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From: Ferdinando A. <na...@us...> - 2006-06-13 18:57:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28291/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: exported: 1) SABR full interface 2) Extrapolator interface Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** interpolation.hpp 13 Jun 2006 11:26:23 -0000 1.5 --- interpolation.hpp 13 Jun 2006 18:56:56 -0000 1.6 *************** *** 20,36 **** #include <oh/objhandler.hpp> #include <ql/Math/cubicspline.hpp> #include <ql/Math/matrix.hpp> namespace QuantLibAddin { ! class Interpolation : public ObjHandler::LibraryObject<QuantLib::Interpolation> { }; class BackwardFlatInterpolation : public Interpolation { public: BackwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); private: std::vector<double> x_, y_; --- 20,40 ---- #include <oh/objhandler.hpp> + #include <ql/Math/linearinterpolation.hpp> #include <ql/Math/cubicspline.hpp> + #include <ql/Math/sabrinterpolation.hpp> #include <ql/Math/matrix.hpp> namespace QuantLibAddin { ! class Extrapolator : ! public ObjHandler::LibraryObject<QuantLib::Extrapolator> { }; + class Interpolation : public Extrapolator {}; + class BackwardFlatInterpolation : public Interpolation { public: BackwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y); private: std::vector<double> x_, y_; *************** *** 40,45 **** public: ForwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); private: std::vector<double> x_, y_; --- 44,48 ---- public: ForwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y); private: std::vector<double> x_, y_; *************** *** 50,54 **** LinearInterpolation(const std::vector<double>& x, const std::vector<double>& y, ! bool allowExtrapolation); private: std::vector<double> x_, y_; --- 53,57 ---- LinearInterpolation(const std::vector<double>& x, const std::vector<double>& y, ! QuantLib::LinearInterpolationType type); private: std::vector<double> x_, y_; *************** *** 57,68 **** class CubicSplineInterpolation : public Interpolation { public: ! CubicSplineInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation, ! QuantLib::CubicSpline::BoundaryCondition leftCondition, ! double leftConditionValue, ! QuantLib::CubicSpline::BoundaryCondition rightCondition, ! double rightConditionValue, ! bool monotonicityConstraint); private: std::vector<double> x_, y_; --- 60,71 ---- class CubicSplineInterpolation : public Interpolation { public: ! CubicSplineInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! QuantLib::CubicSpline::BoundaryCondition leftCondition, ! double leftConditionValue, ! QuantLib::CubicSpline::BoundaryCondition rightCondition, ! double rightConditionValue, ! bool monotonicityConstraint); private: std::vector<double> x_, y_; *************** *** 73,77 **** SABRInterpolation(const std::vector<double>& x, const std::vector<double>& y, - bool allowExtrapolation, double t, double forward, --- 76,79 ---- Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** interpolation.cpp 13 Jun 2006 11:26:23 -0000 1.5 --- interpolation.cpp 13 Jun 2006 18:56:56 -0000 1.6 *************** *** 31,36 **** BackwardFlatInterpolation::BackwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); --- 31,35 ---- BackwardFlatInterpolation::BackwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); *************** *** 43,48 **** ForwardFlatInterpolation::ForwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); --- 42,46 ---- ForwardFlatInterpolation::ForwardFlatInterpolation( const std::vector<double>& x, ! const std::vector<double>& y) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); *************** *** 56,60 **** const std::vector<double>& x, const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); --- 54,58 ---- const std::vector<double>& x, const std::vector<double>& y, ! QuantLib::LinearInterpolationType type) : x_(x), y_(y) { QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); *************** *** 69,73 **** const std::vector<double>& x, const std::vector<double>& y, - bool allowExtrapolation, QuantLib::CubicSpline::BoundaryCondition leftCondition, double leftConditionValue, --- 67,70 ---- *************** *** 87,94 **** SABRInterpolation::SABRInterpolation( const std::vector<double>& x, const std::vector<double>& y, - bool allowExtrapolation, double t, double forward, --- 84,91 ---- + SABRInterpolation::SABRInterpolation( const std::vector<double>& x, const std::vector<double>& y, double t, double forward, |
