autocovariance.hpp File Reference

autocovariance and convolution calculation More...

#include <ql/math/fastfouriertransform.hpp>
#include <ql/math/array.hpp>
#include <complex>
#include <vector>
#include <algorithm>
#include <functional>

Go to the source code of this file.

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Functions
template<typename ForwardIterator >
std::vector< std::complex< Real > >	double_ft (ForwardIterator begin, ForwardIterator end)
template<typename InputIterator , typename OutputIterator >
Real	remove_mean (InputIterator begin, InputIterator end, OutputIterator out)
template<typename ForwardIterator , typename OutputIterator >
void	convolutions (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
	Convolutions of the input sequence. More...
template<typename ForwardIterator , typename OutputIterator >
void	autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
	Unbiased auto-covariances. More...
template<typename ForwardIterator , typename OutputIterator >
Real	autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse)
	Unbiased auto-covariances. More...
template<typename ForwardIterator , typename OutputIterator >
void	autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
	Unbiased auto-correlations. More...
template<typename ForwardIterator , typename OutputIterator >
Real	autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse)
	Unbiased auto-correlations. More...

Detailed Description

autocovariance and convolution calculation

Definition in file autocovariance.hpp.