Replaced and renamed Swap example.

lballabio · Nov 30, 2018 · 4302551 · 4302551
1 parent bd8af0b
commit 4302551
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Showing 36 changed files with 611 additions and 1,969 deletions.
diff --git a/.gitignore b/.gitignore
@@ -101,9 +101,9 @@ Examples/GlobalOptimizer/GlobalOptimizer
 Examples/LatentModel/LatentModel
 Examples/MarketModels/MarketModels
 Examples/MultidimIntegral/MultidimIntegral
+Examples/MulticurveBootstrapping/MulticurveBootstrapping
 Examples/Replication/Replication
 Examples/Repo/Repo
-Examples/Swap/SwapValuation
 test-suite/quantlib-test-suite
 test-suite/quantlib-benchmark
 test-suite/bin/*.exp

diff --git a/Docs/pages/examples.docs b/Docs/pages/examples.docs
@@ -117,7 +117,7 @@
     done by supplying the FixedCouponBondForward constructor with a
     flat repo YieldTermStructure.
 
-    \example swapvaluation.cpp
+    \example MulticurveBootstrapping.cpp
     This example prices an interest rate swap over a term structure
     and calculates its fair fixed rate and floating spread.
 

diff --git a/Examples/CMakeLists.txt b/Examples/CMakeLists.txt
@@ -14,6 +14,6 @@ add_subdirectory(GlobalOptimizer)
 add_subdirectory(LatentModel)
 add_subdirectory(MarketModels)
 add_subdirectory(MultidimIntegral)
+add_subdirectory(MulticurveBootstrapping)
 add_subdirectory(Replication)
 add_subdirectory(Repo)
-add_subdirectory(Swap)
diff --git a/Examples/Makefile.am b/Examples/Makefile.am
@@ -18,9 +18,9 @@ SUBDIRS = \
     LatentModel \
     MarketModels \
     MultidimIntegral \
+    MulticurveBootstrapping \
     Replication \
-    Repo \
-    Swap
+    Repo
 
 SUBDIR_CHECKS = $(SUBDIRS:%=%.check)
 

diff --git a/Examples/MulticurveBootstrapping/CMakeLists.txt b/Examples/MulticurveBootstrapping/CMakeLists.txt
@@ -0,0 +1,2 @@
+add_executable(MulticurveBootstrapping MulticurveBootstrapping.cpp)
+target_link_libraries(MulticurveBootstrapping ${QL_LINK_LIBRARY})
diff --git a/Examples/MulticurveBootstrapping/Makefile.am b/Examples/MulticurveBootstrapping/Makefile.am
@@ -0,0 +1,29 @@
+
+AM_CPPFLAGS = -I${top_builddir} -I${top_srcdir}
+
+if AUTO_EXAMPLES
+bin_PROGRAMS = MulticurveBootstrapping
+TESTS = MulticurveBootstrapping$(EXEEXT)
+else
+noinst_PROGRAMS = MulticurveBootstrapping
+endif
+MulticurveBootstrapping_SOURCES = MulticurveBootstrapping.cpp
+MulticurveBootstrapping_LDADD = ../../ql/libQuantLib.la ${BOOST_THREAD_LIB}
+
+EXTRA_DIST = \
+    CMakeLists.txt \
+    MulticurveBootstrapping.vcxproj \
+    MulticurveBootstrapping.vcxproj.filters \
+    README.txt
+
+.PHONY: examples check-examples
+
+examples: MulticurveBootstrapping$(EXEEXT)
+
+check-examples: examples
+	./MulticurveBootstrapping$(EXEEXT)
+
+dist-hook:
+	mkdir -p $(distdir)/bin
+	mkdir -p $(distdir)/build
+
diff --git a/Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp b/Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp
@@ -22,10 +22,8 @@
 
 /*  This example shows how to set up a Term Structure with ois Discounting
     and then price a simple 5 year swap.
-	
-	Boilerplate code was taken from swapvaluation.cpp
 
-    Example based on market data in paper by F. M. Ametrano and M. Blanchetti,
+    Example based on market data in paper by F. M. Ametrano and M. Bianchetti,
 	Everything You Always WAnted to Know About Multiple Interest RAte Curve Boostrapping
 	but Were Afraid to Ask (April 2, 2013).
 	http://ssrn.com/abstract=2219548
@@ -319,7 +317,7 @@ int main(int, char* []) {
 		double tolerance = 1.0e-15;
 
 		// Eonia curve
-		std::vector<ext::shared_ptr<RateHelper>> eoniaInstruments;
+		std::vector<ext::shared_ptr<RateHelper> > eoniaInstruments;
 		eoniaInstruments.push_back(dON);
 		eoniaInstruments.push_back(dTN);
 		eoniaInstruments.push_back(dSN);

diff --git a/Examples/MulticurveBootstrapping/MulticurveBootstrapping.vcxproj b/Examples/MulticurveBootstrapping/MulticurveBootstrapping.vcxproj
diff --git a/Examples/Swap/Swap.vcxproj.filters → ...g/MulticurveBootstrapping.vcxproj.filters b/Examples/Swap/Swap.vcxproj.filters → ...g/MulticurveBootstrapping.vcxproj.filters
@@ -15,8 +15,8 @@
     </Filter>
   </ItemGroup>
   <ItemGroup>
-    <ClCompile Include="swapvaluation.cpp">
+    <ClCompile Include="MulticurveBootstrapping.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
   </ItemGroup>
-</Project>
+</Project>
diff --git a/Examples/Swap/README.txt → Examples/MulticurveBootstrapping/README.txt b/Examples/Swap/README.txt → Examples/MulticurveBootstrapping/README.txt
diff --git a/Examples/Swap/CMakeLists.txt b/Examples/Swap/CMakeLists.txt
diff --git a/Examples/Swap/Makefile.am b/Examples/Swap/Makefile.am
diff --git a/Examples/Swap/Swap.vcxproj b/Examples/Swap/Swap.vcxproj