QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
pseudosqrt.cpp File Reference
#include <ql/math/comparison.hpp>
#include <ql/math/matrixutilities/choleskydecomposition.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>
#include <ql/math/optimization/conjugategradient.hpp>
#include <ql/math/optimization/constraint.hpp>
#include <ql/math/optimization/problem.hpp>
#include <utility>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ size_

Size size_
private

Definition at line 76 of file pseudosqrt.cpp.

◆ lowerDiagonal_

bool lowerDiagonal_
private

Definition at line 77 of file pseudosqrt.cpp.

◆ targetMatrix_

Matrix targetMatrix_
private

Definition at line 78 of file pseudosqrt.cpp.

◆ targetVariance_

Array targetVariance_
private

Definition at line 79 of file pseudosqrt.cpp.

◆ currentRoot_

Matrix currentRoot_
mutableprivate

Definition at line 80 of file pseudosqrt.cpp.

◆ tempMatrix_

Matrix tempMatrix_
private

Definition at line 80 of file pseudosqrt.cpp.

◆ currentMatrix_

Matrix currentMatrix_
private

Definition at line 80 of file pseudosqrt.cpp.