[QuantLibAddin-cvs] QuantLibAddin todonando.txt,1.78,1.79
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From: Francois du V. <fd...@us...> - 2007-01-10 14:43:28
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2737 Modified Files: todonando.txt Log Message: Index: todonando.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/todonando.txt,v retrieving revision 1.78 retrieving revision 1.79 diff -C2 -d -r1.78 -r1.79 *** todonando.txt 10 Jan 2007 13:27:19 -0000 1.78 --- todonando.txt 10 Jan 2007 14:43:18 -0000 1.79 *************** *** 62,70 **** François ! - revise Levemberg Marquard ! - consolidate all multisteps in a single test ! - MultiStepSwaption - DONE use MakeCapFloor in Excel test wkb ! - include future options in vol cap stripping Cristina --- 62,79 ---- François ! - DONE revise Levemberg Marquard ! - TO BE REVIEWED consolidate all multisteps in a single test ! - TO BE REVIEWED MultiStepSwaption - DONE use MakeCapFloor in Excel test wkb ! - DONE include future options in vol cap stripping ! - check sabr fit stability/accuracy for smilesections ! - create another CapletVol object instance using future option smile sections only in CapStripper.xls ! - clean cap price discrepancies ! - add atmRate to SmileSection base class ! - add an atmRate to our capVol structure ! - review the class design together ! - refactor abcd vol file, adding more unary_functions for blackVol and covariance ! - expose to Excel all these new abcd-related vol functions ! - implement abcdinterpolation Cristina |