SpectralCovarianceSalvage Struct Reference

Implementation that uses the spectral method. More...

#include <qle/math/covariancesalvage.hpp>

Inheritance diagram for SpectralCovarianceSalvage:

Collaboration diagram for SpectralCovarianceSalvage:

Public Member Functions
std::pair< Matrix, Matrix >	salvage (const Matrix &m) const override
Public Member Functions inherited from CovarianceSalvage
virtual	~CovarianceSalvage ()
virtual std::pair< Matrix, Matrix >	salvage (const Matrix &m) const =0

Detailed Description

Implementation that uses the spectral method.

Definition at line 60 of file covariancesalvage.hpp.

Member Function Documentation

salvage()

std::pair< Matrix, Matrix > salvage ( const Matrix &  m ) const

overridevirtual

Implements CovarianceSalvage.

Definition at line 61 of file covariancesalvage.hpp.

                                                                    {
        auto L = pseudoSqrt(m, SalvagingAlgorithm::Spectral);
        return std::make_pair(L * transpose(L), L);
    }