tapcorrelations.hpp File Reference

#include <ql/functional.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/optimization/costfunction.hpp>
#include <ql/types.hpp>
#include <utility>
#include <vector>

Go to the source code of this file.

Classes
class	FrobeniusCostFunction

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)