounting YieldTermStructure object ID.</description>
</Parameter>
</Parameters>
</ParameterList>
</Constructor>

<Constructor name='qlJamshidianSwaptionEngine'>
<libraryFunction>JamshidianSwaptionEngine</libraryFunction>
<SupportedPlatforms>
Expand Down
3 changes: 2 additions & 1 deletion QuantLibAddin/gensrc/qlgensrc.vcxproj
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Expand Up @@ -83,6 +83,7 @@
<None Include="metadata\functions\cmsmarket.xml" />
<None Include="metadata\functions\cmsmarketcalibration.xml" />
<None Include="metadata\functions\couponvectors.xml" />
<None Include="metadata\functions\credit.xml" />
<None Include="metadata\functions\date.xml" />
<None Include="metadata\functions\daycounter.xml" />
<None Include="metadata\functions\defaultbasket.xml" />
Expand Down Expand Up @@ -171,4 +172,4 @@
<Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
<ImportGroup Label="ExtensionTargets">
</ImportGroup>
</Project>
</Project>
5 changes: 4 additions & 1 deletion QuantLibAddin/gensrc/qlgensrc.vcxproj.filters
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Expand Up @@ -99,6 +99,9 @@
<None Include="metadata\functions\couponvectors.xml">
<Filter>functions</Filter>
</None>
<None Include="metadata\functions\credit.xml">
<Filter>functions</Filter>
</None>
<None Include="metadata\functions\date.xml">
<Filter>functions</Filter>
</None>
Expand Down Expand Up @@ -328,4 +331,4 @@
<Filter>functions</Filter>
</Xml>
</ItemGroup>
</Project>
</Project>
41 changes: 0 additions & 41 deletions QuantLibAddin/qlo/bonds.cpp
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Expand Up @@ -207,47 +207,6 @@ namespace QuantLibAddin {
}
}

FixedRateBond::FixedRateBond(
const shared_ptr<ObjectHandler::ValueObject>& properties,
const string& des,
const QuantLib::Currency& cur,
QuantLib::Natural settlementDays,
QuantLib::Real faceAmount,
const shared_ptr<QuantLib::Schedule>& schedule,
const vector<shared_ptr<QuantLib::InterestRate> >& coupons,
QuantLib::BusinessDayConvention paymentConvention,
QuantLib::Real redemption,
const Date& issueDate,
const QuantLib::Calendar& paymentCalendar,
bool permanent)
: Bond(properties, des, cur, permanent)
{
vector<QuantLib::InterestRate> couponRate(coupons.size());

for (Size i=0; i<coupons.size(); ++i)
couponRate[i] = *coupons[i];

qlBondObject_ = shared_ptr<QuantLib::FixedRateBond>(new
QuantLib::FixedRateBond(settlementDays, faceAmount,
*schedule,
couponRate,
paymentConvention,
redemption,
issueDate,
paymentCalendar));
libraryObject_ = qlBondObject_;
if (description_.empty()) {
std::ostringstream temp;
temp << "FixedRateBond ";
temp << QuantLib::io::iso_date(qlBondObject_->maturityDate());
if (couponRate.size()==1)
temp << " " << coupons[0]->rate()*100.0 << "%";
else
temp << " STEP";
description_ = temp.str();
}
}

FixedRateBond::FixedRateBond(
const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
const std::string& des,
Expand Down
13 changes: 0 additions & 13 deletions QuantLibAddin/qlo/bonds.hpp
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Expand Up @@ -111,19 +111,6 @@ namespace QuantLibAddin {
const QuantLib::Date& issueDate,
const QuantLib::Calendar& paymentCalendar,
bool permanent);
FixedRateBond(
const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
const std::string& des,
const QuantLib::Currency& cur,
QuantLib::Natural settlementDays,
QuantLib::Real faceAmount,
const boost::shared_ptr<QuantLib::Schedule>& schedule,
const std::vector<boost::shared_ptr<QuantLib::InterestRate> >& coupons,
QuantLib::BusinessDayConvention paymentConvention,
QuantLib::Real redemption,
const QuantLib::Date& issueDate,
const QuantLib::Calendar& paymentCalendar,
bool permanent);
protected:
FixedRateBond(
const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
Expand Down
30 changes: 0 additions & 30 deletions QuantLibAddin/qlo/credit.cpp
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Expand Up @@ -34,7 +34,6 @@
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/pricingengines/credit/midpointcdsengine.hpp>

#include <ql/experimental/credit/riskybond.hpp>
#include <ql/experimental/credit/syntheticcdo.hpp>
#include <ql/experimental/credit/midpointcdoengine.hpp>
#include <ql/experimental/credit/nthtodefault.hpp>
Expand Down Expand Up @@ -325,35 +324,6 @@ namespace QuantLibAddin {
QuantLib::PiecewiseYieldCurve<QuantLib::Discount,QuantLib::LogLinear>(referenceDate, helpers, dayCounter));
}



RiskyFixedBond::RiskyFixedBond(
const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
std::string name,
QuantLib::Currency ccy,
QuantLib::Real recoveryRate,
QuantLib::Handle<QuantLib::DefaultProbabilityTermStructure> defaultTS,
const boost::shared_ptr<QuantLib::Schedule>& schedule,
QuantLib::Real rate,
QuantLib::DayCounter dayCounter,
QuantLib::BusinessDayConvention paymentConvention,
QuantLib::Real notional,
QuantLib::Handle<QuantLib::YieldTermStructure> yieldTS,
QuantLib::Date npvDate, // unused by now
bool permanent)
: Instrument(properties, permanent) {

std::vector<QuantLib::Real> notionals(1,notional);

libraryObject_ = boost::shared_ptr<QuantLib::RiskyFixedBond>(
new QuantLib::RiskyFixedBond(
name,ccy,recoveryRate,defaultTS,*schedule,rate,dayCounter,
paymentConvention,notionals,yieldTS///, npvDate
));

}


SyntheticCDO::SyntheticCDO(
const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
const boost::shared_ptr<QuantLib::Basket>& bskt,
Expand Down
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