[QuantLibAddin-cvs] QuantLibAddin/qlo smilesection.cpp, 1.6, 1.7 smilesection.hpp, 1.6, 1.7

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15682/qlo

Modified Files:
	smilesection.cpp smilesection.hpp 
Log Message:
switching to standard deviation instead of vol

Index: smilesection.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** smilesection.cpp	6 Dec 2006 18:18:35 -0000	1.6
--- smilesection.cpp	11 Dec 2006 17:57:51 -0000	1.7
***************
*** 26,66 ****
  namespace QuantLibAddin {
  
!   InterpolatedSmileSection::InterpolatedSmileSection(
!     const QuantLib::Date& optionDate,
!     const std::vector<QuantLib::Rate>& s,
!     const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles,
!     const QuantLib::DayCounter& dc) {
!         libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(
!             new QuantLib::InterpolatedSmileSection<>(optionDate, s, volatilitiesHandles, dc));
!     }
! 
!   FlatSmileSection::FlatSmileSection(
                                  const QuantLib::Date& optionDate,
                                  QuantLib::Volatility v,
                                  const QuantLib::DayCounter& dc,
!                                 const QuantLib::Date& refDate) {
  
!         libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(
!             new QuantLib::FlatSmileSection(optionDate, v, dc, refDate));
      }
  
      SabrSmileSection::SabrSmileSection(
!                     const QuantLib::Time expiry,
!                     const std::vector<QuantLib::Rate>& strikes,
!                     const std::vector<QuantLib::Handle<QuantLib::Quote> >& 
!                     volatilitiesHandles,
!                     QuantLib::Real forward, 
!                     QuantLib::Real alpha,
!                     QuantLib::Real beta,
!                     QuantLib::Real nu,
!                     QuantLib::Real rho,
!                     bool isAlphaFixed,
!                     bool isBetaFixed,
!                     bool isNuFixed,
!                     bool isRhoFixed,
!                     bool vegaWeighted,
!                     const boost::shared_ptr<QuantLib::OptimizationMethod>
!                     method) {
!        
          QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta,
              nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, 
--- 26,66 ----
  namespace QuantLibAddin {
  
!     FlatSmileSection::FlatSmileSection(
                                  const QuantLib::Date& optionDate,
                                  QuantLib::Volatility v,
                                  const QuantLib::DayCounter& dc,
!                                 const QuantLib::Date& refDate)
!     {
!         libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(new
!             QuantLib::FlatSmileSection(optionDate, v, dc, refDate));
!     }
  
!     InterpolatedSmileSection::InterpolatedSmileSection(
!             const QuantLib::Date& optionDate,
!             const std::vector<QuantLib::Rate>& s,
!             const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs,
!             const QuantLib::DayCounter& dc)
!     {
!         libraryObject_ = boost::shared_ptr<QuantLib::SmileSection>(new
!             QuantLib::InterpolatedSmileSection<>(optionDate, s,
!                                                  stdDevs, dc));
      }
  
      SabrSmileSection::SabrSmileSection(
!             const QuantLib::Time expiry,
!             const std::vector<QuantLib::Rate>& strikes,
!             const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs,
!             QuantLib::Real forward, 
!             QuantLib::Real alpha,
!             QuantLib::Real beta,
!             QuantLib::Real nu,
!             QuantLib::Real rho,
!             bool isAlphaFixed,
!             bool isBetaFixed,
!             bool isNuFixed,
!             bool isRhoFixed,
!             bool vegaWeighted,
!             const boost::shared_ptr<QuantLib::OptimizationMethod> method)
!     {
          QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta,
              nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, 
***************
*** 69,78 ****
          QuantLib::InterpolatedSmileSection<QuantLib::SABR>* 
              genericInterpolatedSmileSection = new
!                 QuantLib::InterpolatedSmileSection<QuantLib::SABR>(expiry,
!                     strikes, volatilitiesHandles, sabrInterpolationFactory);
  
          libraryObject_ = boost::shared_ptr<
!             QuantLib::InterpolatedSmileSection<QuantLib::SABR> >
!                 (genericInterpolatedSmileSection);
      }
  
--- 69,78 ----
          QuantLib::InterpolatedSmileSection<QuantLib::SABR>* 
              genericInterpolatedSmileSection = new
!                 QuantLib::InterpolatedSmileSection<QuantLib::SABR>(
!                     expiry, strikes, stdDevs, sabrInterpolationFactory);
  
          libraryObject_ = boost::shared_ptr<
!             QuantLib::InterpolatedSmileSection<QuantLib::SABR> >(
!                 genericInterpolatedSmileSection);
      }
  

Index: smilesection.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** smilesection.hpp	6 Dec 2006 18:18:35 -0000	1.6
--- smilesection.hpp	11 Dec 2006 17:57:51 -0000	1.7
***************
*** 28,33 ****
      
      class SmileSection : 
!         public ObjHandler::LibraryObject<QuantLib::SmileSection> {
!     };
  
      class FlatSmileSection : public SmileSection {
--- 28,32 ----
      
      class SmileSection : 
!                 public ObjHandler::LibraryObject<QuantLib::SmileSection> {};
  
      class FlatSmileSection : public SmileSection {
***************
*** 41,68 ****
      class InterpolatedSmileSection : public SmileSection {
        public:
!         InterpolatedSmileSection(const QuantLib::Date& optionDate,
!             const std::vector<QuantLib::Rate>& strikes,
!             const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles,
!             const QuantLib::DayCounter& dc);
      };
  
      class SabrSmileSection: public SmileSection{
        public:
!         SabrSmileSection(const QuantLib::Time expiry,
!                          const std::vector<QuantLib::Rate>& strikes,
!                          const std::vector<QuantLib::Handle<QuantLib::Quote> >& volatilitiesHandles,
!                          QuantLib::Real forward, 
!                          QuantLib::Real alpha, 
!                          QuantLib::Real beta,
!                          QuantLib::Real nu,
!                          QuantLib::Real rho,
!                          bool isAlphaFixed,
!                          bool isBetaFixed,
!                          bool isNuFixed,
!                          bool isRhoFixed,
!                          bool vegaWeighted = false,
!                          const boost::shared_ptr<QuantLib::OptimizationMethod>
!                             method 
!                             = boost::shared_ptr<QuantLib::OptimizationMethod>());
          
      };
--- 40,68 ----
      class InterpolatedSmileSection : public SmileSection {
        public:
!         InterpolatedSmileSection(
!               const QuantLib::Date& optionDate,
!               const std::vector<QuantLib::Rate>& strikes,
!               const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs,
!               const QuantLib::DayCounter& dc);
      };
  
      class SabrSmileSection: public SmileSection{
        public:
!         SabrSmileSection(
!             const QuantLib::Time expiry,
!             const std::vector<QuantLib::Rate>& strikes,
!             const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs,
!             QuantLib::Real forward, 
!             QuantLib::Real alpha, 
!             QuantLib::Real beta,
!             QuantLib::Real nu,
!             QuantLib::Real rho,
!             bool isAlphaFixed,
!             bool isBetaFixed,
!             bool isNuFixed,
!             bool isRhoFixed,
!             bool vegaWeighted = false,
!             const boost::shared_ptr<QuantLib::OptimizationMethod>
!                 method = boost::shared_ptr<QuantLib::OptimizationMethod>());
          
      };