[QuantLibAddin-cvs] QuantLibAddin/qlo capletvolstructure.cpp, 1.7, 1.8 capletvolstructure.hpp, 1.7, 1.8 smilesection.cpp, 1.2, 1.3 smilesection.hpp, 1.2, 1.3 swaptionvolstructure.cpp, 1.47, 1.48 swaptionvolstructure.hpp, 1.44, 1.45

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9020/qlo

Modified Files:
	capletvolstructure.cpp capletvolstructure.hpp smilesection.cpp 
	smilesection.hpp swaptionvolstructure.cpp 
	swaptionvolstructure.hpp 
Log Message:
1) SmileSectionInterface renamed SmileSection
2) full SmileSection interface exposed to Excel
3) SabrSmileSection signature changed

Index: swaptionvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.cpp,v
retrieving revision 1.47
retrieving revision 1.48
diff -C2 -d -r1.47 -r1.48
*** swaptionvolstructure.cpp	1 Dec 2006 19:34:23 -0000	1.47
--- swaptionvolstructure.cpp	1 Dec 2006 21:13:33 -0000	1.48
***************
*** 25,37 ****
  #include <qlo/swaptionvolstructure.hpp>
  #include <ql/Volatilities/swaptionconstantvol.hpp>
! #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>
  
- 
  namespace QuantLibAddin {
  
--- 25,32 ----
  #include <qlo/swaptionvolstructure.hpp>
  #include <ql/Volatilities/swaptionconstantvol.hpp>
! #include <ql/Volatilities/swaptionvolcube2.hpp>
! #include <ql/Volatilities/swaptionvolcube1.hpp>
  #include <ql/Volatilities/swaptionvolmatrix.hpp>
  
  namespace QuantLibAddin {
  
***************
*** 95,99 ****
      }
  
!     SwaptionVolatilityCubeBySabr::SwaptionVolatilityCubeBySabr(
          const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
          const std::vector<QuantLib::Period>& optionTenors,
--- 90,94 ----
      }
  
!     SwaptionVolCube1::SwaptionVolCube1(
          const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
          const std::vector<QuantLib::Period>& optionTenors,
***************
*** 109,113 ****
          QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!             QuantLib::SwaptionVolatilityCubeBySabr(atmVol,
                                                     optionTenors,
                                                     swapTenors,
--- 104,108 ----
          QL_REQUIRE(!atmVol.empty(), "atm vol handle not linked to anything");
          libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(new
!             QuantLib::SwaptionVolCube1(atmVol,
                                                     optionTenors,
                                                     swapTenors,
***************
*** 122,129 ****
  
      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());
--- 117,124 ----
  
      std::vector<std::vector<boost::any> >
!     SwaptionVolCube1::getSparseSabrParameters() {
!         const boost::shared_ptr<QuantLib::SwaptionVolCube1>&
              volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolCube1>(libraryObject_);
          
          return getSabrParameters(volCube->sparseSabrParameters());
***************
*** 131,154 ****
  
      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());
      }
--- 126,149 ----
  
      std::vector<std::vector<boost::any> >
!     SwaptionVolCube1::getDenseSabrParameters() {
!         const boost::shared_ptr<QuantLib::SwaptionVolCube1>&
              volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolCube1>(libraryObject_);
          return getSabrParameters(volCube->denseSabrParameters());
      }
  
      std::vector<std::vector<boost::any> >
!     SwaptionVolCube1::getMarketVolCube() {
!         const boost::shared_ptr<QuantLib::SwaptionVolCube1>&
              volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolCube1>(libraryObject_);
          return getVolCube(volCube->marketVolCube());
      }
  
      std::vector<std::vector<boost::any> >
!     SwaptionVolCube1::getVolCubeAtmCalibrated() {
!         const boost::shared_ptr<QuantLib::SwaptionVolCube1>&
              volCube = boost::dynamic_pointer_cast<
!                     QuantLib::SwaptionVolCube1>(libraryObject_);
          return getVolCube(volCube->volCubeAtmCalibrated());
      }

Index: capletvolstructure.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.cpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** capletvolstructure.cpp	17 Nov 2006 14:26:23 -0000	1.7
--- capletvolstructure.cpp	1 Dec 2006 21:13:33 -0000	1.8
***************
*** 61,65 ****
        QuantLib::Real impliedVolatilityAccuracy,
        QuantLib::Size maxEvaluations,
!       const std::vector<boost::shared_ptr<QuantLib::SmileSectionInterface> >& 
          smileSectionInterfaces)
      {
--- 61,65 ----
        QuantLib::Real impliedVolatilityAccuracy,
        QuantLib::Size maxEvaluations,
!       const std::vector<boost::shared_ptr<QuantLib::SmileSection> >& 
          smileSectionInterfaces)
      {

Index: swaptionvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/swaptionvolstructure.hpp,v
retrieving revision 1.44
retrieving revision 1.45
diff -C2 -d -r1.44 -r1.45
*** swaptionvolstructure.hpp	1 Dec 2006 19:34:23 -0000	1.44
--- swaptionvolstructure.hpp	1 Dec 2006 21:13:33 -0000	1.45
***************
*** 26,30 ****
  #include <qlo/smilesection.hpp>
  
