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);
|
