[QuantLibAddin-cvs] QuantLibAddin/qlo interpolation.cpp, 1.2, 1.3 interpolation.hpp, 1.2, 1.3

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16127/qlo

Modified Files:
	interpolation.cpp interpolation.hpp 
Log Message:
1) SABR interpolation added.
2) specified loopParameters

Index: interpolation.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** interpolation.hpp	8 Jun 2006 10:48:49 -0000	1.2
--- interpolation.hpp	8 Jun 2006 20:49:22 -0000	1.3
***************
*** 77,80 ****
--- 77,95 ----
      };
      
+     class SABRInterpolation : public Interpolation {
+       public:
+         SABRInterpolation(const std::vector<double>& x,
+                           const std::vector<double>& y,
+                           bool allowExtrapolation,
+                           double t,
+                           double forward,
+                           double beta,
+                           double nu,
+                           double alpha,
+                           double rho);
+       private:
+         std::vector<double> x_, y_;
+     };
+     
  }
  

Index: interpolation.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** interpolation.cpp	8 Jun 2006 10:48:49 -0000	1.2
--- interpolation.cpp	8 Jun 2006 20:49:22 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  #include <ql/Math/forwardflatinterpolation.hpp>
  #include <ql/Math/linearinterpolation.hpp>
+ #include <ql/Math/sabrinterpolation.hpp>
  
  namespace QuantLibAddin {
***************
*** 83,87 ****
--- 84,105 ----
                  rightCondition, rightConditionValue,
                  monotonicityConstraint));
+     }
+ 
+ 
+     SABRInterpolation::SABRInterpolation(
+         const std::vector<double>& x,
+         const std::vector<double>& y,
+         bool allowExtrapolation,
+         double t,
+         double forward,
+         double beta,
+         double nu,
+         double alpha,
+         double rho) : x_(x), y_(y) {
  
+         interp_ = boost::shared_ptr<QuantLib::Interpolation>(
+             new QuantLib::SABRInterpolation(
+                 x_.begin(), x_.end(), y_.begin(),
+                 t, forward, beta, nu, alpha, rho));
      }