[QuantLibAddin-cvs] QuantLibAddin/qlo swaptionvolstructure.cpp, 1.34, 1.35

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14236/qlo

Modified Files:
	swaptionvolstructure.cpp 
Log Message:
Added end criteria in sabr calibration report

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.34
retrieving revision 1.35
diff -C2 -d -r1.34 -r1.35
*** swaptionvolstructure.cpp	18 Oct 2006 13:48:53 -0000	1.34
--- swaptionvolstructure.cpp	23 Oct 2006 13:57:33 -0000	1.35
***************
*** 27,30 ****
--- 27,31 ----
  #include <ql/Volatilities/swaptionvolcube.hpp>
  #include <ql/Volatilities/smilesection.hpp>
+ #include <ql/Optimization/criteria.hpp>
  
  
***************
*** 153,157 ****
      {
          std::vector<std::vector<boost::any> > sparseSabrParameters;
!         QuantLib::Size numberOfColumn = 9;
  
          std::vector<boost::any> headings(numberOfColumn);
--- 154,158 ----
      {
          std::vector<std::vector<boost::any> > sparseSabrParameters;
!         QuantLib::Size numberOfColumn = 10;
  
          std::vector<boost::any> headings(numberOfColumn);
***************
*** 166,169 ****
--- 167,171 ----
          headings[7]=std::string("Error");
          headings[8]=std::string("Max Error");
+         headings[9]=std::string("End Criteria");
  
  
***************
*** 173,180 ****
          {
              std::vector<boost::any> par(numberOfColumn, std::string("N/A"));
!             for(QuantLib::Size j=0; j<sabrParameters.columns(); j++)
              {
!                par[j] = sabrParameters[i][j];
              }
              sparseSabrParameters.push_back(par);
          }
--- 175,199 ----
          {
              std::vector<boost::any> par(numberOfColumn, std::string("N/A"));
!             for(QuantLib::Size j=0; j<sabrParameters.columns()-1; j++)
              {
!                par[j] = sabrParameters[i][j]; 
              }
+             switch (int(sabrParameters[i][numberOfColumn-1])) {
+ 		        case QuantLib::EndCriteria::none:
+ 			        par[numberOfColumn-1] = std::string("None");
+                     break;
+ 		        case QuantLib::EndCriteria::maxIter:
+ 			        par[numberOfColumn-1] = std::string("MaxIterations");
+                     break;
+ 		        case QuantLib::EndCriteria::statPt:
+ 			        par[numberOfColumn-1] = std::string("StationaryPoint");
+                     break;
+ 		        case QuantLib::EndCriteria::statGd:
+ 			        par[numberOfColumn-1] = std::string("StationaryGradient");
+                     break;
+ 		        default:
+                     par[numberOfColumn-1] = std::string("unknown EndCriteria::Type ");
+                     break;
+ 		        }
              sparseSabrParameters.push_back(par);
          }