[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.25, 1.26 swaptionvolstructure.hpp, 1.22, 1.23

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2511/qlo

Modified Files:
	swaptionvolstructure.cpp swaptionvolstructure.hpp 
Log Message:


Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.25
retrieving revision 1.26
diff -C2 -d -r1.25 -r1.26
*** swaptionvolstructure.cpp	6 Sep 2006 14:27:44 -0000	1.25
--- swaptionvolstructure.cpp	8 Sep 2006 10:05:07 -0000	1.26
***************
*** 143,147 ****
          const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
          const QuantLib::Matrix& parametersGuess,
!         std::vector<bool> isParameterFixed) {
          
              libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
--- 143,149 ----
          const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
          const QuantLib::Matrix& parametersGuess,
!         std::vector<bool> isParameterFixed,
!         bool isAtmCalibrated
!         ) {
          
              libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
***************
*** 161,165 ****
                                                   iborIndexShortTenor, 
                                                   parametersGuess,
!                                                  isParameterFixed));
           const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> 
               volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
--- 163,169 ----
                                                   iborIndexShortTenor, 
                                                   parametersGuess,
!                                                  isParameterFixed,
!                                                  isAtmCalibrated
!                                                  ));
           const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> 
               volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
***************
*** 236,238 ****
--- 240,249 ----
      }
  
+    VarianceSmileSection::VarianceSmileSection(
+         const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& cubeBySabr,
+         const double expiry,
+         const double length) {
+              libraryObject_ = cubeBySabr->smileSection(expiry,length);
+     }
+ 
  }

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** swaptionvolstructure.hpp	8 Sep 2006 09:40:23 -0000	1.22
--- swaptionvolstructure.hpp	8 Sep 2006 10:05:07 -0000	1.23
***************
*** 103,107 ****
              const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
              const QuantLib::Matrix& parametersGuess,
!             std::vector<bool> isParameterFixed);
          
          const std::vector<std::vector<boost::any> > getSparseSabrParameters()
--- 103,109 ----
              const boost::shared_ptr<QuantLib::Xibor>& iborIndexShortTenor,
              const QuantLib::Matrix& parametersGuess,
!             std::vector<bool> isParameterFixed,
!             bool isAtmCalibrated
!             );
          
          const std::vector<std::vector<boost::any> > getSparseSabrParameters()
***************
*** 129,134 ****
      };
  
      
!     
  }
  
--- 131,143 ----
      };
  
+     class VarianceSmileSection: public ObjHandler::LibraryObject<QuantLib::VarianceSmileSection>{
+ 	 public:
+         VarianceSmileSection(
+             const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>& cubeBySabr,
+             const double expiry,
+             const double length);
+     };
      
! 
  }