[QuantLibAddin-cvs] QuantLibAddin/qlo getcovariance.cpp, NONE, 1.1 getcovariance.hpp, NONE, 1.1

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10900/qlo

Added Files:
	getcovariance.cpp getcovariance.hpp 
Log Message:
exported CovarianceDecomposition, CovFromCorr, and CholeskyDecomposition

--- NEW FILE: getcovariance.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_getcovariance_hpp
#define qla_getcovariance_hpp

#include <oh/objhandler.hpp>
#include <ql/MonteCarlo/getcovariance.hpp>

namespace QuantLibAddin {

    inline QuantLib::Matrix getCovariance(std::vector<double> vols,
                                          const QuantLib::Matrix& corr,
                                          double tol) 
    {
        return QuantLib::getCovariance(vols.begin(), vols.end(), corr, tol);
    }

    class CovarianceDecomposition : public ObjHandler::LibraryObject<
        QuantLib::CovarianceDecomposition>
    {
      public:
        CovarianceDecomposition::CovarianceDecomposition(
            const QuantLib::Matrix& cov,
            double tol);
    };
}

#endif

--- NEW FILE: getcovariance.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/getcovariance.hpp>

namespace QuantLibAddin {

    CovarianceDecomposition::CovarianceDecomposition(
        const QuantLib::Matrix& cov,
        double tol)
    {
        libraryObject_ = boost::shared_ptr<
                            QuantLib::CovarianceDecomposition>(
                                new QuantLib::CovarianceDecomposition(cov, tol));
    }
}