QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

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< Matrix >  pseudoSqrt (const Matrix &realSymmMatrix, SalvagingAlgorithm sa) Disposable< Matrix >  operator+ (const Matrix &m1, const Matrix &m2) Disposable< Matrix >  operator- (const Matrix &m1, const Matrix &m2) Disposable< Matrix >  operator * (const Matrix &m, double x) Disposable< Matrix >  operator * (double x, const Matrix &m) Disposable< Matrix >  operator/ (const Matrix &m, double x) Disposable< Array >  operator * (const Array &v, const Matrix &m) Disposable< Array >  operator * (const Matrix &m, const Array &v) Disposable< Matrix >  operator * (const Matrix &m1, const Matrix &m2) Disposable< Matrix >  transpose (const Matrix &m) Disposable< Matrix >  outerProduct (const Array &v1, const Array &v2) template<class Iterator1, class Iterator2> Disposable< Matrix >  outerProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end) Disposable< Matrix >  matrixSqrt (const Matrix &m) double  hypot (const double &a, const double &b)   Singular Value Decomposition. Disposable< Array >  SymmetricEigenvalues (Matrix &s) Disposable< Matrix >  SymmetricEigenvectors (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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