covariancesalvage.hpp File Reference

methods to make a symmetric matrix positive semidefinite More...

#include <ql/math/matrixutilities/pseudosqrt.hpp>

Go to the source code of this file.

Classes
struct	CovarianceSalvage
struct	NoCovarianceSalvage
	Implementation that does not change the input matrix. More...
struct	SpectralCovarianceSalvage
	Implementation that uses the spectral method. More...

Namespaces
namespace	QuantExt

Detailed Description

methods to make a symmetric matrix positive semidefinite

Definition in file covariancesalvage.hpp.