Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31787/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 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** swaptionvolstructure.cpp 6 Sep 2006 08:14:21 -0000 1.21
--- swaptionvolstructure.cpp 6 Sep 2006 10:14:21 -0000 1.22
***************
*** 142,153 ****
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>(
--- 142,148 ----
QuantLib::Time shortTenor,
const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
! const QuantLib::Matrix& parametersGuess,
! std::vector<bool> isParameterFixed,
double maxTolerance) {
libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
***************
*** 166,174 ****
shortTenor,
iborIndexShortTenor,
! alpha,
! beta,
! nu,
! rho,
! isBetaFixed,
maxTolerance));
const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>
--- 161,166 ----
shortTenor,
iborIndexShortTenor,
! parametersGuess,
! isParameterFixed,
maxTolerance));
const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>
Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** swaptionvolstructure.hpp 5 Sep 2006 15:27:28 -0000 1.18
--- swaptionvolstructure.hpp 6 Sep 2006 10:14:21 -0000 1.19
***************
*** 98,103 ****
QuantLib::Time shortTenor,
const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
! const std::vector<double>& guess,
! bool isBetaFixed = true,
double maxTolerance = 1E-4);
--- 98,103 ----
QuantLib::Time shortTenor,
const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
! const QuantLib::Matrix& parametersGuess,
! std::vector<bool> isParameterFixed,
double maxTolerance = 1E-4);
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