transitionmatrix.hpp File Reference

utility functions for transition matrices and generators More...

#include <ql/math/matrix.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt

Functions
void	sanitiseTransitionMatrix (Matrix &m)
void	checkTransitionMatrix (const Matrix &t)
	check if the matrix is a transition matrix, i.e. row sums are 1 and entries are non-negative More...
void	checkGeneratorMatrix (const Matrix &g)
	check if the matrix is a generator matirx, i.e. row sums are 0 and non-diagonal elements are non-negative More...
Matrix	generator (const Matrix &t, const Real horizon)
template<class I >
std::vector< Real >	creditStateBoundaries (const I &begin, const I &end)
	compute N(0,1) credit state boundaries More...

Detailed Description

utility functions for transition matrices and generators

Definition in file transitionmatrix.hpp.