QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
factorreduction.hpp File Reference

Single factor correlation reduction. More...

#include <ql/math/matrix.hpp>

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Namespaces

namespace  QuantLib
 

Functions

std::vector< Real > factorReduction (Matrix mtrx, Size maxIters)
 

Detailed Description

Single factor correlation reduction.

Definition in file factorreduction.hpp.