[QuantLibAddin-cvs] QuantLibAddin/qlo cmsmarket.cpp, 1.2, 1.3 cmsmarket.hpp, 1.2, 1.3 vo_cmsmarket.cpp, 1.1, 1.2 vo_cmsmarket.hpp, 1.1, 1.2

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8406/qlo

Modified Files:
	cmsmarket.cpp cmsmarket.hpp vo_cmsmarket.cpp vo_cmsmarket.hpp 
Log Message:


Index: cmsmarket.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.hpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** cmsmarket.hpp	12 Sep 2006 15:08:11 -0000	1.2
--- cmsmarket.hpp	12 Sep 2006 16:14:29 -0000	1.3
***************
*** 50,54 ****
          protected:
          QuantLib::Matrix cmsMarket_;
!     };    
  }
  
--- 50,63 ----
          protected:
          QuantLib::Matrix cmsMarket_;
!     };  
! 
!     class SmileAndCmsCalibrationBySabr: public ObjHandler::LibraryObject<QuantLib::SmileAndCmsCalibrationBySabr>{
! 	 public:
!         SmileAndCmsCalibrationBySabr::SmileAndCmsCalibrationBySabr(
!             QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube,
!             boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket,
!             const QuantLib::Matrix& weights);
!         
!     }; 
  }
  

Index: cmsmarket.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** cmsmarket.cpp	12 Sep 2006 15:08:11 -0000	1.2
--- cmsmarket.cpp	12 Sep 2006 16:14:29 -0000	1.3
***************
*** 79,81 ****
--- 79,94 ----
          return result;
      }
+ 
+     
+     SmileAndCmsCalibrationBySabr::SmileAndCmsCalibrationBySabr(
+         QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volCube,
+         boost::shared_ptr<QuantLib::CmsMarket>& cmsMarket,
+         const QuantLib::Matrix& weights){
+         
+         libraryObject_ = boost::shared_ptr<QuantLib::SmileAndCmsCalibrationBySabr>(
+         new QuantLib::SmileAndCmsCalibrationBySabr(
+                         volCube,
+                         cmsMarket,
+                         weights));         
+      }
  }

Index: vo_cmsmarket.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vo_cmsmarket.hpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** vo_cmsmarket.hpp	12 Sep 2006 09:38:25 -0000	1.1
--- vo_cmsmarket.hpp	12 Sep 2006 16:14:29 -0000	1.2
***************
*** 59,62 ****
--- 59,82 ----
      };
  
+     class qlSmileAndCmsCalibrationBySabr : public ObjHandler::ValueObject {
+     public:
+         qlSmileAndCmsCalibrationBySabr(
+             const std::string& objectID,
+             const std::string& volCube,
+             const std::string& cmsMarketID,
+             const std::vector<std::vector <double> >& weights);
+ 
+         std::vector<std::string> getPropertyNames() const;
+ 
+         boost::any getProperty(const std::string& name) const;
+ 
+     protected:
+         static const char* mPropertyNames[];
+         std::string objectID_;
+         std::string volCube_;
+         std::string cmsMarketID_;
+         std::vector<std::vector <double> > weights_;
+     };
+ 
  } }
  

Index: vo_cmsmarket.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vo_cmsmarket.cpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** vo_cmsmarket.cpp	12 Sep 2006 09:38:25 -0000	1.1
--- vo_cmsmarket.cpp	12 Sep 2006 16:14:29 -0000	1.2
***************
*** 79,82 ****
--- 79,114 ----
          modelOfYieldCurve_(modelOfYieldCurve) {}
  
+     const char* qlSmileAndCmsCalibrationBySabr::mPropertyNames[] = {
+         "objectID",
+         "volCube",
+         "cmsMarketID",
+         "weights"};
+ 
+     std::vector<std::string> qlSmileAndCmsCalibrationBySabr::getPropertyNames() const {
+         return std::vector<std::string>(
+             mPropertyNames, mPropertyNames + sizeof(mPropertyNames)/sizeof(const char*));
+     }
+ 
+     boost::any qlSmileAndCmsCalibrationBySabr::getProperty(const std::string& name) const {
+         if(name == "objectID") return objectID_;
+         else if(name == "volCube") return volCube_;
+         else if(name == "cmsMarketID") return cmsMarketID_;
+         else if(name == "weights") return weights_;
+         else 
+             throw ObjHandler::Exception("Error: attempt to retrieve non-existent Property: '" + name + "'");
+ 
+         return boost::any(); /* Dummy return - just to avoid stupid compiler warnings/errors */
+     }
+ 
+     qlSmileAndCmsCalibrationBySabr::qlSmileAndCmsCalibrationBySabr(
+             const std::string& objectID,
+             const std::string& volCube,
+             const std::string& cmsMarketID,
+             const std::vector<std::vector <double> >& weights) :
+         objectID_(objectID),
+         volCube_(volCube),
+         cmsMarketID_(cmsMarketID),
+         weights_(weights) {}
+ 
  } }