[Rquantlib-commits] r293 - in pkg/RQuantLib: R inst src
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Aug 7 17:56:13 CEST 2010
Author: edd
Date: 2010-08-07 17:56:13 +0200 (Sat, 07 Aug 2010)
New Revision: 293
Modified:
pkg/RQuantLib/R/arrays.R
pkg/RQuantLib/R/asian.R
pkg/RQuantLib/R/bermudan.R
pkg/RQuantLib/R/bond.R
pkg/RQuantLib/R/calendars.R
pkg/RQuantLib/R/discount.R
pkg/RQuantLib/R/hullWhiteCalibration.R
pkg/RQuantLib/R/implied.R
pkg/RQuantLib/R/option.R
pkg/RQuantLib/inst/ChangeLog
pkg/RQuantLib/src/asian.cpp
pkg/RQuantLib/src/barrier_binary.cpp
pkg/RQuantLib/src/bermudan.cpp
pkg/RQuantLib/src/bonds.cpp
pkg/RQuantLib/src/calendars.cpp
pkg/RQuantLib/src/discount.cpp
pkg/RQuantLib/src/hullwhite.cpp
pkg/RQuantLib/src/implieds.cpp
pkg/RQuantLib/src/vanilla.cpp
Log:
drop QL_ prefix on all C++ functions called from R via .Call
hence adjust R/*s and src/*cpp
needed a single explit QuantLib:: qualifier in barrier_binary
Modified: pkg/RQuantLib/R/arrays.R
===================================================================
--- pkg/RQuantLib/R/arrays.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/arrays.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -46,7 +46,7 @@
for (r in 1:n.riskFreeRate)
for (t in 1:n.maturity)
for (v in 1:n.volatility) {
- val <- .Call("QL_EuropeanOption",
+ val <- .Call("EuropeanOption",
list(type=as.character(type),
underlying=as.double(underlying[s]),
strike=as.double(strike[k]),
@@ -78,3 +78,29 @@
volatility=volatility)))
}
+newEuropeanOptionArrays <- function(type, underlying, strike, dividendYield,
+ riskFreeRate, maturity, volatility) {
+ lv <- c(length(underlying) > 1,
+ length(strike) > 1,
+ length(dividendYield) > 1,
+ length(riskFreeRate) > 1, +
+ length(maturity) > 1, +
+ length(volatility) > 1)
+ if (sum(lv) != 2) {
+ warning("Need exactly two arguments as vectors")
+ return(NULL)
+ }
+ type <- match.arg(type, c("call", "put"))
+ pars <- expand.grid(underlying, strike, dividendYield,
+ riskFreeRate, maturity, volatility)
+ nonconst <- which( apply(pars, 2, sd) != 0)
+ colnames <- c("spot", "strike", "div", "rfrate", "mat", "vol")
+
+ #val <- .Call("EuropeanOptionArray", type, pars, PACKAGE="RQuantLib")
+
+
+}
+
+
+
+
Modified: pkg/RQuantLib/R/asian.R
===================================================================
--- pkg/RQuantLib/R/asian.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/asian.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -41,7 +41,7 @@
maturity <- 1.0 # actually unused for arithmetic option case
}
}
- val <- .Call("QL_AsianOption",
+ val <- .Call("AsianOption",
list(averageType=as.character(averageType),
type=as.character(type),
underlying=as.double(underlying),
Modified: pkg/RQuantLib/R/bermudan.R
===================================================================
--- pkg/RQuantLib/R/bermudan.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/bermudan.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -37,7 +37,7 @@
if(!is.numeric(unlist(tsQuotes))) {
stop("Term structure quotes must have numeric values")
}
-
+
# Check for correct matrix/vector types
if(!is.matrix(volMatrix)
|| !is.vector(swaptionMaturities)
