Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19092/qlo
Modified Files:
swaptionvolstructure.cpp swaptionvolstructure.hpp
Log Message:
add support for input parameters with datatype
std::vector<std::vector<QuantLib::Handle<QuantLib::Quote>>>
Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** swaptionvolstructure.cpp 31 Aug 2006 15:31:46 -0000 1.11
--- swaptionvolstructure.cpp 31 Aug 2006 15:43:22 -0000 1.12
***************
*** 70,73 ****
--- 70,85 ----
}
+ SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(const QuantLib::Date& referenceDate,
+ const std::vector<QuantLib::Date>& exerciseDates,
+ const std::vector<QuantLib::Period>& lengths,
+ const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote>>>& vols,
+ const QuantLib::DayCounter& dayCounter) {
+ libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
+ new QuantLib::SwaptionVolatilityMatrix(referenceDate,
+ exerciseDates,
+ lengths,
+ vols,
+ dayCounter));
+ }
std::vector<long> SwaptionVolatilityMatrix::locate(
Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** swaptionvolstructure.hpp 31 Aug 2006 15:31:46 -0000 1.11
--- swaptionvolstructure.hpp 31 Aug 2006 15:43:22 -0000 1.12
***************
*** 50,53 ****
--- 50,58 ----
const QuantLib::Matrix& volatilities,
const QuantLib::DayCounter& dayCounter);
+ SwaptionVolatilityMatrix(const QuantLib::Date& referenceDate,
+ const std::vector<QuantLib::Date>& exerciseDates,
+ const std::vector<QuantLib::Period>& lengths,
+ const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote>>>& vols,
+ const QuantLib::DayCounter& dayCounter);
std::vector<long> locate(const QuantLib::Date& d,
const QuantLib::Period& p);
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