[QuantLibAddin-cvs] QuantLibAddin/qlo smilesection.cpp,1.11,1.12

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22235

Modified Files:
	smilesection.cpp 
Log Message:
SABRInterpolationImpl fixed and refactored, previous maxIteration and precision restored
SabrInterpolatedSmileSection maxIteration and precision defined at QLAddin level
SmileSections graphs added to CapsStripperTest.xls

Index: smilesection.cpp
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/smilesection.cpp,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** smilesection.cpp	22 Dec 2006 11:31:11 -0000	1.11
--- smilesection.cpp	5 Jan 2007 15:36:15 -0000	1.12
***************
*** 22,26 ****
  #include <ql/Math/sabrinterpolation.hpp>
  #include <ql/Volatilities/smilesection.hpp>
- #include <ql/Volatilities/smilesection.hpp>
  
  
--- 22,25 ----
***************
*** 64,68 ****
              const boost::shared_ptr<QuantLib::OptimizationMethod> method)
      {
!         QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta,
              nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, 
              isRhoFixed, vegaWeighted, method);
--- 63,77 ----
              const boost::shared_ptr<QuantLib::OptimizationMethod> method)
      {
!     boost::shared_ptr<QuantLib::OptimizationMethod> method_;
!     if(!method){
!         QuantLib::EndCriteria endCriteria(120000, 1e-12);
!         QuantLib::Array guess(4); 
!         method_ = boost::shared_ptr<QuantLib::OptimizationMethod>(new
!                         QuantLib::Simplex(1e-6, guess, endCriteria));
!     }
!     else 
!         method_ = method;
!     
!     QuantLib::SABR sabrInterpolationFactory(expiry, forward, alpha, beta,
              nu, rho, isAlphaFixed, isBetaFixed, isNuFixed, 
              isRhoFixed, vegaWeighted, method);