@@ -54,7 +54,7 @@
# We could coerce types here and pass as.integer(round(swapTenors)),
# temp <- as.double(volMatrix), dim(temp) < dim(a) [and pass temp instead
# of volMatrix]. But this is taken care of in the C/C++ code.
- val <- .Call("QL_BermudanSwaption",
+ val <- .Call("BermudanSwaption",
params, tsQuotes,
swaptionMaturities,
swapTenors,
Modified: pkg/RQuantLib/R/bond.R
===================================================================
--- pkg/RQuantLib/R/bond.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/bond.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -44,7 +44,7 @@
dateparams <- matchParams(dateparams)
- val <- .Call("QL_ZeroBondWithRebuiltCurve",
+ val <- .Call("ZeroBondWithRebuiltCurve",
bond, c(discountCurve$table$date),
discountCurve$table$zeroRates, dateparams,
PACKAGE="RQuantLib")
@@ -67,17 +67,17 @@
dayCounter=2, frequency=2,
compound=0, businessDayConvention=4){
- val <- .Call("QL_ZeroPriceByYield",
- list(
- yield=as.double(yield),
- faceAmount = as.double(faceAmount),
- dayCounter = as.double(dayCounter),
- compound = as.double(compound),
- businessDayConvention = as.double(businessDayConvention),
- frequency = as.double(frequency),
- maturityDate = maturityDate,
- issueDate = issueDate),
- PACKAGE="RQuantLib")
+ val <- .Call("ZeroPriceByYield",
+ list(
+ yield=as.double(yield),
+ faceAmount = as.double(faceAmount),
+ dayCounter = as.double(dayCounter),
+ compound = as.double(compound),
+ businessDayConvention = as.double(businessDayConvention),
+ frequency = as.double(frequency),
+ maturityDate = maturityDate,
+ issueDate = issueDate),
+ PACKAGE="RQuantLib")
class(val) <- c("ZeroPriceByYield")
val
}
@@ -93,17 +93,17 @@
dayCounter=2, frequency=2,
compound=0, businessDayConvention=4){
- val <- .Call("QL_ZeroYield",
- list(
- price=as.double(price),
- faceAmount = as.double(faceAmount),
- dayCounter = as.double(dayCounter),
- compound = as.double(compound),
- businessDayConvention = as.double(businessDayConvention),
- frequency = as.double(frequency),
- maturityDate = maturityDate,
- issueDate = issueDate),
- PACKAGE="RQuantLib")
+ val <- .Call("ZeroYield",
+ list(
+ price=as.double(price),
+ faceAmount = as.double(faceAmount),
+ dayCounter = as.double(dayCounter),
+ compound = as.double(compound),
+ businessDayConvention = as.double(businessDayConvention),
+ frequency = as.double(frequency),
+ maturityDate = maturityDate,
+ issueDate = issueDate),
+ PACKAGE="RQuantLib")
class(val) <- c("ZeroYield")
val
}
@@ -151,7 +151,7 @@
dateparams <- matchParams(dateparams)
- val <- .Call("QL_FixedRateWithRebuiltCurve",
+ val <- .Call("FixedRateWithRebuiltCurve",
bond, rates, c(discountCurve$table$date),
discountCurve$table$zeroRates, dateparams,
PACKAGE="RQuantLib")
@@ -173,7 +173,7 @@
period, calendar = "us", rates,
dayCounter=2, businessDayConvention=0,
compound = 0, redemption = 100, issueDate) {
- val <- .Call("QL_FixedRateBondYield",
+ val <- .Call("FixedRateBondYield",
list(
settlementDays=as.double(settlementDays),
price = as.double(price),
@@ -206,7 +206,7 @@
period, calendar = "us", rates,
dayCounter=2, businessDayConvention=0,
compound = 0, redemption = 100, issueDate) {
- val <- .Call("QL_FixedRateBondPriceByYield",
+ val <- .Call("FixedRateBondPriceByYield",
list(
settlementDays=as.double(settlementDays),
yield = as.double(yield),
