[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.21, 1.22 swaptionvolstructure.hpp, 1.18, 1.19

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

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);