[QuantLibAddin-cvs] QuantLibAddin/qlo capletvolstructure.cpp, NONE, 1.1 capletvolstructure.hpp, NONE, 1.1 .cvsignore, 1.8, 1.9

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13701/qlo

Modified Files:
	.cvsignore 
Added Files:
	capletvolstructure.cpp capletvolstructure.hpp 
Log Message:
1) exported capletvolstructure
2) refactored cap floor

Index: .cvsignore
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/.cvsignore,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** .cvsignore	25 Jun 2006 09:53:31 -0000	1.8
--- .cvsignore	26 Jun 2006 21:35:25 -0000	1.9
***************
*** 11,14 ****
--- 11,15 ----
  vo_bonds.*pp
  vo_calendar.*pp
+ vo_capletvolstructure.*pp
  vo_capfloor.*pp
  vo_couponvectors.*pp

--- NEW FILE: capletvolstructure.hpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it under the
 terms of the QuantLib license.  You should have received a copy of the
 license along with this program; if not, please email qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#ifndef qla_capletvolstructure_hpp
#define qla_capletvolstructure_hpp

#include <oh/objhandler.hpp>
#include <ql/capvolstructures.hpp>
#include <qlo/termstructures.hpp>

namespace QuantLibAddin {
    
    class CapletVolatilityStructure : public TermStructure {};

	class CapletConstantVolatility : public CapletVolatilityStructure {
	public:
      CapletConstantVolatility(QuantLib::Integer settlementDays,
                               const QuantLib::Calendar& calendar,
                               QuantLib::Volatility volatility,
                               const QuantLib::DayCounter& dayCounter);
    };



}

#endif

--- NEW FILE: capletvolstructure.cpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it under the
 terms of the QuantLib license.  You should have received a copy of the
 license along with this program; if not, please email qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#if defined(HAVE_CONFIG_H)
    #include <qlo/config.hpp>
#endif

#include <qlo/capletvolstructure.hpp>
#include <ql/Volatilities/capletconstantvol.hpp>

namespace QuantLibAddin {

	CapletConstantVolatility::CapletConstantVolatility(
        QuantLib::Integer settlementDays,
        const QuantLib::Calendar& calendar,
        QuantLib::Volatility volatility,
        const QuantLib::DayCounter& dayCounter)
    {
        libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
            new QuantLib::CapletConstantVolatility(settlementDays,
                                                   calendar,
                                                   volatility,
                                                   dayCounter));
	}

}