QuantLib::Math Namespace Reference


Detailed Description

Mathematical functions and classes.

See sect. Math tools


Compounds

class  BicubicSplineInterpolation
 bicubic spline interpolation between discrete points More...

class  BilinearInterpolation
 bilinear interpolation between discrete points More...

class  CubicSpline
 cubic spline interpolation between discrete points More...

class  DiscrepancyStatistics
 Statistic tool for sequences with discrepancy calculation. More...

class  ErrorFunction
 Error function. More...

class  GammaFunction
 Gamma function class. More...

class  GaussianStatistics
 Statistics tool for gaussian-assumption risk measures. More...

class  GeneralStatistics
 Statistics tool. More...

class  IncrementalStatistics
 Statistics tool based on incremental accumulation. More...

class  Interpolation
 abstract base class for 1-D interpolations More...

class  Interpolation2D
 abstract base class for 2-D interpolations More...

class  KronrodIntegral
 Integral of a 1-dimensional function using the Gauss-Kronrod method. More...

class  LexicographicalView
 Lexicographical 2-D view of a contiguous set of data. More...

class  LinearInterpolation
 linear interpolation between discrete points More...

class  LogLinearInterpolation
 log linear interpolation between discrete points More...

class  Matrix
 matrix used in linear algebra. More...

class  MultivariateAccumulator
 A sample accumulator for multivariate analysis. More...

class  NormalDistribution
 Normal distribution function. More...

class  CumulativeNormalDistribution
 Cumulative normal distribution function. More...

class  InverseCumulativeNormal
 Inverse cumulative normal distribution function. More...

class  MoroInverseCumulativeNormal
 Moro Inverse cumulative normal distribution class. More...

class  PrimeNumbers
 Prime numbers calculator. More...

class  RiskMeasures
class  GenericRiskStatistics
 empirical-distribution risk measures More...

class  SegmentIntegral
 Integral of a one-dimensional function. More...

class  SequenceStatistics
 Statistics analysis of N-dimensional (sequence) data. More...

class  SVD
 Singular Value Decomposition. More...

class  SymmetricSchurDecomposition
 symmetric threshold Jacobi algorithm. More...


Typedefs

typedef NormalDistribution GaussianDistribution
typedef InverseCumulativeNormal InvCumulativeNormalDistribution
typedef GaussianStatistics<
GenericRiskStatistics< GeneralStatistics > > 
RiskStatistics
 default risk measures tool

typedef GeneralStatistics Statistics
 default statistics tool


Enumerations

enum  SalvagingAlgorithm { None, Spectral, Hypersphere }

Functions

template<class F, class R> clipped_function< F, R > clip (const F &f, const R &r)
template<class F, class G> composed_function< F, G > compose (const F &f, const G &g)
Disposable< MatrixpseudoSqrt (const Matrix &realSymmMatrix, SalvagingAlgorithm sa)
Disposable< Matrixoperator+ (const Matrix &m1, const Matrix &m2)
Disposable< Matrixoperator- (const Matrix &m1, const Matrix &m2)
Disposable< Matrixoperator * (const Matrix &m, double x)
Disposable< Matrixoperator * (double x, const Matrix &m)
Disposable< Matrixoperator/ (const Matrix &m, double x)
Disposable< Arrayoperator * (const Array &v, const Matrix &m)
Disposable< Arrayoperator * (const Matrix &m, const Array &v)
Disposable< Matrixoperator * (const Matrix &m1, const Matrix &m2)
Disposable< Matrixtranspose (const Matrix &m)
Disposable< MatrixouterProduct (const Array &v1, const Array &v2)
template<class Iterator1, class Iterator2> Disposable< MatrixouterProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end)
Disposable< MatrixmatrixSqrt (const Matrix &m)
double hypot (const double &a, const double &b)
 Singular Value Decomposition.

Disposable< ArraySymmetricEigenvalues (Matrix &s)
Disposable< MatrixSymmetricEigenvectors (Matrix &s)


Function Documentation

double hypot const double &  a,
const double &  b
 

Singular Value Decomposition.

Returns:
hypotenuse of real (non-complex) scalars a and b by avoiding underflow/overflow using (a * sqrt( 1 + (b/a) * (b/a))), rather than sqrt(a*a + b*b).


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