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From: Giorgio F. <gi...@us...> - 2006-11-24 14:17:45
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1302/qlo Modified Files: swaptionvolstructure.cpp swaptionvolstructure.hpp Log Message: Index: swaptionvolstructure.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v retrieving revision 1.44 retrieving revision 1.45 diff -C2 -d -r1.44 -r1.45 *** swaptionvolstructure.cpp 24 Nov 2006 10:11:43 -0000 1.44 --- swaptionvolstructure.cpp 24 Nov 2006 14:17:36 -0000 1.45 *************** *** 46,51 **** SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, const QuantLib::DayCounter& dayCounter, --- 46,51 ---- SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, const QuantLib::DayCounter& dayCounter, *************** *** 53,58 **** libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityMatrix(calendar, ! expiries, ! tenors, vols, dayCounter, --- 53,58 ---- libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityMatrix(calendar, ! optionTenors, ! swapTenors, vols, dayCounter, *************** *** 74,79 **** SwaptionVolatilityCubeByLinear::SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 74,79 ---- SwaptionVolatilityCubeByLinear::SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 84,89 **** libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeByLinear(atmVol, ! expiries, ! lengths, strikeSpreads, volSpreads, --- 84,89 ---- libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeByLinear(atmVol, ! optionTenors, ! swapTenors, strikeSpreads, volSpreads, *************** *** 94,99 **** SwaptionVolatilityCubeBySabr::SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 94,99 ---- SwaptionVolatilityCubeBySabr::SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 107,112 **** libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, ! expiries, ! lengths, strikeSpreads, volSpreads, --- 107,112 ---- libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new QuantLib::SwaptionVolatilityCubeBySabr(atmVol, ! optionTenors, ! swapTenors, strikeSpreads, volSpreads, *************** *** 235,251 **** } - SmileSectionByCube::SmileSectionByCube( - const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, - const QuantLib::Period& expiry, - const QuantLib::Period& length){ - libraryObject_ = cube->smileSection(expiry,length); - } - - SmileSectionByCube::SmileSectionByCube( - const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, - const QuantLib::Date& expiry, - const QuantLib::Period& length){ - libraryObject_ = cube->smileSection(expiry,length); - } InterpolatedSmileSection::InterpolatedSmileSection( --- 235,238 ---- *************** *** 275,277 **** --- 262,279 ---- } + + SmileSectionByCube::SmileSectionByCube( + const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, + const QuantLib::Period& optionTenor, + const QuantLib::Period& swapTenors){ + libraryObject_ = cube->smileSection(optionTenor,swapTenors); + } + + SmileSectionByCube::SmileSectionByCube( + const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, + const QuantLib::Date& optionDate, + const QuantLib::Period& swapTenors){ + libraryObject_ = cube->smileSection(optionDate,swapTenors); + } + } Index: swaptionvolstructure.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** swaptionvolstructure.hpp 24 Nov 2006 10:11:43 -0000 1.39 --- swaptionvolstructure.hpp 24 Nov 2006 14:17:36 -0000 1.40 *************** *** 43,47 **** public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& expiries, const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, --- 43,47 ---- public: SwaptionVolatilityMatrix(const QuantLib::Calendar& calendar, ! const std::vector<QuantLib::Period>& optionTenors, const std::vector<QuantLib::Period>& tenors, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& vols, *************** *** 60,65 **** SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 60,65 ---- SwaptionVolatilityCubeByLinear( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 75,80 **** SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& expiries, ! const std::vector<QuantLib::Period>& lengths, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, --- 75,80 ---- SwaptionVolatilityCubeBySabr( const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol, ! const std::vector<QuantLib::Period>& optionTenors, ! const std::vector<QuantLib::Period>& swapTenors, const std::vector<QuantLib::Spread>& strikeSpreads, const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >& volSpreads, *************** *** 105,113 **** SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Period& expiry, const QuantLib::Period& length); SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Date& expiry, const QuantLib::Period& length); }; --- 105,113 ---- SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Period& optionTenors, const QuantLib::Period& length); SmileSectionByCube( const boost::shared_ptr<QuantLib::SwaptionVolatilityCube>& cube, ! const QuantLib::Date& optionDate, const QuantLib::Period& length); }; |
