[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata optimization.xml, 1.17, 1.18
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata optimization.xml, 1.17, 1.18
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From: Ferdinando A. <na...@us...> - 2006-11-29 18:06:55
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27074/gensrc/metadata Modified Files: optimization.xml Log Message: 1) major (even if only partial) refactoring of the Optimization framework (LevenbergMarquardt has never been in the framework and it is not yet) 2) SABR refactoring Index: optimization.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/optimization.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** optimization.xml 26 Oct 2006 08:49:28 -0000 1.17 --- optimization.xml 29 Nov 2006 18:06:47 -0000 1.18 *************** *** 21,33 **** <ParameterList> <Parameters> ! <Parameter name='mxIterations'> <type>long</type> <tensorRank>scalar</tensorRank> <description>max number of iterations</description> </Parameter> ! <Parameter name='epsilon'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>tolerance (e.g. 1e-8)</description> </Parameter> </Parameters> --- 21,38 ---- <ParameterList> <Parameters> ! <Parameter name='mxIterations' default='1000'> <type>long</type> <tensorRank>scalar</tensorRank> <description>max number of iterations</description> </Parameter> ! <Parameter name='functionEpsilon' default='1e-8'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>tolerance on the function value (e.g. 1e-8)</description> ! </Parameter> ! <Parameter name='gradientEpsilon' default='QuantLib::Null<QuantLib::Real>()'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>tolerance on the function gradient (e.g. 1e-8)</description> </Parameter> </Parameters> *************** *** 56,62 **** </Member> ! <Member name='qlEndCriteriaCriteria' libraryClass='EndCriteria'> <description>Return the end criteria</description> ! <libraryFunction>criteria</libraryFunction> <SupportedPlatforms> <Excel/> --- 61,67 ---- </Member> ! <Member name='qlEndCriteriaType' libraryClass='EndCriteria'> <description>Return the end criteria</description> ! <libraryFunction>type</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 71,74 **** --- 76,124 ---- </Member> + <Member name='qlEndCriteriaMaxIteration' libraryClass='EndCriteria'> + <description>Return the max interation</description> + <libraryFunction>maxIteration</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Size'> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEndCriteriaFunctionEpsilon' libraryClass='EndCriteria'> + <description>Return the function epsilon</description> + <libraryFunction>functionEpsilon</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEndCriteriaGradientEpsilon' libraryClass='EndCriteria'> + <description>Return the function epsilon</description> + <libraryFunction>gradientEpsilon</libraryFunction> + <SupportedPlatforms> + <Excel/> + </SupportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Real'> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <!-- OptimizationMethod base class interface --> *************** *** 117,122 **** <!-- OptimizationMethod derived classes' constructors --> ! <Constructor name='qlConjugateGradient'> ! <libraryFunction>ConjugateGradient</libraryFunction> <SupportedPlatforms> <Excel/> --- 167,172 ---- <!-- OptimizationMethod derived classes' constructors --> ! <Constructor name='qlSimplex'> ! <libraryFunction>Simplex</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 124,131 **** <ParameterList> <Parameters> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> </Parameter> <Parameter name="initialValue" libraryType='QuantLib::Array'> --- 174,181 ---- <ParameterList> <Parameters> ! <Parameter name="lambda"> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>lambda</description> </Parameter> <Parameter name="initialValue" libraryType='QuantLib::Array'> *************** *** 134,141 **** <description>initial value (i.e. initial guess)</description> </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>LineSearch object ID</description> </Parameter> </Parameters> --- 184,191 ---- <description>initial value (i.e. initial guess)</description> </Parameter> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> </Parameter> </Parameters> *************** *** 149,158 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> ! <Constructor name='qlSimplex'> ! <libraryFunction>Simplex</libraryFunction> <SupportedPlatforms> <Excel/> --- 199,244 ---- </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name="epsfcn" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>epsfcn</description> ! </Parameter> ! <Parameter name="ftol" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>ftol</description> ! </Parameter> ! <Parameter name="xtol" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>xtol</description> ! </Parameter> ! <Parameter name="gtol" libraryType="QuantLib::Real" defaul="1.0e-8"> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>gtol</description> ! </Parameter> ! <Parameter name="maxfev" libraryType="QuantLib::Size" defaul="400"> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>maxfev</description> ! </Parameter> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>initial value (i.e. initial guess)</description> ! </Parameter> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Constructor name='qlConjugateGradient'> ! <libraryFunction>ConjugateGradient</libraryFunction> <SupportedPlatforms> <Excel/> *************** *** 160,172 **** <ParameterList> <Parameters> ! <Parameter name="lambda"> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>lambda</description> </Parameter> ! <Parameter name="tol"> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>tol</description> </Parameter> </Parameters> --- 246,263 ---- <ParameterList> <Parameters> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> <type>double</type> + <tensorRank>vector</tensorRank> + <description>initial value (i.e. initial guess)</description> + </Parameter> + <Parameter name="endCriteria" underlyingClass='EndCriteria'> + <type>string</type> <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch' default='""'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>LineSearch object ID</description> </Parameter> </Parameters> *************** *** 180,184 **** </SupportedPlatforms> <ParameterList> ! <Parameters/> </ParameterList> </Constructor> --- 271,291 ---- </SupportedPlatforms> <ParameterList> ! <Parameters> ! <Parameter name="initialValue" libraryType='QuantLib::Array'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>initial value (i.e. initial guess)</description> ! </Parameter> ! <Parameter name="endCriteria" underlyingClass='EndCriteria'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>EndCriteria object ID</description> ! </Parameter> ! <Parameter name="lineSearch" libraryClass='LineSearch' default='""'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>LineSearch object ID</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> |
