[QuantLibAddin-cvs] QuantLibAddin/qlo index.cpp, 1.16, 1.17 ratehelpers.cpp, 1.10, 1.11 schedule.cpp, 1.6, 1.7 swaptionvolstructure.cpp, 1.39, 1.40 swaptionvolstructure.hpp, 1.34, 1.35 vanillaoption.cpp, 1.11, 1.12

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26080/qlo

Modified Files:
	index.cpp ratehelpers.cpp schedule.cpp 
	swaptionvolstructure.cpp swaptionvolstructure.hpp 
	vanillaoption.cpp 
Log Message:
1) swaptionvolcube refactoring
2) PLEASE AVOID USELESS INCLUSIONS!!!!!!!

Index: index.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/index.cpp,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** index.cpp	31 Oct 2006 11:54:17 -0000	1.16
--- index.cpp	2 Nov 2006 08:35:31 -0000	1.17
***************
*** 24,28 ****
  
  #include <qlo/index.hpp>
- #include <qlo/typefactory.hpp>
  #include <ql/Indexes/swapindex.hpp>
  
--- 24,27 ----

Index: vanillaoption.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/vanillaoption.cpp,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** vanillaoption.cpp	17 Oct 2006 10:31:13 -0000	1.11
--- vanillaoption.cpp	2 Nov 2006 08:35:31 -0000	1.12
***************
*** 20,24 ****
  #endif
  #include <qlo/vanillaoption.hpp>
- #include <qlo/typefactory.hpp>
  #include <qlo/exercise.hpp>
  
--- 20,23 ----
***************
*** 26,39 ****
  
      VanillaOption::VanillaOption(
!             const boost::shared_ptr < QuantLib::GeneralizedBlackScholesProcess > &blackScholesProcess,
!             const boost::shared_ptr<QuantLib::StrikedTypePayoff> &payoff,
!             const boost::shared_ptr < QuantLib::Exercise > &exercise,
!             const boost::shared_ptr<QuantLib::PricingEngine> &pricingEngine) {
!         libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(
!             new QuantLib::VanillaOption(
!                 blackScholesProcess,
!                 payoff,
!                 exercise,
!                 pricingEngine));
      }
  }
--- 25,37 ----
  
      VanillaOption::VanillaOption(
!             const boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>& blackScholesProcess,
!             const boost::shared_ptr<QuantLib::StrikedTypePayoff>& payoff,
!             const boost::shared_ptr<QuantLib::Exercise>& exercise,
!             const boost::shared_ptr<QuantLib::PricingEngine>& pricingEngine) {
!         libraryObject_ = boost::shared_ptr<QuantLib::Instrument>(new
!             QuantLib::VanillaOption(blackScholesProcess,
!                                     payoff,
!                                     exercise,
!                                     pricingEngine));
      }
  }

Index: schedule.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/schedule.cpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** schedule.cpp	3 Oct 2006 18:23:59 -0000	1.6
--- schedule.cpp	2 Nov 2006 08:35:31 -0000	1.7
***************
*** 21,25 ****
  #endif
  #include <qlo/schedule.hpp>
- #include <qlo/typefactory.hpp>
  
  namespace QuantLibAddin {
--- 21,24 ----
***************
*** 37,54 ****
          const QuantLib::Date& nextToLastDate) {
      
!         libraryObject_ = boost::shared_ptr<QuantLib::Schedule>(
!             new QuantLib::Schedule(effectiveDate,
!                                    terminationDate,
!                                    tenor,
!                                    calendar,
!                                    convention,
!                                    terminationDateConvention,
!                                    backward,
!                                    endOfMonth,
!                                    firstDate,
!                                    nextToLastDate));
!     
      }
  
-   
  }
--- 36,51 ----
          const QuantLib::Date& nextToLastDate) {
      
!         libraryObject_ = boost::shared_ptr<QuantLib::Schedule>(new
!             QuantLib::Schedule(effectiveDate,
!                                terminationDate,
!                                tenor,
!                                calendar,
!                                convention,
!                                terminationDateConvention,
!                                backward,
!                                endOfMonth,
!                                firstDate,
!                                nextToLastDate));
      }
  
  }

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.34
retrieving revision 1.35
diff -C2 -d -r1.34 -r1.35
*** swaptionvolstructure.hpp	31 Oct 2006 11:04:43 -0000	1.34
--- swaptionvolstructure.hpp	2 Nov 2006 08:35:31 -0000	1.35
***************
*** 64,69 ****
              const std::vector<QuantLib::Spread>& strikeSpreads,
              const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
!             const QuantLib::Calendar& calendar,
!             const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase);
      };
      
--- 64,69 ----
              const std::vector<QuantLib::Spread>& strikeSpreads,
              const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
!             const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase,
!             bool vegaWeightedSmileFit);
      };
      