- #include <ql/swaptionvolstructure.hpp>
  #include <ql/Indexes/swapindex.hpp>
  #include <ql/Volatilities/swaptionvolcube.hpp>
--- 26,29 ----
***************
*** 75,81 ****
      std::vector<std::vector<boost::any> > getVolCube(QuantLib::Matrix & volCube);
      
!     class SwaptionVolatilityCubeBySabr : public SwaptionVolatilityCube {
        public:
! 		SwaptionVolatilityCubeBySabr(
              const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
              const std::vector<QuantLib::Period>& optionTenors,
--- 74,80 ----
      std::vector<std::vector<boost::any> > getVolCube(QuantLib::Matrix & volCube);
      
!     class SwaptionVolCube1 : public SwaptionVolatilityCube {
        public:
! 		SwaptionVolCube1(
              const QuantLib::Handle<QuantLib::SwaptionVolatilityStructure>& atmVol,
              const std::vector<QuantLib::Period>& optionTenors,
***************
*** 94,98 ****
      };
  
!     class SmileSectionByCube : public SmileSectionInterface {
  	 public:
          SmileSectionByCube(
--- 93,97 ----
      };
  
!     class SmileSectionByCube : public SmileSection {
  	 public:
          SmileSectionByCube(

Index: smilesection.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** smilesection.cpp	1 Dec 2006 19:34:23 -0000	1.2
--- smilesection.cpp	1 Dec 2006 21:13:33 -0000	1.3
***************
*** 32,36 ****
                                  const QuantLib::DayCounter& dc) {
  
!         libraryObject_ = boost::shared_ptr<QuantLib::SmileSectionInterface>(
              new QuantLib::InterpolatedSmileSection<>(optionDate, s, v, dc));
      }
--- 32,36 ----
                                  const QuantLib::DayCounter& dc) {
  
!         libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(
              new QuantLib::InterpolatedSmileSection<>(optionDate, s, v, dc));
      }

Index: smilesection.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** smilesection.hpp	1 Dec 2006 19:34:23 -0000	1.2
--- smilesection.hpp	1 Dec 2006 21:13:33 -0000	1.3
***************
*** 27,35 ****
  namespace QuantLibAddin {
      
!     class SmileSectionInterface : 
!         public ObjHandler::LibraryObject<QuantLib::SmileSectionInterface> {
      };
  
!   //  class FlatSmileSection : public SmileSectionInterface {
  	 // public:
    //      FlatSmileSection(const QuantLib::Date& optionDate,
--- 27,35 ----
  namespace QuantLibAddin {
      
!     class SmileSection : 
!         public ObjHandler::LibraryObject<QuantLib::SmileSection> {
      };
  
!   //  class FlatSmileSection : public SmileSection {
  	 // public:
    //      FlatSmileSection(const QuantLib::Date& optionDate,
***************
*** 39,43 ****
    //  };
  
!   //  class InterpolatedSmileSection : public SmileSectionInterface {
  	 //public:
    //      InterpolatedSmileSection(const QuantLib::Date& optionDate,
--- 39,43 ----
    //  };
  
!   //  class InterpolatedSmileSection : public SmileSection {
  	 //public:
    //      InterpolatedSmileSection(const QuantLib::Date& optionDate,
***************
*** 47,51 ****
    //  };
  
!     class InterpolatedSmileSection : public SmileSectionInterface {
        public:
          InterpolatedSmileSection(const QuantLib::Date& optionDate,
--- 47,51 ----
    //  };
  
!     class InterpolatedSmileSection : public SmileSection {
        public:
          InterpolatedSmileSection(const QuantLib::Date& optionDate,
***************
*** 55,59 ****
      };
  
!     class SabrSmileSection: public SmileSectionInterface{
      public:
         SabrSmileSection(const QuantLib::Time expiry,
--- 55,59 ----
      };
  
!     class SabrSmileSection: public SmileSection{
      public:
         SabrSmileSection(const QuantLib::Time expiry,

Index: capletvolstructure.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/capletvolstructure.hpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** capletvolstructure.hpp	17 Nov 2006 14:26:23 -0000	1.7
--- capletvolstructure.hpp	1 Dec 2006 21:13:33 -0000	1.8
***************
*** 27,35 ****
  namespace QuantLibAddin {
      
!     inline double qltest (boost::shared_ptr<QuantLib::SmileSectionInterface> t){
          return QuantLib::test(t);
      };
  
!     inline double qltest2(std::vector<boost::shared_ptr<QuantLib::SmileSectionInterface> > t){
          return QuantLib::test2(t);
      };
--- 27,35 ----
  namespace QuantLibAddin {
      
!     inline double qltest (boost::shared_ptr<QuantLib::SmileSection> t){
          return QuantLib::test(t);
      };
  
!     inline double qltest2(std::vector<boost::shared_ptr<QuantLib::SmileSection> > t){
          return QuantLib::test2(t);
      };
***************
*** 62,66 ****
                    QuantLib::Real impliedVolatilityAccuracy,
                    QuantLib::Size maxEvaluations,
!                   const std::vector<boost::shared_ptr<QuantLib::SmileSectionInterface> >& 
                      smileSectionInterfaces);
      };
--- 62,66 ----
                    QuantLib::Real impliedVolatilityAccuracy,
                    QuantLib::Size maxEvaluations,
!                   const std::vector<boost::shared_ptr<QuantLib::SmileSection> >& 
                      smileSectionInterfaces);
      };