Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31049/qlo
Modified Files:
cmsmarket.cpp cmsmarket.hpp couponvectors.cpp
couponvectors.hpp enumclassctors.cpp enumclassctors.hpp
swap.cpp swap.hpp typefactory.hpp
Log Message:
cms pricer
Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.29
retrieving revision 1.30
diff -C2 -d -r1.29 -r1.30
*** couponvectors.hpp 14 Nov 2006 12:09:43 -0000 1.29
--- couponvectors.hpp 21 Nov 2006 08:11:40 -0000 1.30
***************
*** 38,42 ****
std::vector<std::vector<boost::any> > analysis() const;
const Leg& getVector();
! protected:
Leg cashFlowVector_;
};
--- 38,42 ----
std::vector<std::vector<boost::any> > analysis() const;
const Leg& getVector();
! protected:
Leg cashFlowVector_;
};
***************
*** 75,80 ****
class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> {
public:
! VanillaCMSCouponPricer(const std::string &typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject()
{
--- 75,82 ----
class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> {
public:
! VanillaCMSCouponPricer(const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion);
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject()
{
***************
*** 83,90 ****
};
! class ConundrumPricer : public VanillaCMSCouponPricer {
! public:
! ConundrumPricer(const std::string &typeOfVanillaCMSCouponPricer);
! };
class CMSCouponVector : public CashFlowStream {
--- 85,96 ----
};
! //class ConundrumPricer : public VanillaCMSCouponPricer {
! // public:
! // ConundrumPricer(
! // const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! // const std::string & typeOfVanillaCMSCouponPricer,
! // const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! // QuantLib::Real meanReversion);
! //};
class CMSCouponVector : public CashFlowStream {
***************
*** 101,108 ****
const std::vector<QuantLib::Real>& caps,
const std::vector<QuantLib::Real>& floors,
! const std::vector<QuantLib::Real>& meanReversions,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
};
--- 107,111 ----
const std::vector<QuantLib::Real>& caps,
const std::vector<QuantLib::Real>& floors,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer);
};
***************
*** 120,127 ****
const std::vector<QuantLib::Real>& caps,
const std::vector<QuantLib::Real>& floors,
! const std::vector<QuantLib::Real>& meanReversions,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
};
--- 123,127 ----
const std::vector<QuantLib::Real>& caps,
const std::vector<QuantLib::Real>& floors,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer);
};
***************
*** 139,146 ****
const std::vector<QuantLib::Real>& caps,
const std::vector<QuantLib::Real>& floors,
! const std::vector<QuantLib::Real>& meanReversions,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
};
--- 139,143 ----
const std::vector<QuantLib::Real>& caps,
const std::vector<QuantLib::Real>& floors,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer);
};
Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.41
retrieving revision 1.42
diff -C2 -d -r1.41 -r1.42
*** couponvectors.cpp 14 Nov 2006 12:09:43 -0000 1.41
--- couponvectors.cpp 21 Nov 2006 08:11:40 -0000 1.42
***************
*** 100,108 ****
VanillaCMSCouponPricer::VanillaCMSCouponPricer(
! const std::string &typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve)
{
libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >()
! (typeOfVanillaCMSCouponPricer,modelOfYieldCurve);
}
--- 100,110 ----
VanillaCMSCouponPricer::VanillaCMSCouponPricer(
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion)
{
libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >()
! (typeOfVanillaCMSCouponPricer,vol,modelOfYieldCurve, meanReversion);
}
***************
*** 118,128 ****
const std::vector<QuantLib::Rate>& caps,
const std::vector<QuantLib::Rate>& floors,
! const std::vector<QuantLib::Real>& meanReversions,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve)
{
- VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve);
- boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject();
cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
paymentAdjustment,
--- 120,125 ----
const std::vector<QuantLib::Rate>& caps,
const std::vector<QuantLib::Rate>& floors,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer)
{
cashFlowVector_ = QuantLib::CMSCouponVector(*schedule,
paymentAdjustment,
***************
*** 135,141 ****
caps,
floors,
! meanReversions,
! pricer,
! vol);
}
--- 132,136 ----
caps,
floors,
! pricer);
}
***************
*** 151,161 ****
const std::vector<QuantLib::Rate>& caps,
const std::vector<QuantLib::Rate>& floors,
! const std::vector<QuantLib::Real>& meanReversions,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve)
{
- VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve);
- boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject();
cashFlowVector_ = QuantLib::CMSZeroCouponVector(*schedule,
paymentAdjustment,
--- 146,151 ----
const std::vector<QuantLib::Rate>& caps,
const std::vector<QuantLib::Rate>& floors,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer)
{
cashFlowVector_ = QuantLib::CMSZeroCouponVector(*schedule,
