[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.31, 1.32 swaptionvolstructure.hpp, 1.26, 1.27

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21649/qlo

Modified Files:
	swaptionvolstructure.cpp swaptionvolstructure.hpp 
Log Message:
repalced  const Matrix& volSpreads by const std::vector<std::vector<Handle<Quote> > >& volSpreads
in SwaptionVolatilityCubeBySabr constructor

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** swaptionvolstructure.cpp	15 Sep 2006 18:46:06 -0000	1.31
--- swaptionvolstructure.cpp	4 Oct 2006 10:04:35 -0000	1.32
***************
*** 106,110 ****
          const std::vector<QuantLib::Period>& lengths,
          const std::vector<QuantLib::Spread>& strikeSpreads,
!         const QuantLib::Matrix& volSpreads,
          const QuantLib::Calendar& calendar,
  		long swapSettlementDays,
--- 106,110 ----
          const std::vector<QuantLib::Period>& lengths,
          const std::vector<QuantLib::Spread>& strikeSpreads,
!         const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
          const QuantLib::Calendar& calendar,
  		long swapSettlementDays,
***************
*** 220,222 ****
--- 220,247 ----
      }
  
+     SmileSection::SmileSection(
+         double expiryTime,
+         const std::vector<double>& strikes,
+         const std::vector<double>& volatilities){
+              libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(
+                 new QuantLib::SmileSection(expiryTime,
+                                            strikes,
+                                            volatilities));
+     }
+ 
+     SmileSection::SmileSection(
+         double expiryTime,
+         double flatVolatility){
+               int n = 5;
+               std::vector<double> fictitiousStrikes;
+               for(int i=0; i<n; i++){
+                   fictitiousStrikes.push_back(.01+.001*i);                
+               }
+               const std::vector<double> volatilities = std::vector<double>(n, flatVolatility);
+               libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(
+                 new QuantLib::SmileSection(expiryTime,
+                                            fictitiousStrikes,
+                                            volatilities));
+     }
+ 
  }

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** swaptionvolstructure.hpp	15 Sep 2006 15:14:12 -0000	1.26
--- swaptionvolstructure.hpp	4 Oct 2006 10:04:35 -0000	1.27
***************
*** 84,88 ****
              const std::vector<QuantLib::Period>& lengths,
              const std::vector<QuantLib::Spread>& strikeSpreads,
!             const QuantLib::Matrix& volSpreads,
              const QuantLib::Calendar& calendar,
  			long swapSettlementDays,
--- 84,88 ----
              const std::vector<QuantLib::Period>& lengths,
              const std::vector<QuantLib::Spread>& strikeSpreads,
!             const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
              const QuantLib::Calendar& calendar,
  			long swapSettlementDays,
***************
*** 128,131 ****
--- 128,140 ----
              const double expiry,
              const double length);
+ 
+         SmileSection(
+             double expiryTime,
+             const std::vector<double>& strikes,
+             const std::vector<double>& volatilities);
+ 
+         SmileSection(
+             double expiryTime,
+             double flatVolatility);
      };