[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.19, 1.20 swaptionvolstructure.hpp, 1.17, 1.18

[Mario P. <mar...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19331/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 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** swaptionvolstructure.cpp	5 Sep 2006 08:28:33 -0000	1.19
--- swaptionvolstructure.cpp	5 Sep 2006 15:27:28 -0000	1.20
***************
*** 142,152 ****
          QuantLib::Time shortTenor,
          const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
!         double beta,
!         double maxTolerance)
!     {
!         //beta = QuantLib::Null<double>();
!         //maxError = 1E-4;
              libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!            new QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
                                                   expiries,
                                                   lengths,
--- 142,157 ----
          QuantLib::Time shortTenor,
          const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
!         const std::vector<double>& guess,
!         bool isBetaFixed,
!         double maxTolerance) {
! 
!             const double alpha = guess[0];
!             const double beta = guess[1];
!             const double nu = guess[2];
!             const double rho = guess[3];
!         
              libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!             
!                 new QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
                                                   expiries,
                                                   lengths,
***************
*** 161,168 ****
                                                   shortTenor,
                                                   iborIndexShortTenor, 
!                                                  QuantLib::Null<double>(),
                                                   beta, 
!                                                  QuantLib::Null<double>(),
!                                                  QuantLib::Null<double>(),
                                                   true,
                                                   maxTolerance));
--- 166,173 ----
                                                   shortTenor,
                                                   iborIndexShortTenor, 
!                                                  alpha,
                                                   beta, 
!                                                  nu,
!                                                  rho,
                                                   true,
                                                   maxTolerance));

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** swaptionvolstructure.hpp	5 Sep 2006 08:28:33 -0000	1.17
--- swaptionvolstructure.hpp	5 Sep 2006 15:27:28 -0000	1.18
***************
*** 98,102 ****
              QuantLib::Time shortTenor,
              const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
!             double beta = QuantLib::Null<double>(),
              double maxTolerance = 1E-4);
          
--- 98,103 ----
              QuantLib::Time shortTenor,
              const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
!             const std::vector<double>& guess,
!             bool isBetaFixed = true,
              double maxTolerance = 1E-4);