tapcorrelations.cpp File Reference

#include <ql/math/matrixutilities/tapcorrelations.hpp>
#include <cmath>

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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)