paymentAdjustment,
***************
*** 168,174 ****
caps,
floors,
! meanReversions,
! pricer,
! vol);
}
--- 158,162 ----
caps,
floors,
! pricer);
}
***************
*** 185,195 ****
const std::vector<QuantLib::Rate>& caps,
const std::vector<QuantLib::Rate>& floors,
! const std::vector<QuantLib::Real>& meanReversions,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve)
{
- VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve);
- boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject();
cashFlowVector_ = QuantLib::CMSInArrearsCouponVector(*schedule,
paymentAdjustment,
--- 173,178 ----
const std::vector<QuantLib::Rate>& caps,
const std::vector<QuantLib::Rate>& floors,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer)
{
cashFlowVector_ = QuantLib::CMSInArrearsCouponVector(*schedule,
paymentAdjustment,
***************
*** 202,208 ****
caps,
floors,
! meanReversions,
! pricer,
! vol);
}
--- 185,189 ----
caps,
floors,
! pricer);
}
Index: cmsmarket.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.hpp,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** cmsmarket.hpp 14 Nov 2006 11:18:24 -0000 1.9
--- cmsmarket.hpp 21 Nov 2006 08:11:40 -0000 1.10
***************
*** 37,45 ****
const std::vector< boost::shared_ptr<QuantLib::SwapIndex> >& swapIndices,
const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& bidAskSpreads,
- const QuantLib::Matrix& meanReversions,
const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volStructure,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
const std::vector<std::vector<boost::any> > getCmsMarket()
--- 37,42 ----
const std::vector< boost::shared_ptr<QuantLib::SwapIndex> >& swapIndices,
const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& bidAskSpreads,
const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure,
! const std::vector< boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >& pricers);
const std::vector<std::vector<boost::any> > getCmsMarket()
Index: cmsmarket.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/cmsmarket.cpp,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** cmsmarket.cpp 14 Nov 2006 11:18:24 -0000 1.13
--- cmsmarket.cpp 21 Nov 2006 08:11:40 -0000 1.14
***************
*** 31,42 ****
const std::vector< boost::shared_ptr<QuantLib::SwapIndex> >& swapIndices,
const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& bidAskSpreads,
- const QuantLib::Matrix& meanReversions,
const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& volStructure,
! const std::string & typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) {
!
! VanillaCMSCouponPricer vanillaCMSCouponPricer(typeOfVanillaCMSCouponPricer,modelOfYieldCurve);
! boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer = vanillaCMSCouponPricer.underlyingObject();
libraryObject_ = boost::shared_ptr<QuantLib::CmsMarket>(
--- 31,36 ----
const std::vector< boost::shared_ptr<QuantLib::SwapIndex> >& swapIndices,
const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& bidAskSpreads,
const QuantLib::Handle<QuantLib::YieldTermStructure>& yieldTermStructure,
! const std::vector< boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >& pricers) {
libraryObject_ = boost::shared_ptr<QuantLib::CmsMarket>(
***************
*** 44,52 ****
expiries,
swapIndices,
! bidAskSpreads,
! meanReversions,
! pricer,
! yieldTermStructure,
! volStructure));
cmsMarket_ = libraryObject_->browse();
}
--- 38,44 ----
expiries,
swapIndices,
! bidAskSpreads,
! pricers,
! yieldTermStructure));
cmsMarket_ = libraryObject_->browse();
}
***************
*** 54,58 ****
std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket){
std::vector<std::vector<boost::any> > result;
! QuantLib::Size numberOfColumn = 18;
std::vector<boost::any> headings(numberOfColumn);
--- 46,50 ----
std::vector<std::vector<boost::any> > browseCmsMarket(QuantLib::Matrix & cmsMarket){
std::vector<std::vector<boost::any> > result;
! QuantLib::Size numberOfColumn = 19;
std::vector<boost::any> headings(numberOfColumn);
***************
*** 65,79 ****
headings[5]=std::string("Implied (bps)");
headings[6]=std::string("Error (bps)");
! headings[7]=std::string("Overreach bid/ask");
! headings[8]=std::string("Market bid Price Cms Leg");
headings[9]=std::string("Market ask Price Cms Leg");
headings[10]=std::string("Market mid Price Cms Leg");
headings[11]=std::string("Model Price Cms Leg");
headings[12]=std::string("Price Error");
! headings[13]=std::string("Market bid Price Forward Cms Leg");
headings[14]=std::string("Market ask Price Forward Cms Leg");
headings[15]=std::string("Market mid Price Forward Cms Leg");
headings[16]=std::string("Model Price Forward Cms Leg");
headings[17]=std::string("Forward Price Error");
result.push_back(headings);
--- 57,75 ----
headings[5]=std::string("Implied (bps)");
headings[6]=std::string("Error (bps)");
! headings[7]=std::string("Overreach bid/ask");
!
! headings[8]=std::string("Market bid Price Cms Leg");
headings[9]=std::string("Market ask Price Cms Leg");
headings[10]=std::string("Market mid Price Cms Leg");
headings[11]=std::string("Model Price Cms Leg");
headings[12]=std::string("Price Error");
!
