Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4777
Modified Files:
capletvolstructure.cpp capletvolstructure.hpp
Log Message:
FloatingLeg Helper class has been removed, makeCapFloor is used instead
the following arguments have been removed:
capScheduleConvention, capScheduleFixingDays, calendar
since they are deduced by makeCapFloor
redudant includes pruned from test-suite\capsstripper.cpp
Index: capletvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** capletvolstructure.hpp 17 Nov 2006 09:21:36 -0000 1.5
--- capletvolstructure.hpp 17 Nov 2006 11:14:48 -0000 1.6
***************
*** 44,72 ****
class CapsStripper : public CapletVolatilityStructure {
public:
! 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);
! 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);
};
--- 44,66 ----
class CapsStripper : public CapletVolatilityStructure {
public:
! CapsStripper(const std::vector<QuantLib::Period>& tenors,
const std::vector<QuantLib::Rate>& strikes,
const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities,
const boost::shared_ptr<QuantLib::Xibor>& index,
const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
+ const QuantLib::DayCounter& dayCounter,
QuantLib::Real impliedVolatilityAccuracy,
QuantLib::Size maxEvaluations);
! CapsStripper(const std::vector<QuantLib::Period>& tenors,
! const std::vector<QuantLib::Rate>& strikes,
! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities,
! const boost::shared_ptr<QuantLib::Xibor>& index,
! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
! const QuantLib::DayCounter& dayCounter,
! QuantLib::Real impliedVolatilityAccuracy,
! QuantLib::Size maxEvaluations,
! boost::shared_ptr<QuantLib::SmileSectionsVolStructure>
! smileSectionsVolStructure);
};
Index: capletvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** capletvolstructure.cpp 17 Nov 2006 09:21:36 -0000 1.5
--- capletvolstructure.cpp 17 Nov 2006 11:14:48 -0000 1.6
***************
*** 35,77 ****
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)
{
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));
}
--- 35,71 ----
CapsStripper::CapsStripper(
! const std::vector<QuantLib::Period>& tenors,
! const std::vector<QuantLib::Rate>& strikes,
! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >&
! volatilities,
! const boost::shared_ptr<QuantLib::Xibor>& index,
! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
! const QuantLib::DayCounter& dayCounter,
! QuantLib::Real impliedVolatilityAccuracy,
! QuantLib::Size maxEvaluations)
{
libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
! QuantLib::CapsStripper(tenors, strikes, volatilities, index,
! yieldTermStructure, dayCounter, impliedVolatilityAccuracy,
! maxEvaluations));
}
CapsStripper::CapsStripper(
! const std::vector<QuantLib::Period>& tenors,
! const std::vector<QuantLib::Rate>& strikes,
! const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volatilities,
! const boost::shared_ptr<QuantLib::Xibor>& index,
! const QuantLib::Handle<QuantLib::YieldTermStructure> yieldTermStructure,
! const QuantLib::DayCounter& dayCounter,
! QuantLib::Real impliedVolatilityAccuracy,
! QuantLib::Size maxEvaluations,
! boost::shared_ptr<QuantLib::SmileSectionsVolStructure>
! smileSectionsVolStructure)
{
libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
! QuantLib::CapsStripper(tenors, strikes, volatilities, index,
! yieldTermStructure, dayCounter, impliedVolatilityAccuracy,
! maxEvaluations, smileSectionsVolStructure));
}
|