[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.6, 1.7 swaptionvolstructure.hpp, 1.6, 1.7

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4792/qlo

Modified Files:
	swaptionvolstructure.cpp swaptionvolstructure.hpp 
Log Message:
SwaptionVolCube initial implementation

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** swaptionvolstructure.cpp	26 Jun 2006 21:31:03 -0000	1.6
--- swaptionvolstructure.cpp	7 Aug 2006 15:25:32 -0000	1.7
***************
*** 22,27 ****
  
  #include <qlo/swaptionvolstructure.hpp>
- #include <ql/Volatilities/swaptionvolmatrix.hpp>
  #include <ql/Volatilities/swaptionconstantvol.hpp>
  
  namespace QuantLibAddin {
--- 22,27 ----
  
  #include <qlo/swaptionvolstructure.hpp>
  #include <ql/Volatilities/swaptionconstantvol.hpp>
+ #include <ql/Volatilities/swaptionvolcube.hpp>
  
  namespace QuantLibAddin {
***************
*** 51,54 ****
--- 51,55 ----
  	}
  
+ 
      SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
          const std::vector<QuantLib::Period>& expiries,
***************
*** 67,69 ****
--- 68,100 ----
                                                     dayCounter));
  	}
+ 
+ 
+     std::vector<long> SwaptionVolatilityMatrix::locate(
+         const QuantLib::Date& d, const QuantLib::Period& p)
+     {
+         std::pair<QuantLib::Size, QuantLib::Size> indexes =
+             boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityMatrix>(
+                 libraryObject_)->locate(d,p);
+         std::vector<long> result(2);
+         result[0]=indexes.first;
+         result[1]=indexes.second;
+         return result;
+     }
+ 
+ 
+     SwaptionVolatilityCube::SwaptionVolatilityCube(
+         const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
+         const std::vector<QuantLib::Period>& expiries,
+         const std::vector<QuantLib::Period>& lengths,
+         const std::vector<QuantLib::Spread>& strikeSpreads,
+         const QuantLib::Matrix& volSpreads)
+     {
+         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
+             new QuantLib::SwaptionVolatilityCube(atmVol,
+                                                  expiries,
+                                                  lengths,
+                                                  strikeSpreads,
+                                                  volSpreads));
+     }
+ 
  }

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** swaptionvolstructure.hpp	23 Jun 2006 17:53:29 -0000	1.6
--- swaptionvolstructure.hpp	7 Aug 2006 15:25:32 -0000	1.7
***************
*** 23,26 ****
--- 23,27 ----
  #include <ql/swaptionvolstructure.hpp>
  #include <qlo/termstructures.hpp>
+ #include <ql/Volatilities/swaptionvolmatrix.hpp>
  
  namespace QuantLibAddin {
***************
*** 47,50 ****
--- 48,63 ----
                                   const QuantLib::Matrix& volatilities,
                                   const QuantLib::DayCounter& dayCounter);
+         std::vector<long> locate(const QuantLib::Date& d,
+                                  const QuantLib::Period& p);
+     };
+ 	
+ 	class SwaptionVolatilityCube : public SwaptionVolatilityStructure {
+ 	public:
+ 		SwaptionVolatilityCube(
+             const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
+             const std::vector<QuantLib::Period>& expiries,
+             const std::vector<QuantLib::Period>& lengths,
+             const std::vector<QuantLib::Spread>& strikeSpreads,
+             const QuantLib::Matrix& volSpreads);
      };