[QuantLibAddin-cvs] QuantLibAddin/qlo capletvolstructure.cpp, 1.4, 1.5 capletvolstructure.hpp, 1.4, 1.5

[Francois du V. <fd...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18214

Modified Files:
	capletvolstructure.cpp capletvolstructure.hpp 
Log Message:
new CapsStripper constructor provided
Smile Sections based CapletVolatilityStructure added

Index: capletvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** capletvolstructure.hpp	19 Oct 2006 15:05:40 -0000	1.4
--- capletvolstructure.hpp	17 Nov 2006 09:21:36 -0000	1.5
***************
*** 20,23 ****
--- 20,24 ----
  
  #include <oh/objhandler.hpp>
+ #include <ql/Volatilities/capletvolatilitiesstructures.hpp>
  #include <ql/capvolstructures.hpp>
  #include <qlo/termstructures.hpp>
***************
*** 25,28 ****
--- 26,37 ----
  namespace QuantLibAddin {
      
+     inline double qltest (boost::shared_ptr<QuantLib::SmileSectionInterface> t){
+         return QuantLib::test(t);
+     };
+ 
+     inline double qltest2(std::vector<boost::shared_ptr<QuantLib::SmileSectionInterface> > t){
+         return QuantLib::test2(t);
+     };
+ 
      class CapletVolatilityStructure : public TermStructure {};
  
***************
*** 43,48 ****
                       const QuantLib::DayCounter& dayCounter,
                       const boost::shared_ptr<QuantLib::Xibor>& index,
!                      const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure);
      };
  }
  
--- 52,83 ----
                       const QuantLib::DayCounter& dayCounter,
                       const boost::shared_ptr<QuantLib::Xibor>& index,
!                      const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
!                      QuantLib::Real impliedVolatilityAccuracy,
!                      QuantLib::Size maxEvaluations);
! 
!      CapsStripper(const QuantLib::Calendar & calendar,
!                      QuantLib::BusinessDayConvention convention,
!                      QuantLib::Integer fixingDays,
!                      const std::vector<QuantLib::Period>& tenors,
!                      const std::vector<QuantLib::Rate>& strikes,
!                      const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities,
!                      const QuantLib::DayCounter& dayCounter,
!                      const boost::shared_ptr<QuantLib::Xibor>& index,
!                      const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
!                      QuantLib::Real impliedVolatilityAccuracy,
!                      QuantLib::Size maxEvaluationsconst,
!                      boost::shared_ptr<QuantLib::SmileSectionsVolStructure>
!                      smileSectionsVolStructure);
      };
+ 
+     class SmileSectionsVolStructure: public CapletVolatilityStructure {
+       public:
+         SmileSectionsVolStructure(
+         const QuantLib::Date& referenceDate,
+         const QuantLib::DayCounter& dayCounter,
+         const QuantLib::SmileSectionInterfaceVector& smileSections);
+         
+         };
+ 
  }
  

Index: capletvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** capletvolstructure.cpp	19 Oct 2006 15:05:40 -0000	1.4
--- capletvolstructure.cpp	17 Nov 2006 09:21:36 -0000	1.5
***************
*** 43,54 ****
          const QuantLib::DayCounter& dayCounter,
          const boost::shared_ptr<QuantLib::Xibor>& index,
!         const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
              QuantLib::CapsStripper(calendar, convention, fixingDays,
              tenors, strikes, volatilities, dayCounter, index,
!             yieldTermStructure));
      }
  
  
  }
--- 43,89 ----
          const QuantLib::DayCounter& dayCounter,
          const boost::shared_ptr<QuantLib::Xibor>& index,
!         const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
!         QuantLib::Real impliedVolatilityAccuracy,
!         QuantLib::Size maxEvaluations)
      {
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
              QuantLib::CapsStripper(calendar, convention, fixingDays,
              tenors, strikes, volatilities, dayCounter, index,
!             yieldTermStructure, impliedVolatilityAccuracy, maxEvaluations));
      }
  
  
+  CapsStripper::CapsStripper(
+         const QuantLib::Calendar& calendar,
+         QuantLib::BusinessDayConvention convention,
+         QuantLib::Integer fixingDays,
+         const std::vector<QuantLib::Period>& tenors,
+         const std::vector<QuantLib::Rate>& strikes,
+         const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities,
+         const QuantLib::DayCounter& dayCounter,
+         const boost::shared_ptr<QuantLib::Xibor>& index,
+         const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
+         QuantLib::Real impliedVolatilityAccuracy,
+         QuantLib::Size maxEvaluations,
+         const boost::shared_ptr<QuantLib::SmileSectionsVolStructure>
+         smileSectionsVolStructure)
+     {
+         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
+             QuantLib::CapsStripper(calendar, convention, fixingDays,
+             tenors, strikes, volatilities, dayCounter, index,
+             yieldTermStructure, impliedVolatilityAccuracy, maxEvaluations,
+             smileSectionsVolStructure));
+     }
+ 
+ 
+     SmileSectionsVolStructure::SmileSectionsVolStructure(
+         const QuantLib::Date& referenceDate,
+         const QuantLib::DayCounter& dayCounter,
+         const QuantLib::SmileSectionInterfaceVector& smileSections){
+         libraryObject_ = 
+             boost::shared_ptr<QuantLib::SmileSectionsVolStructure>(new
+             QuantLib::SmileSectionsVolStructure(referenceDate,
+             dayCounter, smileSections));
+    }
+ 
  }