[QuantLibAddin-cvs] QuantLibAddin/qlo smilesection.cpp, 1.7, 1.8 smilesection.hpp, 1.7, 1.8

[Francois du V. <fd...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11427

Modified Files:
	smilesection.cpp smilesection.hpp 
Log Message:
SabrInterpolatedSmileSection exposed to Excel

Index: smilesection.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** smilesection.cpp	11 Dec 2006 17:57:51 -0000	1.7
--- smilesection.cpp	20 Dec 2006 14:40:11 -0000	1.8
***************
*** 22,25 ****
--- 22,26 ----
  #include <ql/Math/sabrinterpolation.hpp>
  #include <ql/Volatilities/smilesection.hpp>
+ #include <ql/Volatilities/smilesection.hpp>
  
  
***************
*** 77,79 ****
--- 78,115 ----
      }
  
+     SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(
+             const QuantLib::Time timeToExpiry,
+             const std::vector<QuantLib::Rate>& strikes,
+             const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevHandles,
+             QuantLib::Handle<QuantLib::Quote> 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,
+             const QuantLib::DayCounter& dc)
+     {
+        libraryObject_ = 
+            boost::shared_ptr<QuantLib::SabrInterpolatedSmileSection>(
+             new QuantLib::SabrInterpolatedSmileSection(timeToExpiry,
+                                                    strikes,
+                                                    stdDevHandles,
+                                                    forward,
+                                                    alpha,
+                                                    beta,
+                                                    nu,
+                                                    rho,
+                                                    isAlphaFixed,
+                                                    isBetaFixed,
+                                                    isNuFixed,
+                                                    isRhoFixed,
+                                                    vegaWeighted,
+                                                    method,
+                                                    dc));
+     }
  }

Index: smilesection.hpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.hpp,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** smilesection.hpp	11 Dec 2006 17:57:51 -0000	1.7
--- smilesection.hpp	20 Dec 2006 14:40:11 -0000	1.8
***************
*** 22,27 ****
  #include <ql/volatilities/interpolatedsmilesection.hpp>
  #include <ql/Optimization/method.hpp>
! #include <ql/quote.hpp>
! //#include <ql/handle.hpp>
  
  namespace QuantLibAddin {
--- 22,26 ----
  #include <ql/volatilities/interpolatedsmilesection.hpp>
  #include <ql/Optimization/method.hpp>
! #include <ql/Volatilities/sabrinterpolatedsmilesection.hpp>
  
  namespace QuantLibAddin {
***************
*** 67,70 ****
--- 66,89 ----
          
      };
+ 
+     class SabrInterpolatedSmileSection: public SmileSection {
+       public:
+         SabrInterpolatedSmileSection(
+             const QuantLib::Time expiry,
+             const std::vector<QuantLib::Rate>& strikes,
+             const std::vector<QuantLib::Handle<QuantLib::Quote> >& stdDevs,
+             QuantLib::Handle<QuantLib::Quote> 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,
+             const QuantLib::DayCounter& dc);
+     };
  }