[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.18, 1.19 swaptionvolstructure.hpp, 1.16, 1.17

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5265/qlo

Modified Files:
	swaptionvolstructure.cpp swaptionvolstructure.hpp 
Log Message:
work in progress ...

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** swaptionvolstructure.cpp	5 Sep 2006 07:49:04 -0000	1.18
--- swaptionvolstructure.cpp	5 Sep 2006 08:28:33 -0000	1.19
***************
*** 169,174 ****
           const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> 
               volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
!          sparseSabrParameters_=volCube->sparseSabrParameters();
!          denseSabrParameters_=volCube->denseSabrParameters();
      }
  
--- 169,176 ----
           const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> 
               volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
!          sparseSabrParameters_ = volCube->sparseSabrParameters();
!          denseSabrParameters_ = volCube->denseSabrParameters();
!          marketVolCube_ = volCube->marketVolCube();
!          volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated();
      }
  
***************
*** 206,208 ****
--- 208,243 ----
      }
  
+     std::vector<std::vector<boost::any> > getVolCube(QuantLib::Matrix & volCube)
+     {
+         std::vector<std::vector<boost::any> > volatilityCube;
+         QuantLib::Size numberOfColumn = 11;
+ 
+         std::vector<boost::any> headings(numberOfColumn);
+         headings[0]=std::string("Swap Lenght");
+         headings[1]=std::string("Expiriy");
+ 
+         headings[2]=std::string("-200 bps");
+         headings[3]=std::string("-100 bps");
+         headings[4]=std::string("-50 bps");
+         headings[5]=std::string("-25 bps");
+         headings[6]=std::string("0 bps");
+         headings[7]=std::string("25 bps");
+         headings[8]=std::string("50 bps");
+         headings[9]=std::string("100 bps");
+         headings[10]=std::string("200 bps");
+ 
+         volatilityCube.push_back(headings);
+ 
+         for(QuantLib::Size i=0; i<volCube.rows(); i++)
+         {
+             std::vector<boost::any> vol(numberOfColumn, std::string("N/A"));
+             for(QuantLib::Size j=0; j<volCube.columns(); j++)
+             {
+                vol[j] = volCube[i][j];
+             }
+             volatilityCube.push_back(vol);
+         }
+         return volatilityCube;
+     }
+ 
  }

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** swaptionvolstructure.hpp	5 Sep 2006 07:49:04 -0000	1.16
--- swaptionvolstructure.hpp	5 Sep 2006 08:28:33 -0000	1.17
***************
*** 80,83 ****
--- 80,84 ----
      
      std::vector<std::vector<boost::any> > getSabrParameters(QuantLib::Matrix & sabrParameters);
+     std::vector<std::vector<boost::any> > getVolCube(QuantLib::Matrix & volCube);
      
      class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityStructure {
***************
*** 108,114 ****
--- 109,125 ----
              return getSabrParameters(denseSabrParameters_);
          }
+         const std::vector<std::vector<boost::any> > getMarketVolCube()
+         {
+             return getVolCube(marketVolCube_);
+         }
+         const std::vector<std::vector<boost::any> > getVolCubeAtmCalibrated()
+         {
+             return getVolCube(volCubeAtmCalibrated_);
+         }
          protected:
          QuantLib::Matrix sparseSabrParameters_;
          QuantLib::Matrix denseSabrParameters_;
+         QuantLib::Matrix marketVolCube_;
+         QuantLib::Matrix volCubeAtmCalibrated_;
  
      };