[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata mathf.xml, 1.9, 1.10
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From: Ferdinando A. <na...@us...> - 2006-07-12 14:03:44
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10900/gensrc/metadata Modified Files: mathf.xml Log Message: exported CovarianceDecomposition, CovFromCorr, and CholeskyDecomposition Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** mathf.xml 11 Jul 2006 13:30:53 -0000 1.9 --- mathf.xml 12 Jul 2006 14:03:39 -0000 1.10 *************** *** 7,11 **** --- 7,13 ---- <include>ql/Math/primenumbers.hpp</include> <include>ql/Math/pseudosqrt.hpp</include> + <include>ql/Math/choleskydecomposition.hpp</include> <include>qlo/symmetricschurdecomposition.hpp</include> + <include>qlo/getcovariance.hpp</include> <include>qlo/mathf.hpp</include> <include>qlo/vo_mathf.hpp</include> *************** *** 176,179 **** --- 178,204 ---- <!-- Matrix functions --> + <Procedure name="qlCholeskyDecomposition"> + <description>Returns the Cholesky decomposition of a real symmetric matrix.</description> + <alias>QuantLib::CholeskyDecomposition</alias> + <ParameterList> + <Parameters> + <Parameter name="matrix" libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>symmetric matrix (hopefully positive semi-definite at least)</description> + </Parameter> + <Parameter name='flexible' default='false'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>If TRUE it returns a result also for positive semi-definite matrix</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Procedure> + <Procedure name="qlPseudoSqrt"> <description>Returns the pseudo square root of a real symmetric matrix.</description> *************** *** 233,236 **** --- 258,350 ---- + <Procedure name="qlCovFromCorr"> + <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> + <alias>QuantLibAddin::getCovariance</alias> + <ParameterList> + <Parameters> + <Parameter name="vols"> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>volatility vector</description> + </Parameter> + <Parameter name="matrix" libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>symmetric matrix (hopefully positive semi-definite at least)</description> + </Parameter> + <Parameter name='tolerance' default='1.0e12'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>numerical tolerance for non symmetric matrix</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Procedure> + + + + <!-- CovarianceDecomposition interface --> + + <Member name='qlCovarianceDecompositionVariances' libraryClass='CovarianceDecomposition'> + <description>Returns the variance vector</description> + <libraryFunction>variances</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlCovarianceDecompositionVols' libraryClass='CovarianceDecomposition'> + <description>Returns the volatility vector</description> + <libraryFunction>standardDeviations</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Array'> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlCovarianceDecompositionCorr' libraryClass='CovarianceDecomposition'> + <description>Returns the correlation matrix.</description> + <libraryFunction>correlationMatrix</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + + <!-- CovarianceDecomposition constructor --> + + <Constructor name='qlCovarianceDecomposition'> + <libraryFunction>CovarianceDecomposition</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='symmetricMatrix' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>Symmetrix covariance matrix to be decomposed</description> + </Parameter> + <Parameter name='tolerance' default='1.0e12'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>numerical tolerance for non symmetric matrix</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + </Functions> |