Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25185/qlo
Modified Files:
swaptionvolstructure.cpp swaptionvolstructure.hpp
Log Message:
SwaptionVolMatrix refactored
Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.40
retrieving revision 1.41
diff -C2 -d -r1.40 -r1.41
*** swaptionvolstructure.cpp 2 Nov 2006 08:35:31 -0000 1.40
--- swaptionvolstructure.cpp 2 Nov 2006 13:45:20 -0000 1.41
***************
*** 44,60 ****
}
! SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(const std::vector<QuantLib::Period>& expiries,
! const QuantLib::Calendar& calendar,
! const QuantLib::BusinessDayConvention bdc,
! const std::vector<QuantLib::Period>& tenors,
! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols,
! const QuantLib::DayCounter& dayCounter) {
libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
! new QuantLib::SwaptionVolatilityMatrix(expiries,
! calendar,
! bdc,
tenors,
vols,
! dayCounter));
}
--- 44,61 ----
}
! SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
! const QuantLib::Calendar& calendar,
! const std::vector<QuantLib::Period>& expiries,
! const std::vector<QuantLib::Period>& tenors,
! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols,
! const QuantLib::DayCounter& dayCounter,
! const QuantLib::BusinessDayConvention bdc) {
libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
! new QuantLib::SwaptionVolatilityMatrix(calendar,
! expiries,
tenors,
vols,
! dayCounter,
! bdc));
}
Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.35
retrieving revision 1.36
diff -C2 -d -r1.35 -r1.36
*** swaptionvolstructure.hpp 2 Nov 2006 08:35:31 -0000 1.35
--- swaptionvolstructure.hpp 2 Nov 2006 13:45:20 -0000 1.36
***************
*** 42,51 ****
class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure {
public:
! SwaptionVolatilityMatrix(const std::vector<QuantLib::Period>& expiries,
! const QuantLib::Calendar& calendar,
! const QuantLib::BusinessDayConvention bdc,
const std::vector<QuantLib::Period>& tenors,
const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols,
! const QuantLib::DayCounter& dayCounter);
std::vector<long> locate(const QuantLib::Date& d,
const QuantLib::Period& p);
--- 42,51 ----
class SwaptionVolatilityMatrix : public SwaptionVolatilityStructure {
public:
! SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar,
! const std::vector<QuantLib::Period>& expiries,
const std::vector<QuantLib::Period>& tenors,
const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols,
! const QuantLib::DayCounter& dayCounter,
! const QuantLib::BusinessDayConvention bdc);
std::vector<long> locate(const QuantLib::Date& d,
const QuantLib::Period& p);
|