Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9461/qlo
Modified Files:
swaptionvolstructure.cpp swaptionvolstructure.hpp
Log Message:
SwaptionCube refactoring
Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.36
retrieving revision 1.37
diff -C2 -d -r1.36 -r1.37
*** swaptionvolstructure.cpp 23 Oct 2006 18:31:11 -0000 1.36
--- swaptionvolstructure.cpp 24 Oct 2006 10:46:22 -0000 1.37
***************
*** 25,29 ****
#include <qlo/swaptionvolstructure.hpp>
#include <ql/Volatilities/swaptionconstantvol.hpp>
! #include <ql/Volatilities/swaptionvolcube.hpp>
#include <ql/Volatilities/smilesection.hpp>
#include <ql/Optimization/criteria.hpp>
--- 25,30 ----
#include <qlo/swaptionvolstructure.hpp>
#include <ql/Volatilities/swaptionconstantvol.hpp>
! #include <ql/Volatilities/swaptionvolcubebylinear.hpp>
! #include <ql/Volatilities/swaptionvolcubebysabr.hpp>
#include <ql/Volatilities/smilesection.hpp>
#include <ql/Optimization/criteria.hpp>
***************
*** 86,91 ****
{
QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
! new QuantLib::SwaptionVolatilityCubeByLinear(atmVol,
expiries,
lengths,
--- 87,92 ----
{
QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
! QuantLib::SwaptionVolatilityCubeByLinear(atmVol,
expiries,
lengths,
***************
*** 121,127 ****
) {
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!
! new QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
expiries,
lengths,
--- 122,127 ----
) {
! libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
! QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
expiries,
lengths,
Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** swaptionvolstructure.hpp 23 Oct 2006 18:31:11 -0000 1.31
--- swaptionvolstructure.hpp 24 Oct 2006 10:46:22 -0000 1.32
***************
*** 24,29 ****
#include <oh/objhandler.hpp>
#include <ql/swaptionvolstructure.hpp>
- #include <ql/Volatilities/swaptionvolcubebysabr.hpp>
#include <qlo/termstructures.hpp>
#include <ql/Volatilities/swaptionvolmatrix.hpp>
#include <qlo/index.hpp>
--- 24,29 ----
#include <oh/objhandler.hpp>
#include <ql/swaptionvolstructure.hpp>
#include <qlo/termstructures.hpp>
+ #include <ql/Volatilities/swaptionvolcubebysabr.hpp>
#include <ql/Volatilities/swaptionvolmatrix.hpp>
#include <qlo/index.hpp>
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