QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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autocovariance and convolution calculation More...
#include <ql/math/fastfouriertransform.hpp>
#include <ql/math/array.hpp>
#include <complex>
#include <vector>
#include <algorithm>
#include <functional>
Go to the source code of this file.
Namespaces | |
namespace | QuantLib |
namespace | QuantLib::detail |
Functions | |
template<typename ForwardIterator > | |
std::vector< std::complex< Real > > | double_ft (ForwardIterator begin, ForwardIterator end) |
template<typename InputIterator , typename OutputIterator > | |
Real | remove_mean (InputIterator begin, InputIterator end, OutputIterator out) |
template<typename ForwardIterator , typename OutputIterator > | |
void | convolutions (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Convolutions of the input sequence. More... | |
template<typename ForwardIterator , typename OutputIterator > | |
void | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Unbiased auto-covariances. More... | |
template<typename ForwardIterator , typename OutputIterator > | |
Real | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
Unbiased auto-covariances. More... | |
template<typename ForwardIterator , typename OutputIterator > | |
void | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Unbiased auto-correlations. More... | |
template<typename ForwardIterator , typename OutputIterator > | |
Real | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
Unbiased auto-correlations. More... | |
autocovariance and convolution calculation
Definition in file autocovariance.hpp.