[QuantLibAddin-cvs] QuantLibAddin/qlo couponvectors.cpp, 1.42, 1.43 couponvectors.hpp, 1.30, 1.31 swaptionvolstructure.cpp, 1.42, 1.43 swaptionvolstructure.hpp, 1.37, 1.38

[Giorgio F. <gi...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31111/qlo

Modified Files:
	couponvectors.cpp couponvectors.hpp swaptionvolstructure.cpp 
	swaptionvolstructure.hpp 
Log Message:


Index: couponvectors.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.hpp,v
retrieving revision 1.30
retrieving revision 1.31
diff -C2 -d -r1.30 -r1.31
*** couponvectors.hpp	21 Nov 2006 08:11:40 -0000	1.30
--- couponvectors.hpp	24 Nov 2006 09:17:24 -0000	1.31
***************
*** 74,86 ****
  
      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()
!         {
!             return libraryObject_;
!         }
      };
  
--- 74,85 ----
  
      class VanillaCMSCouponPricer:public ObjHandler::LibraryObject<QuantLib::VanillaCMSCouponPricer> {
!       public:
          VanillaCMSCouponPricer(const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& vol,
!                                const std::string& typeOfVanillaCMSCouponPricer,
!                                QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
!                                QuantLib::Real meanReversion);
!         //boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> underlyingObject() {
!         //    return libraryObject_;
!         //}
      };
  

Index: couponvectors.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/couponvectors.cpp,v
retrieving revision 1.42
retrieving revision 1.43
diff -C2 -d -r1.42 -r1.43
*** couponvectors.cpp	21 Nov 2006 08:11:40 -0000	1.42
--- couponvectors.cpp	24 Nov 2006 09:17:24 -0000	1.43
***************
*** 69,78 ****
  
      FixedRateCouponVector::FixedRateCouponVector(
!             const boost::shared_ptr<QuantLib::Schedule>& schedule,
!             const QuantLib::BusinessDayConvention& convention,
!             const std::vector<double>& nominals,
!             const std::vector<double>& couponRates,
!             const QuantLib::DayCounter& dayCount)
!     {
          cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule,
                                                            convention,
--- 69,77 ----
  
      FixedRateCouponVector::FixedRateCouponVector(
!                     const boost::shared_ptr<QuantLib::Schedule>& schedule,
!                     const QuantLib::BusinessDayConvention& convention,
!                     const std::vector<double>& nominals,
!                     const std::vector<double>& couponRates,
!                     const QuantLib::DayCounter& dayCount) {
          cashFlowVector_ = QuantLib::FixedRateCouponVector(*schedule,
                                                            convention,
***************
*** 83,93 ****
  
      FloatingRateCouponVector::FloatingRateCouponVector(
!             const boost::shared_ptr<QuantLib::Schedule>& schedule,
!             const std::vector<double>& nominals,
!             const std::vector<QuantLib::Real>& gearings,
!             const boost::shared_ptr<QuantLib::Xibor>& index,
!             const std::vector<QuantLib::Spread>& spreads) {
! 
!         cashFlowVector_ =
              QuantLib::FloatingRateCouponVector(*schedule,
                                                 index->businessDayConvention(),
--- 82,91 ----
  
      FloatingRateCouponVector::FloatingRateCouponVector(
!                     const boost::shared_ptr<QuantLib::Schedule>& schedule,
!                     const std::vector<double>& nominals,
!                     const std::vector<QuantLib::Real>& gearings,
!                     const boost::shared_ptr<QuantLib::Xibor>& index,
!                     const std::vector<QuantLib::Spread>& spreads) {
!         cashFlowVector_ = 
              QuantLib::FloatingRateCouponVector(*schedule,
                                                 index->businessDayConvention(),
***************
*** 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);
      }
  
--- 98,107 ----
  
      VanillaCMSCouponPricer::VanillaCMSCouponPricer(
!             const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& v,
!             const std::string& typeOfVanillaCMSCouponPricer,
!             QuantLib::GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve,
!             QuantLib::Real meanReversion) {
          libraryObject_ = Create<boost::shared_ptr<QuantLib::VanillaCMSCouponPricer> >()
!             (typeOfVanillaCMSCouponPricer, v, modelOfYieldCurve, meanReversion);
      }
  

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.42
retrieving revision 1.43
diff -C2 -d -r1.42 -r1.43
*** swaptionvolstructure.cpp	22 Nov 2006 10:58:43 -0000	1.42
--- swaptionvolstructure.cpp	24 Nov 2006 09:17:24 -0000	1.43
***************
*** 35,45 ****
  	SwaptionConstantVolatility::SwaptionConstantVolatility(
          const QuantLib::Date& referenceDate,
!         const double volatility,
          const QuantLib::DayCounter& dayCounter)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!             new QuantLib::SwaptionConstantVolatility(referenceDate,
!                                                      volatility,
!                                                      dayCounter));
  	}
  