! headings[13]=std::string("Market bid Price Forward Cms Leg");
headings[14]=std::string("Market ask Price Forward Cms Leg");
headings[15]=std::string("Market mid Price Forward Cms Leg");
headings[16]=std::string("Model Price Forward Cms Leg");
headings[17]=std::string("Forward Price Error");
+
+ headings[18]=std::string("Mean reversion");
result.push_back(headings);
Index: enumclassctors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.hpp,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** enumclassctors.hpp 13 Nov 2006 09:35:40 -0000 1.27
--- enumclassctors.hpp 21 Nov 2006 08:11:40 -0000 1.28
***************
*** 160,167 ****
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>
CONUNDRUM_BY_BLACK_Pricer(
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve );
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>
CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer(
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve );
/* *** Index *** */
--- 160,171 ----
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>
CONUNDRUM_BY_BLACK_Pricer(
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion);
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>
CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer(
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion );
/* *** Index *** */
Index: typefactory.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/typefactory.hpp,v
retrieving revision 1.47
retrieving revision 1.48
diff -C2 -d -r1.47 -r1.48
*** typefactory.hpp 13 Nov 2006 09:35:40 -0000 1.47
--- typefactory.hpp 21 Nov 2006 08:11:40 -0000 1.48
***************
*** 233,237 ****
/* *** VanillaCMSCouponPricer *** */
typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)(
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve);
template<>
--- 233,239 ----
/* *** VanillaCMSCouponPricer *** */
typedef boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(*VanillaCMSCouponPricerConstructor)(
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion);
template<>
***************
*** 241,248 ****
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() (
const std::string& vanillaCMSCouponPricerID,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) {
VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor =
(VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID));
! return vanillaCMSCouponPricerConstructor(modelOfYieldCurve);
}
};
--- 243,252 ----
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> operator() (
const std::string& vanillaCMSCouponPricerID,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion) {
VanillaCMSCouponPricerConstructor vanillaCMSCouponPricerConstructor =
(VanillaCMSCouponPricerConstructor)(getType(vanillaCMSCouponPricerID));
! return vanillaCMSCouponPricerConstructor(swaptionVol,modelOfYieldCurve, meanReversion);
}
};
Index: swap.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.cpp,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** swap.cpp 6 Nov 2006 10:29:41 -0000 1.17
--- swap.cpp 21 Nov 2006 08:11:40 -0000 1.18
***************
*** 56,72 ****
const boost::shared_ptr<QuantLib::SwapIndex>& swapIndex,
const QuantLib::Spread iborSpread,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string& typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! const QuantLib::Real meanReversion,
! //const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer,
const QuantLib::Period& forwardStart)
{
- VanillaCMSCouponPricer vanillaCMSCouponPricer(
- typeOfVanillaCMSCouponPricer, modelOfYieldCurve);
- boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> pricer =
- vanillaCMSCouponPricer.underlyingObject();
libraryObject_ = QuantLib::MakeCMS(swapTenor, swapIndex, iborSpread,
! vol, meanReversion, pricer, forwardStart).operator
boost::shared_ptr<QuantLib::Swap>();
}
--- 56,64 ----
const boost::shared_ptr<QuantLib::SwapIndex>& swapIndex,
const QuantLib::Spread iborSpread,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer,
const QuantLib::Period& forwardStart)
{
libraryObject_ = QuantLib::MakeCMS(swapTenor, swapIndex, iborSpread,
! pricer, forwardStart).operator
boost::shared_ptr<QuantLib::Swap>();
}
Index: enumclassctors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/enumclassctors.cpp,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** enumclassctors.cpp 16 Nov 2006 14:00:25 -0000 1.31
--- enumclassctors.cpp 21 Nov 2006 08:11:40 -0000 1.32
***************
*** 349,360 ****
//VanillaCMSCouponPricer
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer(
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve){
return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(
! new QuantLib::ConundrumPricerByBlack(modelOfYieldCurve));
};
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer(
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve ){
return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(
! new QuantLib::ConundrumPricerByNumericalIntegration(modelOfYieldCurve));
};
--- 349,364 ----
//VanillaCMSCouponPricer
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_BLACK_Pricer(
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion){
return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(
! new QuantLib::ConundrumPricerByBlack(swaptionVol, modelOfYieldCurve, meanReversion));
};
boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer(
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& swaptionVol,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! QuantLib::Real meanReversion ){
return boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>(
! new QuantLib::ConundrumPricerByNumericalIntegration(swaptionVol, modelOfYieldCurve, meanReversion));
};
Index: swap.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swap.hpp,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** swap.hpp 6 Nov 2006 10:29:41 -0000 1.14
--- swap.hpp 21 Nov 2006 08:11:40 -0000 1.15
***************
*** 40,48 ****
const boost::shared_ptr<QuantLib::SwapIndex>& swapIndex,
const QuantLib::Spread iborSpread,
! const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
! const std::string& typeOfVanillaCMSCouponPricer,
! const QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
! const QuantLib::Real meanReversion,
! //const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer,
const QuantLib::Period& forwardStart);
--- 40,44 ----
const boost::shared_ptr<QuantLib::SwapIndex>& swapIndex,
const QuantLib::Spread iborSpread,
! const boost::shared_ptr<QuantLib::VanillaCMSCouponPricer>& pricer,
const QuantLib::Period& forwardStart);
|