[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.32, 1.33 swaptionvolstructure.hpp, 1.28, 1.29

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3774/qlo

Modified Files:
	swaptionvolstructure.cpp swaptionvolstructure.hpp 
Log Message:
splitted construction and calibration of swaptionvolcubebysabr

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.32
retrieving revision 1.33
diff -C2 -d -r1.32 -r1.33
*** swaptionvolstructure.cpp	4 Oct 2006 10:04:35 -0000	1.32
--- swaptionvolstructure.cpp	17 Oct 2006 14:38:22 -0000	1.33
***************
*** 139,148 ****
                                                   isAtmCalibrated
                                                   ));
!          const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> 
!              volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
!          sparseSabrParameters_ = volCube->sparseSabrParameters();
!          denseSabrParameters_ = volCube->denseSabrParameters();
!          marketVolCube_ = volCube->marketVolCube();
!          volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated();
      }
  
--- 139,143 ----
                                                   isAtmCalibrated
                                                   ));
!             calibrated_=false;
      }
  

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** swaptionvolstructure.hpp	4 Oct 2006 13:35:46 -0000	1.28
--- swaptionvolstructure.hpp	17 Oct 2006 14:38:22 -0000	1.29
***************
*** 97,101 ****
              bool isAtmCalibrated
              );
!         
          const std::vector<std::vector<boost::any> > getSparseSabrParameters()
          {
--- 97,116 ----
              bool isAtmCalibrated
              );
! 
!         void performCalibration()
!         {
!             const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> 
!              volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
!             
!             //volCube->performCalculations(); 
!             volCube->performCalibration(); 
!             if(!calibrated_){
!                 sparseSabrParameters_ = volCube->sparseSabrParameters();
!                 denseSabrParameters_ = volCube->denseSabrParameters();
!                 marketVolCube_ = volCube->marketVolCube();
!                 volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated();
!             }
!             calibrated_ = true;
!         }
          const std::vector<std::vector<boost::any> > getSparseSabrParameters()
          {
***************
*** 119,122 ****
--- 134,138 ----
          QuantLib::Matrix marketVolCube_;
          QuantLib::Matrix volCubeAtmCalibrated_;
+         bool calibrated_;
  
      };