QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | claytoncopularng.hpp [code] |
Clayton copula random-number generator. | |
file | convolvedstudentt.cpp [code] |
file | convolvedstudentt.hpp [code] |
file | farliegumbelmorgensterncopularng.hpp [code] |
Farlie-Gumbel-Morgenstern copula random-number generator. | |
file | fireflyalgorithm.cpp [code] |
file | fireflyalgorithm.hpp [code] |
Implementation based on: Yang, Xin-She (2009) Firefly Algorithm, Levy Flights and Global Optimization. Research and Development in Intelligent Systems XXVI, pp 209-218. http://arxiv.org/pdf/1003.1464.pdf. | |
file | frankcopularng.hpp [code] |
Frank copula random-number generator. | |
file | gaussiancopulapolicy.cpp [code] |
file | gaussiancopulapolicy.hpp [code] |
file | gaussiannoncentralchisquaredpolynomial.cpp [code] |
file | gaussiannoncentralchisquaredpolynomial.hpp [code] |
non central chi squared polynomials for Gaussian quadratures | |
file | hybridsimulatedannealing.hpp [code] |
Implementation based on: Very Fast Simulated Re-Annealing, Lester Ingber, Mathl. Comput. Modelling, 967-973, 1989. | |
file | hybridsimulatedannealingfunctors.hpp [code] |
Functors for use on HybridSimulatedAnnealing. | |
file | isotropicrandomwalk.hpp [code] |
Isotropic random walk. | |
file | laplaceinterpolation.cpp [code] |
file | laplaceinterpolation.hpp [code] |
Laplace interpolation of missing values. | |
file | latentmodel.hpp [code] |
Generic multifactor latent variable model. | |
file | levyflightdistribution.hpp [code] |
Levy Flight, aka Pareto Type I, distribution. | |
file | moorepenroseinverse.hpp [code] |
Moore Penrose inverse of a real matrix. | |
file | multidimintegrator.cpp [code] |
file | multidimintegrator.hpp [code] |
file | multidimquadrature.cpp [code] |
file | multidimquadrature.hpp [code] |
file | particleswarmoptimization.cpp [code] |
file | particleswarmoptimization.hpp [code] |
Implementation based on: Clerc, M., Kennedy, J. (2002) The particle swarm-explosion, stability and convergence in a multidimensional complex space. IEEE Transactions on Evolutionary Computation, 6(2): 58–73. | |
file | piecewisefunction.hpp [code] |
utility macro for piecewise functions | |
file | piecewiseintegral.cpp [code] |
file | piecewiseintegral.hpp [code] |
Integral of a piecewise well behaved function using a custom integrator for the pieces. It can be forced that the function is integrated only over intervals strictly not containing the critical points. | |
file | polarstudenttrng.hpp [code] |
Polar Student t random-number generator. | |
file | tcopulapolicy.cpp [code] |
file | tcopulapolicy.hpp [code] |
file | zigguratrng.cpp [code] |
file | zigguratrng.hpp [code] |
Ziggurat random-number generator. | |