@@ -277,7 +277,7 @@
indexparams <- list(type=index$type, length=index$length,
inTermOf=index$inTermOf)
ibor <- index$term
- val <- .Call("QL_FloatingWithRebuiltCurve",
+ val <- .Call("FloatingWithRebuiltCurve",
bond, gearings, spreads, caps, floors, indexparams,
c(ibor$table$date), ibor$table$zeroRates,
c(curve$table$date), curve$table$zeroRates,
@@ -334,7 +334,7 @@
dividendSchedule <- bondparams$divSch
dividendYield <- process$divYield
riskFreeRate <- process$rff
- val <- .Call("QL_ConvertibleZeroBond",
+ val <- .Call("ConvertibleZeroBond",
bondparams, process,
c(dividendYield$table$date),
dividendYield$table$zeroRates,
@@ -392,7 +392,7 @@
dividendSchedule <- bondparams$divSch
dividendYield <- process$divYield
riskFreeRate <- process$rff
- val <- .Call("QL_ConvertibleFixedBond",
+ val <- .Call("ConvertibleFixedBond",
bondparams, coupon, process,
c(dividendYield$table$date),
dividendYield$table$zeroRates,
@@ -454,7 +454,7 @@
inTermOf=iborindex$inTermOf)
ibor <- iborindex$term
- val <- .Call("QL_ConvertibleFloatingBond",
+ val <- .Call("ConvertibleFloatingBond",
bondparams, process,
c(dividendYield$table$date),
dividendYield$table$zeroRates,
@@ -508,7 +508,7 @@
callSch <- bondparams$callSch
# hw.termStructure <- hullWhite$term
- val <- .Call("QL_CallableBond", bondparams, hullWhite,coupon,
+ val <- .Call("CallableBond", bondparams, hullWhite,coupon,
# c(hw.termStructure$table$date),
# hw.termStructure$table$zeroRates,
callSch, dateparams,
@@ -532,7 +532,7 @@
dateparams){
val <- 0
dateparams <- matchParams(dateparams)
- val <- .Call("QL_FittedBondCurve", curveparams,
+ val <- .Call("FittedBondCurve", curveparams,
lengths, coupons, marketQuotes, dateparams, PACKAGE="RQuantLib")
class(val) <- c("DiscountCurve")
@@ -554,7 +554,7 @@
# volMatrix <- swaptionVol$volatilityMatrix
# swapIndex <- matchParams(swapIndex)
# ibor <- iborIndex$term
-# val <- .Call("QL_CMSBond", bondparams, iborIndex, swapIndex, cap, floor, gearings, spreads,
+# val <- .Call("CMSBond", bondparams, iborIndex, swapIndex, cap, floor, gearings, spreads,
# swaptionVol, atmOptionTenors, atmSwapTenors, volMatrix, pricer
# ibor$table$dates, ibor$table$zeroRates)
#}
Modified: pkg/RQuantLib/R/calendars.R
===================================================================
--- pkg/RQuantLib/R/calendars.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/calendars.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -24,7 +24,7 @@
isBusinessDay <- function(calendar="TARGET", dates=Sys.Date()) {
stopifnot(is.character(calendar))
stopifnot(class(dates)=="Date")
- val <- .Call("QL_isBusinessDay", calendar, dates, PACKAGE="RQuantLib")
+ val <- .Call("isBusinessDay", calendar, dates, PACKAGE="RQuantLib")
val <- as.logical(val)
names(val) <- dates
val
@@ -36,7 +36,7 @@
isHoliday <- function(calendar="TARGET", dates=Sys.Date()) {
stopifnot(is.character(calendar))
stopifnot(class(dates)=="Date")
- val <- .Call("QL_isHoliday", calendar, dates, PACKAGE="RQuantLib")
+ val <- .Call("isHoliday", calendar, dates, PACKAGE="RQuantLib")
val <- as.logical(val)
names(val) <- dates
val
@@ -45,7 +45,7 @@
isWeekend <- function(calendar="TARGET", dates=Sys.Date()) {
stopifnot(is.character(calendar))
stopifnot(class(dates)=="Date")
- val <- .Call("QL_isWeekend", calendar, dates, PACKAGE="RQuantLib")
