[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata interpolation.xml, 1.5, 1.6
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata interpolation.xml, 1.5, 1.6
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From: Ferdinando A. <na...@us...> - 2006-06-13 18:57:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28291/gensrc/metadata Modified Files: interpolation.xml Log Message: exported: 1) SABR full interface 2) Extrapolator interface Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** interpolation.xml 13 Jun 2006 11:26:23 -0000 1.5 --- interpolation.xml 13 Jun 2006 18:56:56 -0000 1.6 *************** *** 2,7 **** --- 2,178 ---- <description>functions to carry out interpolations</description> <displayName>Interpolation</displayName> + <!--includes> + <include>ql/Math/sabrinterpolation.hpp</include> + </includes--> <Functions> + <Member name='qlExtrapolatorFlag' libraryClass='Extrapolator'> + <description>Sets the global default extrapolation flag</description> + <libraryFunction>setExtrapolationFlag</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='extrapolationFlag'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>global default extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + <description>SUCCESS/FAILURE</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns interpolated values</description> + <libraryFunction>operator()</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated y values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationDerivative' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns the first derivative of the interpolated curve</description> + <libraryFunction>derivative</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated derivative values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns the second derivative of the interpolated curve</description> + <libraryFunction>secondDerivative</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated second derivative values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationPrimitive' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns the primitive of the interpolated curve</description> + <libraryFunction>primitive</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + <Parameter name='allowExtrapolation' default='0'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>allow extrapolation flag</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>interpolated primitive values</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationXmin' libraryClass='Interpolation'> + <description>Returns the minimum value of the x array</description> + <libraryFunction>xMin</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>minimum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationXmax' libraryClass='Interpolation'> + <description>Returns the maximum value of the x array</description> + <libraryFunction>xMax</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>maximum value of the x array</description> + </ReturnValue> + </Member> + + <Member name='qlInterpolationIsInRange' libraryClass='Interpolation' loopParameter='xValues'> + <description>Returns TRUE if the input value is in the allowed interpolation range</description> + <libraryFunction>isInRange</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='xValues'> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>x values</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + <description>TRUE if the input value is in the allowed interpolation range</description> + </ReturnValue> + </Member> + <Constructor name='qlBackwardFlatInterpolation'> <libraryFunction>BackwardFlatInterpolation</libraryFunction> *************** *** 19,27 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> </Parameters> </ParameterList> --- 190,193 ---- *************** *** 43,51 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> </Parameters> </ParameterList> --- 209,212 ---- *************** *** 67,74 **** <description>y array</description> </Parameter> ! <Parameter name='defaultExtrapolationFlag' default='1'> ! <type>bool</type> <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> </Parameter> </Parameters> --- 228,236 ---- <description>y array</description> </Parameter> ! <Parameter name='type' enumeration='QuantLib::LinearInterpolationType'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <!--description>type (e.g. LinearType, BackwardFlatType, ForwardFlatType)</description--> ! <description>not used yet</description> </Parameter> </Parameters> *************** *** 91,99 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> <Parameter name='leftConditionType' enumeration='QuantLib::CubicSpline::BoundaryCondition'> <type>string</type> --- 253,256 ---- *************** *** 140,148 **** <description>y array</description> </Parameter> - <Parameter name='defaultExtrapolationFlag' default='1'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>allow extrapolation flag</description> - </Parameter> <Parameter name='expiry'> <type>double</type> --- 297,300 ---- *************** *** 160,174 **** <description>beta</description> </Parameter> ! <Parameter name='nu'> <type>double</type> <tensorRank>scalar</tensorRank> <description>nu</description> </Parameter> ! <Parameter name='alpha'> <type>double</type> <tensorRank>scalar</tensorRank> <description>alpha</description> </Parameter> ! <Parameter name='rho'> <type>double</type> <tensorRank>scalar</tensorRank> --- 312,326 ---- <description>beta</description> </Parameter> ! <Parameter name='nu' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> <description>nu</description> </Parameter> ! <Parameter name='alpha' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> <description>alpha</description> </Parameter> ! <Parameter name='rho' default='QuantLib::Null<double>()'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 179,285 **** </Constructor> ! <Member name='qlInterpolation' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns interpolated values</description> ! <libraryFunction>operator()</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated y values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationDerivative' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns the first derivative of the interpolated curve</description> ! <libraryFunction>derivative</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated derivative values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationSecondDerivative' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns the second derivative of the interpolated curve</description> ! <libraryFunction>secondDerivative</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated second derivative values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationPrimitive' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns the primitive of the interpolated curve</description> ! <libraryFunction>primitive</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! <Parameter name='allowExtrapolation' default='0'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>allow extrapolation flag</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>interpolated primitive values</description> </ReturnValue> </Member> ! <Member name='qlInterpolationXmin' libraryClass='Interpolation'> ! <description>Returns the minimum value of the x array</description> ! <libraryFunction>xMin</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 331,393 ---- </Constructor> ! <Member name='qlSABRInterpolationBeta' libraryClass='SABRInterpolation'> ! <description>Returns the beta of the SABR fit</description> ! <libraryFunction>beta</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>beta of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationAlpha' libraryClass='SABRInterpolation'> ! <description>Returns the alpha of the SABR fit</description> ! <libraryFunction>alpha</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>alpha of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationNu' libraryClass='SABRInterpolation'> ! <description>Returns the nu of the SABR fit</description> ! <libraryFunction>nu</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>nu of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationRho' libraryClass='SABRInterpolation'> ! <description>Returns the rho of the SABR fit</description> ! <libraryFunction>rho</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>rho of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationExpiry' libraryClass='SABRInterpolation'> ! <description>Returns the expiry of the SABR fit</description> ! <libraryFunction>expiry</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 289,299 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>minimum value of the x array</description> </ReturnValue> </Member> ! <Member name='qlInterpolationXmax' libraryClass='Interpolation'> ! <description>Returns the maximum value of the x array</description> ! <libraryFunction>xMax</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 397,407 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>expiry of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationForward' libraryClass='SABRInterpolation'> ! <description>Returns the forward of the SABR fit</description> ! <libraryFunction>forward</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 303,345 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>maximum value of the x array</description> </ReturnValue> </Member> ! <Member name='qlInterpolationIsInRange' libraryClass='Interpolation' loopParameter='xValues'> ! <description>Returns TRUE if the input value is in the allowed interpolation range</description> ! <libraryFunction>isInRange</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters> ! <Parameter name='xValues'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>x values</description> ! </Parameter> ! </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>TRUE if the input value is in the allowed interpolation range</description> </ReturnValue> </Member> ! ! <Constructor name='qlMatrix'> ! <libraryFunction>Matrix</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='input' default='0'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>input matrix</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> ! </Functions> --- 411,446 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>forward of the SABR fit</description> </ReturnValue> </Member> ! <Member name='qlSABRInterpolationError' libraryClass='SABRInterpolation'> ! <description>Returns the error of the SABR fit</description> ! <!--libraryFunction>error</libraryFunction--> ! <libraryFunction>forward</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> ! <Parameters/> </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>error of the SABR fit</description> </ReturnValue> </Member> ! <Constructor name='qlMatrix'> ! <libraryFunction>Matrix</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters> ! <Parameter name='input' default='0'> ! <type>double</type> ! <tensorRank>matrix</tensorRank> ! <description>input matrix</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> </Functions> |