--- 35,45 ----
  	SwaptionConstantVolatility::SwaptionConstantVolatility(
          const QuantLib::Date& referenceDate,
!         const QuantLib::Handle<QuantLib::Quote>& vol,
          const QuantLib::DayCounter& dayCounter)
      {
!         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!             QuantLib::SwaptionConstantVolatility(referenceDate,
!                                                  vol,
!                                                  dayCounter));
  	}
  
***************
*** 51,66 ****
              const QuantLib::DayCounter& dayCounter,
              const QuantLib::BusinessDayConvention bdc) {
!         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
!             new QuantLib::SwaptionVolatilityMatrix(calendar,
!                                                    expiries,
!                                                    tenors,
!                                                    vols,
!                                                    dayCounter,
!                                                    bdc));
      }
  
      std::vector<long> SwaptionVolatilityMatrix::locate(
!         const QuantLib::Date& d, const QuantLib::Period& p)
!     {
          std::pair<QuantLib::Size, QuantLib::Size> indexes =
              boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityMatrix>(
--- 51,66 ----
              const QuantLib::DayCounter& dayCounter,
              const QuantLib::BusinessDayConvention bdc) {
!         libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!             QuantLib::SwaptionVolatilityMatrix(calendar,
!                                                expiries,
!                                                tenors,
!                                                vols,
!                                                dayCounter,
!                                                bdc));
      }
  
      std::vector<long> SwaptionVolatilityMatrix::locate(
!                                                 const QuantLib::Date& d,
!                                                 const QuantLib::Period& p) {
          std::pair<QuantLib::Size, QuantLib::Size> indexes =
              boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityMatrix>(
***************
*** 101,108 ****
          bool vegaWeightedSmileFit,
          const QuantLib::Matrix& parametersGuess,
!         std::vector<bool> isParameterFixed,
          bool isAtmCalibrated)
      {
!         
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
              QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
--- 101,108 ----
          bool vegaWeightedSmileFit,
          const QuantLib::Matrix& parametersGuess,
!         const std::vector<bool>& isParameterFixed,
          bool isAtmCalibrated)
      {
!         QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
              QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
***************
*** 116,127 ****
                                                     isParameterFixed,
                                                     isAtmCalibrated));
!             
!         const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr> 
!         volCube = boost::dynamic_pointer_cast<QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
          
!         sparseSabrParameters_ = volCube->sparseSabrParameters();
!         denseSabrParameters_ = volCube->denseSabrParameters();
!         marketVolCube_ = volCube->marketVolCube();
!         volCubeAtmCalibrated_ = volCube->volCubeAtmCalibrated();
      }
  
--- 116,152 ----
                                                     isParameterFixed,
                                                     isAtmCalibrated));
!     }
! 
!     std::vector<std::vector<boost::any> >
!     SwaptionVolatilityCubeBySabr::getSparseSabrParameters() {
!         const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>&
!             volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
          
!         return getSabrParameters(volCube->sparseSabrParameters());
!     }
! 
!     std::vector<std::vector<boost::any> >
!     SwaptionVolatilityCubeBySabr::getDenseSabrParameters() {
!         const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>&
!             volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
!         return getSabrParameters(volCube->denseSabrParameters());
!     }
! 
!     std::vector<std::vector<boost::any> >
!     SwaptionVolatilityCubeBySabr::getMarketVolCube() {
!         const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>&
!             volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
!         return getVolCube(volCube->marketVolCube());
!     }
! 
!     std::vector<std::vector<boost::any> >
!     SwaptionVolatilityCubeBySabr::getVolCubeAtmCalibrated() {
!         const boost::shared_ptr<QuantLib::SwaptionVolatilityCubeBySabr>&
!             volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolatilityCubeBySabr>(libraryObject_);
!         return getVolCube(volCube->volCubeAtmCalibrated());
      }
  
***************
*** 225,250 ****
  
      InterpolatedSmileSection::InterpolatedSmileSection(
!         double expiryTime,
!         const std::vector<double>& strikes,
!         const std::vector<double>& volatilities){
!              libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>(
!                 new QuantLib::InterpolatedSmileSection(expiryTime,
!                                            strikes,
!                                            volatilities));
!     }
  