+ val <- .Call("isWeekend", calendar, dates, PACKAGE="RQuantLib")
val <- as.logical(val)
names(val) <- dates
val
@@ -54,7 +54,7 @@
isEndOfMonth <- function(calendar="TARGET", dates=Sys.Date()) {
stopifnot(is.character(calendar))
stopifnot(class(dates)=="Date")
- val <- .Call("QL_isEndOfMonth", calendar, dates, PACKAGE="RQuantLib")
+ val <- .Call("isEndOfMonth", calendar, dates, PACKAGE="RQuantLib")
val <- as.logical(val)
names(val) <- dates
val
@@ -63,7 +63,7 @@
getEndOfMonth <- function(calendar="TARGET", dates=Sys.Date()) {
stopifnot(is.character(calendar))
stopifnot(class(dates)=="Date")
- val <- .Call("QL_endOfMonth", calendar, dates, PACKAGE="RQuantLib")
+ val <- .Call("endOfMonth", calendar, dates, PACKAGE="RQuantLib")
names(val) <- dates
val
}
@@ -75,7 +75,7 @@
adjust <- function(calendar="TARGET", dates=Sys.Date(), bdc = 0 ) {
stopifnot(is.character(calendar))
stopifnot(class(dates)=="Date")
- val <- .Call("QL_adjust", calendar, as.double(bdc), dates, PACKAGE="RQuantLib")
+ val <- .Call("adjust", calendar, as.double(bdc), dates, PACKAGE="RQuantLib")
names(val) <- dates
val
}
@@ -91,7 +91,7 @@
stopifnot(call1 | call2)
val <- NULL
if (call1)
- val <- .Call("QL_advance1",
+ val <- .Call("advance1",
calendar,
list(amount = as.double(n),
unit = as.double(timeUnit),
@@ -100,7 +100,7 @@
dates,
PACKAGE="RQuantLib")
if (call2)
- val <- .Call("QL_advance2",
+ val <- .Call("advance2",
calendar,
list(period = as.double(period),
bdc = as.double(bdc),
@@ -120,7 +120,7 @@
stopifnot(is.character(calendar))
stopifnot(class(from)=="Date")
stopifnot(class(to)=="Date")
- val <- .Call("QL_businessDaysBetween",
+ val <- .Call("businessDaysBetween",
calendar,
list(includeFirst = as.double(includeFirst),
includeLast = as.double(includeLast)),
@@ -137,7 +137,7 @@
stopifnot(is.character(calendar))
stopifnot(class(from)=="Date")
stopifnot(class(to)=="Date")
- val <- .Call("QL_holidayList",
+ val <- .Call("holidayList",
calendar,
list(includeWeekends=as.double(includeWeekends), from=from, to=to),
PACKAGE="RQuantLib")
@@ -151,7 +151,7 @@
setCalendarContext <- function(calendar="TARGET",
fixingDays = 2,
settleDate = Sys.Date() + 2) {
- val <- .Call("QL_setContext",
+ val <- .Call("setContext",
list(calendar = calendar,
fixingDays = fixingDays,
settleDate = settleDate),
Modified: pkg/RQuantLib/R/discount.R
===================================================================
--- pkg/RQuantLib/R/discount.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/discount.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -44,7 +44,7 @@
}
## Finally ready to make the call...
- val <- .Call("QL_DiscountCurve", params, tsQuotes, times, PACKAGE="RQuantLib")
+ val <- .Call("DiscountCurve", params, tsQuotes, times, PACKAGE="RQuantLib")
class(val) <- c("DiscountCurve")
val
}
Modified: pkg/RQuantLib/R/hullWhiteCalibration.R
===================================================================
--- pkg/RQuantLib/R/hullWhiteCalibration.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/hullWhiteCalibration.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -27,7 +27,7 @@
indexparams <- list(type=index$type);
ibor <- index$term
- val <- .Call("QL_HullWhiteCalibrationUsingCap",
+ val <- .Call("HullWhiteCalibrationUsingCap",
termStrc$table$date,
termStrc$table$zeroRates,
capData,
@@ -44,7 +44,7 @@
indexparams <- list(type=index$type);
