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));
}
}
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