Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26634/qlo
Modified Files:
interpolation.cpp interpolation.hpp
Log Message:
Sabr update
Index: interpolation.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** interpolation.hpp 2 Aug 2006 18:14:07 -0000 1.18
--- interpolation.hpp 16 Oct 2006 15:15:32 -0000 1.19
***************
*** 67,70 ****
--- 67,74 ----
double nu,
double rho,
+ bool isAlphaFixed,
+ bool isBetaFixed,
+ bool isNuFixed,
+ bool isRhoFixed,
const boost::shared_ptr<QuantLib::OptimizationMethod>& om);
private:
Index: interpolation.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** interpolation.cpp 5 Sep 2006 14:50:51 -0000 1.16
--- interpolation.cpp 16 Oct 2006 15:15:32 -0000 1.17
***************
*** 70,81 ****
double nu,
double rho,
const boost::shared_ptr<QuantLib::OptimizationMethod>& om)
: x_(x), y_(y)
{
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
! new QuantLib::SABRInterpolation(
! x_.begin(), x_.end(), y_.begin(),
! t, forward, alpha, beta, nu, rho, false, false, false, false, om
! ));
}
--- 70,84 ----
double nu,
double rho,
+ bool isAlphaFixed,
+ bool isBetaFixed,
+ bool isNuFixed,
+ bool isRhoFixed,
const boost::shared_ptr<QuantLib::OptimizationMethod>& om)
: x_(x), y_(y)
{
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
! QuantLib::SABRInterpolation(x_.begin(), x_.end(), y_.begin(),
! t, forward, alpha, beta, nu, rho,
! isAlphaFixed, isBetaFixed, isNuFixed, isRhoFixed, om));
}
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