ibor <- index$term
- val <- .Call("QL_HullWhiteCalibrationUsingSwap",
+ val <- .Call("HullWhiteCalibrationUsingSwap",
termStrc$table$date,
termStrc$table$zeroRates,
swapData,
Modified: pkg/RQuantLib/R/implied.R
===================================================================
--- pkg/RQuantLib/R/implied.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/implied.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -31,7 +31,7 @@
EuropeanOptionImpliedVolatility.default <-
function(type, value, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility) {
- val <- .Call("QL_EuropeanOptionImpliedVolatility",
+ val <- .Call("EuropeanOptionImpliedVolatility",
list(type=as.character(type),
value=as.double(value),
underlying=as.double(underlying),
@@ -56,7 +56,7 @@
AmericanOptionImpliedVolatility.default <-
function(type, value, underlying, strike, dividendYield, riskFreeRate,
maturity, volatility, timeSteps=150, gridPoints=151) {
- val <- .Call("QL_AmericanOptionImpliedVolatility",
+ val <- .Call("AmericanOptionImpliedVolatility",
list(type=as.character(type),
value=as.double(value),
underlying=as.double(underlying),
@@ -84,7 +84,7 @@
BinaryOptionImpliedVolatility.default <-
function(type, value, underlying, strike, dividendYield, riskFreeRate,
maturity, volatility, cashPayoff=1) {
- val <- .Call("QL_BinaryOptionImpliedVolatility",
+ val <- .Call("BinaryOptionImpliedVolatility",
list(type=as.character(type),
value=as.double(value),
underlying=as.double(underlying),
Modified: pkg/RQuantLib/R/option.R
===================================================================
--- pkg/RQuantLib/R/option.R 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/R/option.R 2010-08-07 15:56:13 UTC (rev 293)
@@ -29,7 +29,7 @@
riskFreeRate, maturity, volatility) {
type <- match.arg(type, c("call", "put"))
- val <- .Call("QL_EuropeanOption",
+ val <- .Call("EuropeanOption",
list(type=as.character(type),
underlying=as.double(underlying),
strike=as.double(strike),
@@ -52,7 +52,7 @@
riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=151) {
type <- match.arg(type, c("call", "put"))
- val <- .Call("QL_AmericanOption",
+ val <- .Call("AmericanOption",
list(type=as.character(type),
underlying=as.double(underlying),
strike=as.double(strike),
@@ -85,7 +85,7 @@
type <- match.arg(type, c("call", "put"))
binType <- match.arg(binType, c("cash", "asset", "gap"))
excType <- match.arg(excType, c("american", "european"))
- val <- .Call("QL_BinaryOption",
+ val <- .Call("BinaryOption",
list(binType=as.character(binType),
type=as.character(type),
excType=as.character(excType),
@@ -112,7 +112,7 @@
volatility, barrier, rebate=0.0) {
type <- match.arg(type, c("call", "put"))
barrType <- match.arg(barrType, c("downin", "upin", "downout", "upout"))
- val <- .Call("QL_BarrierOption",
+ val <- .Call("BarrierOption",
list(barrType=as.character(barrType),
type=as.character(type),
underlying=as.double(underlying),
Modified: pkg/RQuantLib/inst/ChangeLog
===================================================================
--- pkg/RQuantLib/inst/ChangeLog 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/inst/ChangeLog 2010-08-07 15:56:13 UTC (rev 293)
@@ -1,3 +1,8 @@
+2010-08-07 Dirk Eddelbuettel <edd at dexter>
+
+ * src/*cpp: Drop QL_ prefix from functions called from R
