Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15771/qlo
Modified Files:
swaptionvolstructure.cpp swaptionvolstructure.hpp
Log Message:
more constructors added to SwaptionVolMatrix.
WARNING: The volatility matrix must have:
a) increasing exercise dates or periods from top to bottom
b) increasing lenghts from left to right
Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** swaptionvolstructure.cpp 22 Jun 2006 18:36:21 -0000 1.4
--- swaptionvolstructure.cpp 23 Jun 2006 17:53:29 -0000 1.5
***************
*** 38,42 ****
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
- const QuantLib::Date& referenceDate,
const std::vector<QuantLib::Date>& exerciseDates,
const std::vector<QuantLib::Period>& lengths,
--- 38,41 ----
***************
*** 45,50 ****
{
libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
! new QuantLib::SwaptionVolatilityMatrix(referenceDate,
! exerciseDates,
lengths,
volatilities,
--- 44,48 ----
{
libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
! new QuantLib::SwaptionVolatilityMatrix(exerciseDates,
lengths,
volatilities,
***************
*** 52,54 ****
--- 50,68 ----
}
+ SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
+ const std::vector<QuantLib::Period>& expiries,
+ const QuantLib::Calendar& calendar,
+ const QuantLib::BusinessDayConvention bdc,
+ const std::vector<QuantLib::Period>& tenors,
+ const QuantLib::Matrix& volatilities,
+ const QuantLib::DayCounter& dayCounter)
+ {
+ libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
+ new QuantLib::SwaptionVolatilityMatrix(expiries,
+ calendar,
+ bdc,
+ tenors,
+ volatilities,
+ dayCounter));
+ }
}
Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** swaptionvolstructure.hpp 22 Jun 2006 18:36:21 -0000 1.5
--- swaptionvolstructure.hpp 23 Jun 2006 17:53:29 -0000 1.6
***************
*** 37,45 ****
class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure {
public:
! SwaptionVolatilityMatrix(const QuantLib::Date& referenceDate,
! const std::vector<QuantLib::Date>& exerciseDates,
! const std::vector<QuantLib::Period>& lengths,
const QuantLib::Matrix& volatilities,
const QuantLib::DayCounter& dayCounter);
};
--- 37,50 ----
class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure {
public:
! SwaptionVolatilityMatrix(const std::vector<QuantLib::Date>& exerciseDates,
! const std::vector<QuantLib::Period>& tenors,
const QuantLib::Matrix& volatilities,
const QuantLib::DayCounter& dayCounter);
+ SwaptionVolatilityMatrix(const std::vector<QuantLib::Period>& expiries,
+ const QuantLib::Calendar& calendar,
+ const QuantLib::BusinessDayConvention bdc,
+ const std::vector<QuantLib::Period>& tenors,
+ const QuantLib::Matrix& volatilities,
+ const QuantLib::DayCounter& dayCounter);
};
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