QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
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  numericaldifferentiation.hpp
 numerical differentiation of arbitrary order and on irregular grids
 
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.