+ * R/*: Drop QL_ prefix in functions called by .Call()
+
2010-08-06 Dirk Eddelbuettel <edd at debian.org>
* src/rquantlib.hpp: Renamed to rquantlib.h to suppress a warning
Modified: pkg/RQuantLib/src/asian.cpp
===================================================================
--- pkg/RQuantLib/src/asian.cpp 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/src/asian.cpp 2010-08-07 15:56:13 UTC (rev 293)
@@ -25,7 +25,7 @@
#include <rquantlib.h>
-RcppExport SEXP QL_AsianOption(SEXP optionParameters){
+RcppExport SEXP AsianOption(SEXP optionParameters){
try{
Rcpp::List rparam(optionParameters);
Modified: pkg/RQuantLib/src/barrier_binary.cpp
===================================================================
--- pkg/RQuantLib/src/barrier_binary.cpp 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/src/barrier_binary.cpp 2010-08-07 15:56:13 UTC (rev 293)
@@ -24,7 +24,7 @@
#include "rquantlib.h"
-RcppExport SEXP QL_BinaryOption(SEXP optionParameters) {
+RcppExport SEXP BinaryOption(SEXP optionParameters) {
try {
Rcpp::List rparam(optionParameters);
@@ -125,7 +125,7 @@
// dumped core when we tried last
// no longer under 0.3.10 and g++ 4.0.1 (Aug 2005)
-RcppExport SEXP QL_BinaryOptionImpliedVolatility(SEXP optionParameters) {
+RcppExport SEXP BinaryOptionImpliedVolatility(SEXP optionParameters) {
try {
@@ -186,7 +186,7 @@
return R_NilValue;
}
-RcppExport SEXP QL_BarrierOption(SEXP optionParameters) {
+RcppExport SEXP BarrierOption(SEXP optionParameters) {
try {
@@ -255,11 +255,12 @@
boost::shared_ptr<PricingEngine> engine(new AnalyticBarrierEngine(stochProcess));
- BarrierOption barrierOption(barrierType,
- barrier,
- rebate,
- payoff,
- exercise);
+ // need to explicitly reference BarrierOption from QuantLib here
+ QuantLib::BarrierOption barrierOption(barrierType,
+ barrier,
+ rebate,
+ payoff,
+ exercise);
barrierOption.setPricingEngine(engine);
Rcpp::List rl = Rcpp::List::create(Rcpp::Named("value") = barrierOption.NPV(),
Modified: pkg/RQuantLib/src/bermudan.cpp
===================================================================
--- pkg/RQuantLib/src/bermudan.cpp 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/src/bermudan.cpp 2010-08-07 15:56:13 UTC (rev 293)
@@ -45,9 +45,9 @@
}
}
-RcppExport SEXP QL_BermudanSwaption(SEXP params, SEXP tsQuotes,
- SEXP maturities, SEXP tenors,
- SEXP vols) {
+RcppExport SEXP BermudanSwaption(SEXP params, SEXP tsQuotes,
+ SEXP maturities, SEXP tenors,
+ SEXP vols) {
try {
Modified: pkg/RQuantLib/src/bonds.cpp
===================================================================
--- pkg/RQuantLib/src/bonds.cpp 2010-08-06 11:17:25 UTC (rev 292)
+++ pkg/RQuantLib/src/bonds.cpp 2010-08-07 15:56:13 UTC (rev 293)
@@ -28,7 +28,7 @@
using namespace boost;
-RcppExport SEXP QL_ZeroPriceByYield(SEXP optionParameters) {
+RcppExport SEXP ZeroPriceByYield(SEXP optionParameters) {
try {
Rcpp::List rparam(optionParameters);
@@ -71,7 +71,7 @@
}
-RcppExport SEXP QL_ZeroYield(SEXP optionParameters) {
+RcppExport SEXP ZeroYield(SEXP optionParameters) {
try {
Rcpp::List rparam(optionParameters);
@@ -114,9 +114,9 @@
}
-RcppExport SEXP QL_ZeroBond(SEXP bondparam,
- Handle<YieldTermStructure> &discountCurve,
- SEXP dateparams) {
+RcppExport SEXP ZeroBond(SEXP bondparam,
+ Handle<YieldTermStructure> &discountCurve,
+ SEXP dateparams) {
try {
