Update xsd and doc

Author: kohnech

Docs/UserGuide/parameterisation/curveconfig.tex

@@ -162,6 +162,7 @@ \subsubsection{FX Volatility Structures}
     <DayCounter>A365</DayCounter>
     <Calendar>US,JP</Calendar>
     <Conventions>USD-JPY-FXOPTION</Conventions>
+    <SmileExtrapolation>Linear</SmileExtrapolation>
   </FXVolatility>
 \end{minted}
 \caption{FX option volatility configuration Smile / Delta}
@@ -273,6 +274,11 @@ \subsubsection{FX Volatility Structures}
   data input. See \ref{sss:fx_option_conv} for more details.
 \item BaseVolatility1: For `ATMTriangulated' this denotes one of the surfaces we want to triangulate from
 \item BaseVolatility2: For `ATMTriangulated' this denotes one of the surfaces we want to triangulate from
+\item SmileExtrapolation [Optional]: In case of SmileType Delta. Indicates the extrapolation in the smile direction. The
+allowable values are None, UseInterpolator, Linear and Flat. Both Flat and
+None give flat extrapolation in the smile direction. UseInterpolator and
+Linear indicate that the configured interpolation (linear) should be continued in
+the strike direction in order to extrapolate.
 \end{itemize}
 
 \subsubsection{Equity Curve Structures}

xsd/curveconfig.xsd

@@ -158,7 +158,7 @@
       <xs:element type="xs:string" name="FXIndexTag" minOccurs="0" maxOccurs="1"/>
       <xs:element type="xs:string" name="BaseVolatility1" minOccurs="0" maxOccurs="1"/>
       <xs:element type="xs:string" name="BaseVolatility2" minOccurs="0" maxOccurs="1"/>
-      <xs:element type="reportConfiguration" name="Report" minOccurs="0"/>
+      <xs:element type="extrapolationType" name="SmileExtrapolation" minOccurs="0" maxOccurs="1"/>
     </xs:all>
   </xs:complexType>