[QuantLibAddin-cvs] QuantLibAddin/qlo interpolation.hpp, 1.15, 1.16 optimization.cpp, 1.1, 1.2

[Giorgio F. <gi...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4882/qlo

Modified Files:
	interpolation.hpp optimization.cpp 
Log Message:
added optimization method to SABRInterpolation constructor

Index: interpolation.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** interpolation.hpp	30 Jun 2006 14:12:05 -0000	1.15
--- interpolation.hpp	18 Jul 2006 14:37:12 -0000	1.16
***************
*** 20,23 ****
--- 20,24 ----
  
  #include <oh/objhandler.hpp>
+ #include <ql/Optimization/method.hpp>
  #include <ql/Math/linearinterpolation.hpp>
  #include <ql/Math/cubicspline.hpp>
***************
*** 57,68 ****
      class SABRInterpolation : public Interpolation {
        public:
!         SABRInterpolation(const std::vector<double>& x,
!                           const std::vector<double>& y,
!                           double t,
!                           double forward,
!                           double beta,
!                           double nu,
!                           double alpha,
!                           double rho);
        private:
          std::vector<double> x_, y_;
--- 58,71 ----
      class SABRInterpolation : public Interpolation {
        public:
!         SABRInterpolation(
!             const std::vector<double>& x,
!             const std::vector<double>& y,
!             double t,
!             double forward,
!             double beta,
!             double nu,
!             double alpha,
!             double rho,
!             const boost::shared_ptr<QuantLib::OptimizationMethod>& om);
        private:
          std::vector<double> x_, y_;

Index: optimization.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/optimization.cpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** optimization.cpp	14 Jul 2006 17:35:30 -0000	1.1
--- optimization.cpp	18 Jul 2006 14:37:12 -0000	1.2
***************
*** 36,43 ****
  
  
!     ConjugateGradient::ConjugateGradient()
      {
          libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
!                                 new QuantLib::ConjugateGradient());
      }
  
--- 36,48 ----
  
  
!     ConjugateGradient::ConjugateGradient(
!         const QuantLib::EndCriteria& endCriteria,
!         const QuantLib::Array& initialValue,
!         const boost::shared_ptr<QuantLib::LineSearch>& lineSearch)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::OptimizationMethod>(
!                                 new QuantLib::ConjugateGradient(endCriteria,
!                                                                 initialValue,
!                                                                 lineSearch));
      }
  
***************
*** 59,61 ****
--- 64,75 ----
                                  new QuantLib::SteepestDescent());
      }
+       
+     ArmijoLineSearch::ArmijoLineSearch(
+             double eps,
+             double alpha,
+             double beta)
+     {
+         libraryObject_ = boost::shared_ptr<QuantLib::LineSearch>(
+                             new QuantLib::ArmijoLineSearch(eps, alpha, beta));
+     }
  }