[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata mathf.xml, 1.9, 1.10

[Ferdinando A. <na...@us...>]

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>