Rcpp::List rparam(bondparam);
@@ -176,9 +176,9 @@
}
-RcppExport SEXP QL_FixedBond(SEXP bondparam, SEXP ratesVec,
- Handle<YieldTermStructure> &discountCurve,
- SEXP dateparams){
+RcppExport SEXP FixedBond(SEXP bondparam, SEXP ratesVec,
+ Handle<YieldTermStructure> &discountCurve,
+ SEXP dateparams){
try {
Rcpp::List rparam(bondparam);
@@ -249,7 +249,7 @@
}
-RcppExport SEXP QL_FixedRateBondYield(SEXP optionParameters, SEXP ratesVec) {
+RcppExport SEXP FixedRateBondYield(SEXP optionParameters, SEXP ratesVec) {
try {
Rcpp::List rparam(optionParameters);
@@ -307,7 +307,7 @@
}
-RcppExport SEXP QL_FixedRateBondPriceByYield(SEXP optionParameters, SEXP ratesVec) {
+RcppExport SEXP FixedRateBondPriceByYield(SEXP optionParameters, SEXP ratesVec) {
try {
Rcpp::List rparam(optionParameters);
@@ -365,12 +365,12 @@
}
-SEXP QL_FloatingBond(SEXP bondparam, SEXP gearingsVec, SEXP spreadsVec,
- SEXP capsVec, SEXP floorsVec,
- Handle<YieldTermStructure> &index,
- SEXP indexparams,
- Handle<YieldTermStructure> &discountCurve,
- SEXP dateparams)
+SEXP FloatingBond(SEXP bondparam, SEXP gearingsVec, SEXP spreadsVec,
+ SEXP capsVec, SEXP floorsVec,
+ Handle<YieldTermStructure> &index,
+ SEXP indexparams,
+ Handle<YieldTermStructure> &discountCurve,
+ SEXP dateparams)
{
try {
@@ -465,19 +465,18 @@
return R_NilValue;
}
-RcppExport SEXP QL_FloatBond1(SEXP bond, SEXP gearings, SEXP caps,
- SEXP spreads,
- SEXP floors, SEXP indexparams, SEXP index,
- SEXP discountCurve, SEXP dateparams)
+RcppExport SEXP FloatBond1(SEXP bond, SEXP gearings, SEXP caps, SEXP spreads,
+ SEXP floors, SEXP indexparams, SEXP index,
+ SEXP discountCurve, SEXP dateparams)
{
try{
Handle<YieldTermStructure> discount_curve(getFlatCurve(discountCurve));
Handle<YieldTermStructure> ibor_curve(getFlatCurve(index));
- return Rcpp::wrap(QL_FloatingBond(bond, gearings, caps, spreads,
- floors, ibor_curve, indexparams,
- discount_curve, dateparams));
+ return Rcpp::wrap(FloatingBond(bond, gearings, caps, spreads,
+ floors, ibor_curve, indexparams,
+ discount_curve, dateparams));
} catch(std::exception &ex) {
forward_exception_to_r(ex);
@@ -489,11 +488,10 @@
}
-RcppExport SEXP QL_FloatBond2(SEXP bond, SEXP gearings, SEXP caps,
- SEXP spreads,
- SEXP floors, SEXP indexparams, SEXP index_params,
- SEXP index_tsQuotes, SEXP index_times,
- SEXP discountCurve, SEXP dateparams)
+RcppExport SEXP FloatBond2(SEXP bond, SEXP gearings, SEXP caps, SEXP spreads,
+ SEXP floors, SEXP indexparams, SEXP index_params,
+ SEXP index_tsQuotes, SEXP index_times,
+ SEXP discountCurve, SEXP dateparams)
{
try{
@@ -502,9 +500,9 @@
Handle<YieldTermStructure> ibor_curve(buildTermStructure(index_params,
index_tsQuotes,
index_times));
- return Rcpp::wrap(QL_FloatingBond(bond, gearings, caps, spreads,
- floors, ibor_curve, indexparams,
- discount_curve, dateparams));
+ return Rcpp::wrap(FloatingBond(bond, gearings, caps, spreads,
+ floors, ibor_curve, indexparams,
+ discount_curve, dateparams));
} catch(std::exception &ex) {
forward_exception_to_r(ex);
@@ -516,11 +514,11 @@
}
-RcppExport SEXP QL_FloatBond3(SEXP bond, SEXP gearings, SEXP caps,
- SEXP spreads, SEXP floors,
- SEXP indexparams, SEXP index,
- SEXP discount_params, SEXP discount_tsQuotes,
- SEXP discount_times, SEXP dateparams)
+RcppExport SEXP FloatBond3(SEXP bond, SEXP gearings, SEXP caps,
