QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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matrix exponential More...
#include <ql/math/matrixutilities/expm.hpp>
#include <ql/math/ode/adaptiverungekutta.hpp>
#include <algorithm>
#include <numeric>
#include <utility>
Go to the source code of this file.
Namespaces | |
namespace | QuantLib |
Functions | |
Matrix | Expm (const Matrix &M, Real t=1.0, Real tol=QL_EPSILON) |
matrix exponential based on the ordinary differential equations method More... | |
matrix exponential
Definition in file expm.cpp.