QuantLib: ql/experimental/math Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

math Directory Reference

## Files
file | claytoncopularng.hpp
| Clayton copula random-number generator.
file | expm.hpp
| matrix exponential
file | farliegumbelmorgensterncopularng.hpp
| Farlie-Gumbel-Morgenstern copula random-number generator.
file | fireflyalgorithm.hpp
| 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
| Frank copula random-number generator.
file | gaussiannoncentralchisquaredpolynomial.hpp
| non central chi squared polynomials for Gaussian quadratures
file | hybridsimulatedannealing.hpp
| Implementation based on: Very Fast Simulated Re-Annealing, Lester Ingber, Mathl. Comput. Modelling, 967-973, 1989.
file | hybridsimulatedannealingfunctors.hpp
| Functors for use on HybridSimulatedAnnealing.
file | isotropicrandomwalk.hpp
| Isotropic random walk.
file | laplaceinterpolation.hpp
| Laplace interpolation of missing values.
file | latentmodel.hpp
| Generic multifactor latent variable model.
file | levyflightdistribution.hpp
| Levy Flight, aka Pareto Type I, distribution as needed by Boost Random.
file | moorepenroseinverse.hpp
| Moore Penrose inverse of a real matrix.
file | particleswarmoptimization.hpp
| 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
| utility macro for piecewise functions
file | piecewiseintegral.hpp
| 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
| Polar Student t random-number generator.
file | zigguratrng.hpp
| Ziggurat random-number generator.