[QuantLibAddin-cvs] QuantLibAddin/qlo smilesection.cpp, 1.1, 1.2 smilesection.hpp, 1.1, 1.2 swaptionvolstructure.cpp, 1.46, 1.47 swaptionvolstructure.hpp, 1.43, 1.44

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv367/qlo

Modified Files:
	smilesection.cpp smilesection.hpp swaptionvolstructure.cpp 
	swaptionvolstructure.hpp 
Log Message:
SmileSection refactoring

Index: smilesection.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** smilesection.cpp	1 Dec 2006 18:48:38 -0000	1.1
--- smilesection.cpp	1 Dec 2006 19:34:23 -0000	1.2
***************
*** 28,53 ****
    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));
!         }
      }
  
--- 28,37 ----
    InterpolatedSmileSection::InterpolatedSmileSection(
                                  const QuantLib::Date& optionDate,
                                  const std::vector<QuantLib::Rate>& s,
!                                 const std::vector<QuantLib::Volatility>& v,
!                                 const QuantLib::DayCounter& dc) {
  
!         libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>(
!             new QuantLib::InterpolatedSmileSection<>(optionDate, s, v, dc));
      }
  
***************
*** 74,84 ****
          isRhoFixed, vegaWeighted, method);
      
!     QuantLib::GenericInterpolatedSmileSection<QuantLib::SABR>* 
          genericInterpolatedSmileSection = 
!         new QuantLib::GenericInterpolatedSmileSection<QuantLib::SABR>(
              expiry, strikes, volatilitiesHandles, sabrInterpolationFactory);
  
      libraryObject_ = boost::shared_ptr<
!         QuantLib::GenericInterpolatedSmileSection<QuantLib::SABR> >
          (genericInterpolatedSmileSection);
      }
--- 58,68 ----
          isRhoFixed, vegaWeighted, method);
      
!     QuantLib::InterpolatedSmileSection<QuantLib::SABR>* 
          genericInterpolatedSmileSection = 
!         new QuantLib::InterpolatedSmileSection<QuantLib::SABR>(
              expiry, strikes, volatilitiesHandles, sabrInterpolationFactory);
  
      libraryObject_ = boost::shared_ptr<
!         QuantLib::InterpolatedSmileSection<QuantLib::SABR> >
          (genericInterpolatedSmileSection);
      }

Index: smilesection.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** smilesection.hpp	1 Dec 2006 18:48:38 -0000	1.1
--- smilesection.hpp	1 Dec 2006 19:34:23 -0000	1.2
***************
*** 31,40 ****
      };
  
      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);
      };
  
--- 31,56 ----
      };
  
+   //  class FlatSmileSection : public SmileSectionInterface {
+ 	 // public:
+   //      FlatSmileSection(const QuantLib::Date& optionDate,
+   //                       const QuantLib::DayCounter& dc,
+   //                       const QuantLib::Volatility>& v
+   //                       const QuantLib::Date& refDate);
+   //  };
+ 
+   //  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);
+   //  };
+ 
      class InterpolatedSmileSection : public SmileSectionInterface {
!       public:
          InterpolatedSmileSection(const QuantLib::Date& optionDate,
                                   const std::vector<QuantLib::Rate>& strikes,
!                                  const std::vector<QuantLib::Volatility>& v,
!                                  const QuantLib::DayCounter& dc);
      };
  

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.46
retrieving revision 1.47
diff -C2 -d -r1.46 -r1.47
*** swaptionvolstructure.cpp	1 Dec 2006 18:48:38 -0000	1.46
--- swaptionvolstructure.cpp	1 Dec 2006 19:34:23 -0000	1.47
***************
*** 27,32 ****
  #include <ql/Volatilities/swaptionvolcubebylinear.hpp>
  #include <ql/Volatilities/swaptionvolcubebysabr.hpp>
! #include <ql/Volatilities/smilesection.hpp>
! #include <ql/Optimization/criteria.hpp>
  
  
--- 27,35 ----
  #include <ql/Volatilities/swaptionvolcubebylinear.hpp>
  #include <ql/Volatilities/swaptionvolcubebysabr.hpp>
! //#include <ql/Volatilities/smilesection.hpp>
! //#include <ql/Optimization/criteria.hpp>
! //#include <ql/Volatilities/smilesection.hpp>
! //#include <ql/Volatilities/swaptionvolcubebysabr.hpp>
! #include <ql/Volatilities/swaptionvolmatrix.hpp>
  
  
***************
*** 72,76 ****
      }
  
!     SwaptionVolatilityCubeByLinear::SwaptionVolatilityCubeByLinear(
          const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
          const std::vector<QuantLib::Period>& optionTenors,
--- 75,79 ----
      }
  
!     SwaptionVolCube2::SwaptionVolCube2(
          const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
          const std::vector<QuantLib::Period>& optionTenors,
***************
*** 83,87 ****
          QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!             QuantLib::SwaptionVolatilityCubeByLinear(atmVol,
                                                       optionTenors,
                                                       swapTenors,
--- 86,90 ----
          QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!             QuantLib::SwaptionVolCube2(atmVol,
                                                       optionTenors,
                                                       swapTenors,

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.43
retrieving revision 1.44
diff -C2 -d -r1.43 -r1.44
*** swaptionvolstructure.hpp	1 Dec 2006 18:48:38 -0000	1.43
--- swaptionvolstructure.hpp	1 Dec 2006 19:34:23 -0000	1.44
***************
*** 23,36 ****
  
  #include <oh/objhandler.hpp>
- #include <ql/swaptionvolstructure.hpp>
  #include <qlo/termstructures.hpp>
- #include <ql/Volatilities/swaptionvolcubebysabr.hpp>
- #include <ql/Volatilities/swaptionvolmatrix.hpp>
- #include <ql/Volatilities/smilesection.hpp>
  #include <qlo/smilesection.hpp>
! #include <qlo/index.hpp>
  
  namespace QuantLibAddin {
!     
      class SwaptionVolatilityStructure : public TermStructure {};
  
--- 23,36 ----
  
  #include <oh/objhandler.hpp>
  #include <qlo/termstructures.hpp>
  #include <qlo/smilesection.hpp>
! 
! #include <ql/swaptionvolstructure.hpp>
! #include <ql/Indexes/swapindex.hpp>
! #include <ql/Volatilities/swaptionvolcube.hpp>
  
  namespace QuantLibAddin {
! 
! 
      class SwaptionVolatilityStructure : public TermStructure {};
  
***************
*** 60,66 ****
      };
  	
!     class SwaptionVolatilityCubeByLinear : public SwaptionVolatilityCube {
  	public:
! 		SwaptionVolatilityCubeByLinear(
              const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
              const std::vector<QuantLib::Period>& optionTenors,
--- 60,66 ----
      };
  	
!     class SwaptionVolCube2 : public SwaptionVolatilityCube {
  	public:
! 		SwaptionVolCube2(
              const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
              const std::vector<QuantLib::Period>& optionTenors,
***************
*** 94,99 ****
      };
  
-   
- 
      class SmileSectionByCube : public SmileSectionInterface {
  	 public:
--- 94,97 ----