QuantLib: ql/math/matrixutilities Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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matrixutilities Directory Reference

## Files
file | basisincompleteordered.hpp
file | bicgstab.hpp
| bi-conjugated gradient stableized algorithm
file | choleskydecomposition.hpp
| Cholesky decomposition.
file | factorreduction.hpp
| Single factor correlation reduction.
file | getcovariance.hpp
| Covariance matrix calculation.
file | pseudosqrt.hpp
| pseudo square root of a real symmetric matrix
file | qrdecomposition.hpp
| QR decomposition.
file | sparseilupreconditioner.hpp
| Preconditioner using the Incomplete LU algorithm and sparse matrices.
file | sparsematrix.hpp
| typedef for boost sparse matrix class
file | svd.hpp
| singular value decomposition
file | symmetricschurdecomposition.hpp
| Eigenvalues/eigenvectors of a real symmetric matrix.
file | tapcorrelations.hpp
file | tqreigendecomposition.hpp
| tridiag. QR eigen decomposition with explicite shift aka Wilkinson