QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Functions
tapcorrelations.hpp File Reference
#include <ql/functional.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/optimization/costfunction.hpp>
#include <ql/types.hpp>
#include <utility>
#include <vector>

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Classes

class  FrobeniusCostFunction
 

Namespaces

namespace  QuantLib
 

Functions

Matrix triangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank)
 Returns the Triangular Angles Parametrized correlation matrix. More...
 
Matrix lmmTriangularAnglesParametrization (const Array &angles, Size matrixSize, Size)
 
Matrix triangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank)
 
Matrix lmmTriangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank)
 
Matrix triangularAnglesParametrizationRankThree (Real alpha, Real t0, Real epsilon, Size nbRows)
 Returns the rank reduced Triangular Angles Parametrized correlation matrix. More...
 
Matrix triangularAnglesParametrizationRankThreeVectorial (const Array &parameters, Size nbRows)