***************
*** 72,76 ****
      
      class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityCube {
! 	public:
  		SwaptionVolatilityCubeBySabr(
              const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
--- 72,76 ----
      
      class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityCube {
!       public:
  		SwaptionVolatilityCubeBySabr(
              const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
***************
*** 79,89 ****
              const std::vector<QuantLib::Spread>& strikeSpreads,
              const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
-             const QuantLib::Calendar& calendar,
  			const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase,
              const QuantLib::Matrix& parametersGuess,
              std::vector<bool> isParameterFixed,
!             bool isVegaWeighted,
!             bool isAtmCalibrated
!             );
  
          const std::vector<std::vector<boost::any> > getSparseSabrParameters()
--- 79,87 ----
              const std::vector<QuantLib::Spread>& strikeSpreads,
              const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
  			const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase,
+             bool vegaWeightedSmileFit,
              const QuantLib::Matrix& parametersGuess,
              std::vector<bool> isParameterFixed,
!             bool isAtmCalibrated);
  
          const std::vector<std::vector<boost::any> > getSparseSabrParameters()
***************
*** 103,107 ****
              return getVolCube(volCubeAtmCalibrated_);
          }
!         protected:
          QuantLib::Matrix sparseSabrParameters_;
          QuantLib::Matrix denseSabrParameters_;
--- 101,105 ----
              return getVolCube(volCubeAtmCalibrated_);
          }
!       protected:
          QuantLib::Matrix sparseSabrParameters_;
          QuantLib::Matrix denseSabrParameters_;

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.39
retrieving revision 1.40
diff -C2 -d -r1.39 -r1.40
*** swaptionvolstructure.cpp	31 Oct 2006 11:04:43 -0000	1.39
--- swaptionvolstructure.cpp	2 Nov 2006 08:35:31 -0000	1.40
***************
*** 77,92 ****
          const std::vector<QuantLib::Spread>& strikeSpreads,
          const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
!         const QuantLib::Calendar& calendar,
! 		const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase)
      {
          QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
              QuantLib::SwaptionVolatilityCubeByLinear(atmVol,
!                                                  expiries,
!                                                  lengths,
!                                                  strikeSpreads,
!                                                  volSpreads,
!                                                  calendar,
! 												 swapIndexBase));
      }
  
--- 77,92 ----
          const std::vector<QuantLib::Spread>& strikeSpreads,
          const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
! 		const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase,
!         bool vegaWeightedSmileFit)
      {
          QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
              QuantLib::SwaptionVolatilityCubeByLinear(atmVol,
!                                                      expiries,
!                                                      lengths,
!                                                      strikeSpreads,
!                                                      volSpreads,
!                                                      swapIndexBase,
!                                                      vegaWeightedSmileFit));
      }
  
***************
*** 97,129 ****
          const std::vector<QuantLib::Spread>& strikeSpreads,
          const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
-         const QuantLib::Calendar& calendar,
  		const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase,
          const QuantLib::Matrix& parametersGuess,
          std::vector<bool> isParameterFixed,
!         bool isVegaWeighted,
!         bool isAtmCalibrated
!         ) {
          
!             libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!                 QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
!                                                  expiries,
!                                                  lengths,
!                                                  strikeSpreads,
!                                                  volSpreads,
!                                                  calendar,
! 												 swapIndexBase, 
!                                                  parametersGuess,
!                                                  isParameterFixed,
!                                                  isVegaWeighted,
!                                                  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();
      }
  
--- 97,126 ----
          const std::vector<QuantLib::Spread>& strikeSpreads,
          const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads,
  		const boost::shared_ptr<QuantLib::SwapIndex>& swapIndexBase,
+         bool vegaWeightedSmileFit,
          const QuantLib::Matrix& parametersGuess,
          std::vector<bool> isParameterFixed,
!         bool isAtmCalibrated)
!     {
          
!         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!             QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
!                                                    expiries,
!                                                    lengths,
!                                                    strikeSpreads,
!                                                    volSpreads,
!                                                    swapIndexBase,
!                                                    vegaWeightedSmileFit, 
!                                                    parametersGuess,
!                                                    isParameterFixed,
!                                                    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();
      }
  

Index: ratehelpers.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** ratehelpers.cpp	11 Oct 2006 11:46:31 -0000	1.10
--- ratehelpers.cpp	2 Nov 2006 08:35:31 -0000	1.11
***************
*** 24,33 ****
  #include <oh/objhandlerdefines.hpp>
  #include <qlo/ratehelpers.hpp>
- #include <qlo/typefactory.hpp>
  
  #include <ql/date.hpp>
- #include <ql/Math/cubicspline.hpp>
- #include <ql/TermStructures/discountcurve.hpp>
- #include <ql/TermStructures/forwardcurve.hpp>
  
  namespace QuantLibAddin {
--- 24,29 ----