symmetricschurdecomposition.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 
 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_math_jacobi_decomposition_h
#define quantlib_math_jacobi_decomposition_h
 
#include <ql/math/matrix.hpp>
 
namespace QuantLib {
 
 
    class SymmetricSchurDecomposition {
      public:
        SymmetricSchurDecomposition(const Matrix &s);
        const Array& eigenvalues() const { return diagonal_; }
        const Matrix& eigenvectors() const { return eigenVectors_; }
      private:
        Array diagonal_;
        Matrix eigenVectors_;
        void jacobiRotate_(Matrix & m, Real rot, Real dil,
                           Size j1, Size k1, Size j2, Size k2) const;
    };
 
 
    // inline definitions
 
    inline void SymmetricSchurDecomposition::jacobiRotate_(
                                      Matrix &m, Real rot, Real dil, Size j1,
                                      Size k1, Size j2, Size k2) const {
        Real x1, x2;
        x1 = m[j1][k1];
        x2 = m[j2][k2];
        m[j1][k1] = x1 - dil*(x2 + x1*rot);
        m[j2][k2] = x2 + dil*(x1 - x2*rot);
    }
 
}
 
 
#endif