Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23665
Modified Files:
capletvolstructure.cpp capletvolstructure.hpp
Log Message:
CapStripper class exposed
Index: capletvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** capletvolstructure.hpp 26 Jun 2006 22:05:48 -0000 1.2
--- capletvolstructure.hpp 12 Oct 2006 14:55:40 -0000 1.3
***************
*** 28,38 ****
class CapletConstantVolatility : public CapletVolatilityStructure {
! public:
CapletConstantVolatility(QuantLib::Volatility volatility,
const QuantLib::DayCounter& dayCounter);
};
!
!
}
--- 28,48 ----
class CapletConstantVolatility : public CapletVolatilityStructure {
! public:
CapletConstantVolatility(QuantLib::Volatility volatility,
const QuantLib::DayCounter& dayCounter);
};
! class CapsStripper : public CapletVolatilityStructure {
! public:
! CapsStripper(const QuantLib::Calendar & calendar,
! QuantLib::BusinessDayConvention convention,
! QuantLib::Integer fixingDays,
! const std::vector<QuantLib::Period>& tenors,
! const std::vector<QuantLib::Rate>& strikes,
! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities,
! const QuantLib::DayCounter& dayCounter,
! const boost::shared_ptr<QuantLib::Xibor>& index,
! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure);
! };
}
Index: capletvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** capletvolstructure.cpp 26 Jun 2006 22:05:48 -0000 1.2
--- capletvolstructure.cpp 12 Oct 2006 14:55:40 -0000 1.3
***************
*** 22,25 ****
--- 22,26 ----
#include <qlo/capletvolstructure.hpp>
#include <ql/Volatilities/capletconstantvol.hpp>
+ #include <ql/Volatilities/capstripper.hpp>
namespace QuantLibAddin {
***************
*** 29,36 ****
const QuantLib::DayCounter& dayCounter)
{
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
! new QuantLib::CapletConstantVolatility(volatility,
! dayCounter));
}
}
--- 30,55 ----
const QuantLib::DayCounter& dayCounter)
{
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
! QuantLib::CapletConstantVolatility(volatility,
! dayCounter));
}
+ CapsStripper::CapsStripper(
+ const QuantLib::Calendar& calendar,
+ QuantLib::BusinessDayConvention convention,
+ QuantLib::Integer fixingDays,
+ const std::vector<QuantLib::Period>& tenors,
+ const std::vector<QuantLib::Rate>& strikes,
+ const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities,
+ const QuantLib::DayCounter& dayCounter,
+ const boost::shared_ptr<QuantLib::Xibor>& index,
+ const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure)
+ {
+ libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
+ QuantLib::CapsStripper(calendar, convention, fixingDays,
+ tenors, strikes, volatilities, dayCounter, index,
+ yieldTermStructure));
+ }
+
+
}
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