qrdecomposition.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_qr_decomposition_hpp
#define quantlib_qr_decomposition_hpp
 
#include <ql/math/matrix.hpp>
 
namespace QuantLib {
 
 
    std::vector<Size> qrDecomposition(const Matrix& A,
                                      Matrix& q,
                                      Matrix& r,
                                      bool pivot = true);
 
 
    Array qrSolve(const Matrix& a,
                  const Array& b,
                  bool pivot = true,
                  const Array& d = Array());
}
 
#endif