+ SEXP spreads, SEXP floors,
+ SEXP indexparams, SEXP index,
+ SEXP discount_params, SEXP discount_tsQuotes,
+ SEXP discount_times, SEXP dateparams)
{
try {
@@ -529,9 +527,9 @@
Handle<YieldTermStructure> discount_curve(buildTermStructure(discount_params,
discount_tsQuotes,
discount_times));
- return Rcpp::wrap(QL_FloatingBond(bond, gearings, caps, spreads,
- floors, ibor_curve, indexparams,
- discount_curve, dateparams));
+ return Rcpp::wrap(FloatingBond(bond, gearings, caps, spreads,
+ floors, ibor_curve, indexparams,
+ discount_curve, dateparams));
} catch(std::exception &ex) {
forward_exception_to_r(ex);
@@ -543,12 +541,12 @@
}
-RcppExport SEXP QL_FloatBond4(SEXP bond, SEXP gearings, SEXP caps,
- SEXP spreads, SEXP floors,
- SEXP indexparams, SEXP index_params,
- SEXP index_tsQuotes, SEXP index_times,
- SEXP discount_params, SEXP discount_tsQuotes,
- SEXP discount_times, SEXP dateparams)
+RcppExport SEXP FloatBond4(SEXP bond, SEXP gearings, SEXP caps,
+ SEXP spreads, SEXP floors,
+ SEXP indexparams, SEXP index_params,
+ SEXP index_tsQuotes, SEXP index_times,
+ SEXP discount_params, SEXP discount_tsQuotes,
+ SEXP discount_times, SEXP dateparams)
{
try {
@@ -560,9 +558,9 @@
Handle<YieldTermStructure> discount_curve(buildTermStructure(discount_params,
discount_tsQuotes,
discount_times));
- return Rcpp::wrap(QL_FloatingBond(bond, gearings, caps, spreads,
- floors, ibor_curve, indexparams,
- discount_curve, dateparams));
+ return Rcpp::wrap(FloatingBond(bond, gearings, caps, spreads,
+ floors, ibor_curve, indexparams,
+ discount_curve, dateparams));
} catch(std::exception &ex) {
forward_exception_to_r(ex);
@@ -573,20 +571,20 @@
return R_NilValue;
}
-RcppExport SEXP QL_FloatingWithRebuiltCurve(SEXP bondparams, SEXP gearings,
- SEXP spreads, SEXP caps,
- SEXP floors, SEXP indexparams,
- SEXP iborDateSexp, SEXP iborzeroSexp,
- SEXP dateSexp, SEXP zeroSexp,
- SEXP dateparams) {
+RcppExport SEXP FloatingWithRebuiltCurve(SEXP bondparams, SEXP gearings,
+ SEXP spreads, SEXP caps,
+ SEXP floors, SEXP indexparams,
+ SEXP iborDateSexp, SEXP iborzeroSexp,
+ SEXP dateSexp, SEXP zeroSexp,
+ SEXP dateparams) {
try {
Handle<YieldTermStructure> ibor_curve(rebuildCurveFromZeroRates(iborDateSexp, iborzeroSexp));
Handle<YieldTermStructure> curve(rebuildCurveFromZeroRates(dateSexp, zeroSexp));
- SEXP flrtbond = QL_FloatingBond(bondparams, gearings, caps, spreads,
- floors, ibor_curve, indexparams,
- curve, dateparams);
+ SEXP flrtbond = FloatingBond(bondparams, gearings, caps, spreads,
+ floors, ibor_curve, indexparams,
+ curve, dateparams);
return flrtbond;
} catch(std::exception &ex) {
@@ -599,12 +597,12 @@
}
-RcppExport SEXP QL_FixedRateWithRebuiltCurve(SEXP bondparam, SEXP ratesVec,
- SEXP dateSexp, SEXP zeroSexp,
- SEXP dateparams){
+RcppExport SEXP FixedRateWithRebuiltCurve(SEXP bondparam, SEXP ratesVec,
+ SEXP dateSexp, SEXP zeroSexp,
+ SEXP dateparams){
try {
Handle<YieldTermStructure> curve(rebuildCurveFromZeroRates(dateSexp, zeroSexp));
- return Rcpp::wrap(QL_FixedBond(bondparam, ratesVec, curve, dateparams));
+ return Rcpp::wrap(FixedBond(bondparam, ratesVec, curve, dateparams));
} catch(std::exception &ex) {
forward_exception_to_r(ex);
@@ -616,13 +614,13 @@
}
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/rquantlib -r 293
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