[QuantLibAddin-cvs] QuantLibAddin/qlo marketmodels.cpp, 1.26, 1.27 marketmodels.hpp, 1.23, 1.24

[Marco B. <mar...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12162/qlo

Modified Files:
	marketmodels.cpp marketmodels.hpp 
Log Message:
Work in progress on SwapCovarianceApproximator.
test to be finished
swapCovarianceMatrix exported to QlAddin

Index: marketmodels.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.hpp,v
retrieving revision 1.23
retrieving revision 1.24
diff -C2 -d -r1.23 -r1.24
*** marketmodels.hpp	6 Nov 2006 16:46:39 -0000	1.23
--- marketmodels.hpp	7 Nov 2006 20:21:27 -0000	1.24
***************
*** 106,119 ****
      };
  
!   //  class SwapCovarianceApproximator : public ObjHandler::LibraryObject<
!   //      QuantLib::SwapCovarianceApproximator> {
!   //    public:
!   //      SwapCovarianceApproximator(const QuantLib::CurveState& initialCurveState,
!   //                                 QuantLib::Size expiry,
!   //                                 QuantLib::Size maturity,
!   //                                 QuantLib::Spread displacement,
!   //                                 const QuantLib::Matrix& forwardCovarianceMatrix);
! 		//QuantLib::Disposable<Matrix> swapCovarianceMatrix();
!   //  };
  
      class MarketModelMultiProduct : public ObjHandler::LibraryObject<
--- 106,119 ----
      };
  
!     class SwapCovarianceApproximator : public ObjHandler::LibraryObject<
!         QuantLib::SwapCovarianceApproximator> {
!       public:
!         SwapCovarianceApproximator(const QuantLib::CurveState& initialCurveState,
!                                    QuantLib::Size expiry,
!                                    QuantLib::Size maturity,
!                                    QuantLib::Spread displacement,
!                                    const QuantLib::Matrix& forwardCovarianceMatrix);
! 		QuantLib::Disposable<QuantLib::Matrix> swapCovarianceMatrix();
!     };
  
      class MarketModelMultiProduct : public ObjHandler::LibraryObject<

Index: marketmodels.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/marketmodels.cpp,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** marketmodels.cpp	6 Nov 2006 16:46:39 -0000	1.26
--- marketmodels.cpp	7 Nov 2006 20:21:27 -0000	1.27
***************
*** 55,64 ****
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModel>(
              new QuantLib::ExpCorrFlatVol(longTermCorr,
!                                                  beta,
!                                                  volatilities,
!                                                  evolution,
!                                                  numberOfFactors,
!                                                  initialRates,
!                                                  displacements));
      }
  
--- 55,64 ----
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModel>(
              new QuantLib::ExpCorrFlatVol(longTermCorr,
!                                          beta,
!                                          volatilities,
!                                          evolution,
!                                          numberOfFactors,
!                                          initialRates,
!                                          displacements));
      }
  
***************
*** 127,149 ****
      }
  
!     //SwapCovarianceApproximator::SwapCovarianceApproximator(
!     //                            const QuantLib::CurveState& initialCurveState,
!     //                            QuantLib::Size expiry,
!     //                            QuantLib::Size maturity,
!     //                            QuantLib::Spread displacement,
!     //                            const QuantLib::Matrix& forwardCovarianceMatrix)
!     //: size_(taus.size())
!     //{
!     //    libraryObject_ = boost::shared_ptr<QuantLib::SwapCovarianceApproximator>(
!     //        new QuantLib::SwapCovarianceApproximator(
!     //                        initialCurveState, expiry,maturity, displacement, 
!     //                        forwardCovarianceMatrix));
!     //}
  
!     //QuantLib::Disposable<Matrix> SwapCovarianceApproximator::swapCovarianceMatrix()
!     //    {
!     //    libraryObject_->compute(forwards, results);
!     //    return results;
!     //}
  
      OneStepForwards::OneStepForwards(
--- 127,149 ----
      }
  
!     SwapCovarianceApproximator::SwapCovarianceApproximator(
!                                 const QuantLib::CurveState& initialCurveState,
!                                 QuantLib::Size expiry,
!                                 QuantLib::Size maturity,
!                                 QuantLib::Spread displacement,
!                                 const QuantLib::Matrix& forwardCovarianceMatrix)
!     {
!         libraryObject_ = boost::shared_ptr<QuantLib::SwapCovarianceApproximator>(
!             new QuantLib::SwapCovarianceApproximator(
!                             initialCurveState, expiry,maturity, displacement, 
!                             forwardCovarianceMatrix));
!     }
  
!     QuantLib::Disposable<QuantLib::Matrix> SwapCovarianceApproximator::swapCovarianceMatrix()
!         {
!         QuantLib::Matrix result;
!         libraryObject_->swapCovarianceMatrix();
!         return result;
!     }
  
      OneStepForwards::OneStepForwards(
***************
*** 155,159 ****
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelMultiProduct>(
              new QuantLib::OneStepForwards(rateTimes, accruals,
!                                               paymentTimes, strikes));
      }
  
--- 155,159 ----
          libraryObject_ = boost::shared_ptr<QuantLib::MarketModelMultiProduct>(
              new QuantLib::OneStepForwards(rateTimes, accruals,
!                                           paymentTimes, strikes));
      }