!     InterpolatedSmileSection::InterpolatedSmileSection(
!         double expiryTime,
!         double flatVolatility){
!               int n = 5;
!               std::vector<double> fictitiousStrikes;
!               for(int i=0; i<n; i++){
!                   fictitiousStrikes.push_back(.01+.001*i);                
!               }
!               const std::vector<double> volatilities = std::vector<double>(n, flatVolatility);
!               libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>(
!                 new QuantLib::InterpolatedSmileSection(expiryTime,
!                                            fictitiousStrikes,
!                                            volatilities));
      }
  
--- 250,276 ----
  
      InterpolatedSmileSection::InterpolatedSmileSection(
!                                 const QuantLib::Date& optionDate,
!                                 const QuantLib::DayCounter& dc,
!                                 const std::vector<QuantLib::Rate>& s,
!                                 const std::vector<QuantLib::Volatility>& v) {
  
!         if (s.size()==1 && v.size()==1) {
!             std::vector<QuantLib::Rate> strikes(2, 0.0);
!             strikes[1]=1.0;
!             std::vector<QuantLib::Volatility> vols(2, v[0]);
!             libraryObject_ = boost::shared_ptr<
!                 QuantLib::SmileSectionInterface>(new
!                     QuantLib::InterpolatedSmileSection(optionDate,
!                                                        dc,
!                                                        strikes,
!                                                        vols));
!         } else {
!             libraryObject_ = boost::shared_ptr<
!                 QuantLib::SmileSectionInterface>(new
!                     QuantLib::InterpolatedSmileSection(optionDate,
!                                                        dc,
!                                                        s,
!                                                        v));
!         }
      }
  

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.37
retrieving revision 1.38
diff -C2 -d -r1.37 -r1.38
*** swaptionvolstructure.hpp	22 Nov 2006 10:58:43 -0000	1.37
--- swaptionvolstructure.hpp	24 Nov 2006 09:17:24 -0000	1.38
***************
*** 36,41 ****
  	public:
        SwaptionConstantVolatility(const QuantLib::Date& referenceDate,
!                                  const double volatility,
!                                  const QuantLib::DayCounter& dayCounter);
      };
  
--- 36,41 ----
  	public:
        SwaptionConstantVolatility(const QuantLib::Date& referenceDate,
!                                  const QuantLib::Handle<QuantLib::Quote>&,
! 								 const QuantLib::DayCounter& dayCounter);
      };
  
***************
*** 82,109 ****
              bool vegaWeightedSmileFit,
              const QuantLib::Matrix& parametersGuess,
!             std::vector<bool> isParameterFixed,
              bool isAtmCalibrated);
! 
!         const std::vector<std::vector<boost::any> > getSparseSabrParameters()
!         {
!             return getSabrParameters(sparseSabrParameters_);
!         }
!         const std::vector<std::vector<boost::any> > getDenseSabrParameters()
!         {
!             return getSabrParameters(denseSabrParameters_);
!         }
!         const std::vector<std::vector<boost::any> > getMarketVolCube()
!         {
!             return getVolCube(marketVolCube_);
!         }
!         const std::vector<std::vector<boost::any> > getVolCubeAtmCalibrated()
!         {
!             return getVolCube(volCubeAtmCalibrated_);
!         }
!       protected:
!         QuantLib::Matrix sparseSabrParameters_;
!         QuantLib::Matrix denseSabrParameters_;
!         QuantLib::Matrix marketVolCube_;
!         QuantLib::Matrix volCubeAtmCalibrated_;
      };
  
--- 82,91 ----
              bool vegaWeightedSmileFit,
              const QuantLib::Matrix& parametersGuess,
!             const std::vector<bool>& isParameterFixed,
              bool isAtmCalibrated);
!         std::vector<std::vector<boost::any> > getSparseSabrParameters();
!         std::vector<std::vector<boost::any> > getDenseSabrParameters();
!         std::vector<std::vector<boost::any> > getMarketVolCube();
!         std::vector<std::vector<boost::any> > getVolCubeAtmCalibrated();
      };
  
***************
*** 113,123 ****
      class InterpolatedSmileSection : public SmileSectionInterface {
  	 public:
!         InterpolatedSmileSection(
!             double expiryTime,
!             const std::vector<double>& strikes,
!             const std::vector<double>& volatilities);
!         InterpolatedSmileSection(
!             double expiryTime,
!             double flatVolatility);
      };
  
--- 95,102 ----
      class InterpolatedSmileSection : public SmileSectionInterface {
  	 public:
!         InterpolatedSmileSection(const QuantLib::Date& optionDate,
!                                  const QuantLib::DayCounter& dc,
!                                  const std::vector<QuantLib::Rate>& strikes,
!                                  const std::vector<QuantLib::Volatility>& v);
      };
  
***************
*** 133,137 ****
              const QuantLib::Period& length);
      };
-    
  }
  
--- 112,115 ----