|
From: Giorgio F. <gi...@us...> - 2006-09-05 07:49:07
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21122/qlo Modified Files: couponvectors.cpp couponvectors.hpp swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: work in progress ... Index: couponvectors.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** couponvectors.hpp 28 Aug 2006 15:56:17 -0000 1.20 --- couponvectors.hpp 5 Sep 2006 07:49:04 -0000 1.21 *************** *** 2,5 **** --- 2,6 ---- /* Copyright (C) 2006 Ferdinando Ametrano + Copyright (C) 2006 Giorgio Facchinetti Copyright (C) 2005 Aurelien Chanudet Index: couponvectors.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** couponvectors.cpp 28 Aug 2006 15:56:17 -0000 1.27 --- couponvectors.cpp 5 Sep 2006 07:49:04 -0000 1.28 *************** *** 3,6 **** --- 3,7 ---- Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2006 Eric Ehlers + Copyright (C) 2006 Giorgio Facchinetti Copyright (C) 2005 Aurelien Chanudet Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** swaptionvolstructure.cpp 5 Sep 2006 07:25:38 -0000 1.17 --- swaptionvolstructure.cpp 5 Sep 2006 07:49:04 -0000 1.18 *************** *** 4,7 **** --- 4,8 ---- Copyright (C) 2006 Silvia Frasson Copyright (C) 2006 Mario Pucci + Copyright (C) 2006 Giorgio Facchinetti This file is part of QuantLib, a free-software/open-source library *************** *** 25,29 **** #include <ql/Volatilities/swaptionconstantvol.hpp> #include <ql/Volatilities/swaptionvolcube.hpp> ! #include <ql/Volatilities/swaptionvolcubebysabr.hpp> namespace QuantLibAddin { --- 26,30 ---- #include <ql/Volatilities/swaptionconstantvol.hpp> #include <ql/Volatilities/swaptionvolcube.hpp> ! namespace QuantLibAddin { *************** *** 146,152 **** //beta = QuantLib::Null<double>(); //maxError = 1E-4; ! ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, expiries, lengths, --- 147,152 ---- //beta = QuantLib::Null<double>(); //maxError = 1E-4; ! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>( ! new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, expiries, lengths, *************** *** 167,170 **** --- 167,207 ---- true, maxTolerance)); + const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> + volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_); + sparseSabrParameters_=volCube->sparseSabrParameters(); + denseSabrParameters_=volCube->denseSabrParameters(); + } + + + std::vector<std::vector<boost::any> > getSabrParameters(QuantLib::Matrix & sabrParameters) + { + std::vector<std::vector<boost::any> > sparseSabrParameters; + QuantLib::Size numberOfColumn = 9; + + std::vector<boost::any> headings(numberOfColumn); + headings[0]=std::string("Swap Lenght"); + headings[1]=std::string("Expiriy"); + + headings[2]=std::string("Alpha"); + headings[3]=std::string("Beta"); + headings[4]=std::string("Nu"); + headings[5]=std::string("Rho"); + headings[6]=std::string("Forward"); + headings[7]=std::string("Error"); + headings[8]=std::string("Max Error"); + + + sparseSabrParameters.push_back(headings); + + for(QuantLib::Size i=0; i<sabrParameters.rows(); i++) + { + std::vector<boost::any> par(numberOfColumn, std::string("N/A")); + for(QuantLib::Size j=0; j<sabrParameters.columns(); j++) + { + par[j] = sabrParameters[i][j]; + } + sparseSabrParameters.push_back(par); + } + return sparseSabrParameters; } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** swaptionvolstructure.hpp 5 Sep 2006 07:26:45 -0000 1.15 --- swaptionvolstructure.hpp 5 Sep 2006 07:49:04 -0000 1.16 *************** *** 4,7 **** --- 4,8 ---- Copyright (C) 2006 Silvia Frasson Copyright (C) 2006 Mario Pucci + Copyright (C) 2006 Giorgio Facchinetti This file is part of QuantLib, a free-software/open-source library *************** *** 23,26 **** --- 24,28 ---- #include <oh/objhandler.hpp> #include <ql/swaptionvolstructure.hpp> + #include <ql/Volatilities/swaptionvolcubebysabr.hpp> #include <qlo/termstructures.hpp> #include <ql/Volatilities/swaptionvolmatrix.hpp> *************** *** 76,80 **** const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor); }; ! class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityStructure { public: --- 78,84 ---- const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor); }; ! ! std::vector<std::vector<boost::any> > getSabrParameters(QuantLib::Matrix & sabrParameters); ! class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityStructure { public: *************** *** 95,99 **** --- 99,119 ---- double beta = QuantLib::Null<double>(), double maxTolerance = 1E-4); + + const std::vector<std::vector<boost::any> > getSparseSabrParameters() + { + return getSabrParameters(sparseSabrParameters_); + } + const std::vector<std::vector<boost::any> > getDenseSabrParameters() + { + return getSabrParameters(denseSabrParameters_); + } + protected: + QuantLib::Matrix sparseSabrParameters_; + QuantLib::Matrix denseSabrParameters_; + }; + + + } |
