QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Single factor correlation reduction. More...
#include <ql/math/matrix.hpp>
Go to the source code of this file.
Namespaces | |
namespace | QuantLib |
Functions | |
std::vector< Real > | factorReduction (Matrix mtrx, Size maxIters) |
Single factor correlation reduction.
Definition in file factorreduction.hpp.