Uses of Class
org.quantlib.Matrix

Uses of Matrix in org.quantlib

Methods in org.quantlib that return Matrix

Modifier and Type	Method	Description
Matrix	CmsMarket.browse()
Matrix	OptionletStripper1.capFloorPrices()
Matrix	OptionletStripper1.capFloorVolatilities()
Matrix	CmsMarketCalibration.compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	CmsMarketCalibration.compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
Matrix	CmsMarketCalibration.computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	CmsMarketCalibration.computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
Matrix	MultipleIncrementalStatistics.correlation()
Matrix	MultipleStatistics.correlation()
Matrix	PiecewiseConstantCorrelation.correlation(long i)
Matrix	SequenceStatistics.correlation()
Matrix	MarketModel.covariance(long i)
Matrix	MultipleIncrementalStatistics.covariance()
Matrix	MultipleStatistics.covariance()
Matrix	SequenceStatistics.covariance()
Matrix	StochasticProcess.covariance(double t0, Array x0, double dt)
Matrix	SabrSwaptionVolatilityCube.denseSabrParameters()
Matrix	StochasticProcess.diffusion(double t, Array x)
static Matrix	QuantLib.getCovariance(Array volatilities, Matrix correlations)
Matrix	CmsMarket.impliedCmsSpreads()
static Matrix	QuantLib.inverse(Matrix m)
Matrix	SabrSwaptionVolatilityCube.marketVolCube()
Matrix	OptionletStripper1.optionletPrices()
static Matrix	QuantLib.outerProduct(Array v1, Array v2)
Matrix	MarketModel.pseudoRoot(long i)
static Matrix	QuantLib.pseudoSqrt(Matrix m, SalvagingAlgorithm.Type a)
Matrix	SVD.S()
Matrix	SabrSwaptionVolatilityCube.sparseSabrParameters()
Matrix	CmsMarket.spreadErrors()
Matrix	StochasticProcess.stdDeviation(double t0, Array x0, double dt)
Matrix	MarketModel.totalCovariance(long endIndex)
static Matrix	QuantLib.transpose(Matrix m)
Matrix	SVD.U()
Matrix	SVD.V()
Matrix	SabrSwaptionVolatilityCube.volCubeAtmCalibrated()

Methods in org.quantlib with parameters of type Matrix

Modifier and Type	Method	Description
Matrix	CmsMarketCalibration.compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	CmsMarketCalibration.compute(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
Matrix	CmsMarketCalibration.computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed)
Matrix	CmsMarketCalibration.computeParametric(EndCriteria endCriteria, OptimizationMethod method, Matrix guess, boolean isMeanReversionFixed, double meanReversionGuess)
static Matrix	QuantLib.getCovariance(Array volatilities, Matrix correlations)
protected static long	Matrix.getCPtr(Matrix obj)
static Matrix	QuantLib.inverse(Matrix m)
static Matrix	QuantLib.pseudoSqrt(Matrix m, SalvagingAlgorithm.Type a)
protected static long	Matrix.swigRelease(Matrix obj)
static Matrix	QuantLib.transpose(Matrix m)
double	CmsMarket.weightedFwdNpvError(Matrix weights)
Array	CmsMarket.weightedFwdNpvErrors(Matrix weights)
double	CmsMarket.weightedSpotNpvError(Matrix weights)
Array	CmsMarket.weightedSpotNpvErrors(Matrix weights)
double	CmsMarket.weightedSpreadError(Matrix weights)
Array	CmsMarket.weightedSpreadErrors(Matrix weights)

Constructors in org.quantlib with parameters of type Matrix

Constructor	Description
BicubicSpline(Array x, Array y, Matrix m)
BilinearInterpolation(Array x, Array y, Matrix m)
BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter)
BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter, BlackVarianceSurface.Extrapolation lower)
BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter, BlackVarianceSurface.Extrapolation lower, BlackVarianceSurface.Extrapolation upper)
BlackVarianceSurface(Date referenceDate, Calendar cal, DateVector dates, DoubleVector strikes, Matrix blackVols, DayCounter dayCounter, BlackVarianceSurface.Extrapolation lower, BlackVarianceSurface.Extrapolation upper, String interpolator)
CapFloorTermVolSurface(long settlementDays, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities)
CapFloorTermVolSurface(long settlementDays, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities, DayCounter dc)
CapFloorTermVolSurface(Date settlementDate, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities)
CapFloorTermVolSurface(Date settlementDate, Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, DoubleVector strikes, Matrix volatilities, DayCounter dc)
CmsMarketCalibration(SwaptionVolatilityStructureHandle volCube, CmsMarket cmsMarket, Matrix weights, CmsMarketCalibration.CalibrationType calibrationType)
FixedLocalVolSurface(Date referenceDate, DateVector dates, DoubleVector strikes, Matrix localVolMatrix, DayCounter dayCounter)
FixedLocalVolSurface(Date referenceDate, DateVector dates, DoubleVector strikes, Matrix localVolMatrix, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation)
FixedLocalVolSurface(Date referenceDate, DateVector dates, DoubleVector strikes, Matrix localVolMatrix, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation, FixedLocalVolSurface.Extrapolation upperExtrapolation)
FixedLocalVolSurface(Date referenceDate, DoubleVector times, DoubleVector strikes, Matrix localVolMatrix, DayCounter dayCounter)
FixedLocalVolSurface(Date referenceDate, DoubleVector times, DoubleVector strikes, Matrix localVolMatrix, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation)
FixedLocalVolSurface(Date referenceDate, DoubleVector times, DoubleVector strikes, Matrix localVolMatrix, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation, FixedLocalVolSurface.Extrapolation upperExtrapolation)
FixedLocalVolSurface(Date referenceDate, DoubleVector times, DoubleVectorVector strikes, Matrix localVolMatrix, DayCounter dayCounter)
FixedLocalVolSurface(Date referenceDate, DoubleVector times, DoubleVectorVector strikes, Matrix localVolMatrix, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation)
FixedLocalVolSurface(Date referenceDate, DoubleVector times, DoubleVectorVector strikes, Matrix localVolMatrix, DayCounter dayCounter, FixedLocalVolSurface.Extrapolation lowerExtrapolation, FixedLocalVolSurface.Extrapolation upperExtrapolation)
LMMDriftCalculator(Matrix pseudo, DoubleVector displacements, DoubleVector taus, long numeraire, long alive)
Matrix(Matrix arg0)
StochasticProcessArray(StochasticProcess1DVector array, Matrix correlation)
SVD(Matrix arg0)
SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter)
SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)
SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter)
SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)
SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter)
SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation)
SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type)
SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, boolean flatExtrapolation, VolatilityType type, Matrix shifts)
YoYInflationCapFloorTermPriceSurface(long fixingDays, Period yyLag, YoYInflationIndex yii, double baseRate, YieldTermStructureHandle nominal, DayCounter dc, Calendar cal, BusinessDayConvention bdc, DoubleVector cStrikes, DoubleVector fStrikes, PeriodVector cfMaturities, Matrix cPrice, Matrix fPrice)
YoYInflationCapFloorTermPriceSurface(long fixingDays, Period yyLag, YoYInflationIndex yii, double baseRate, YieldTermStructureHandle nominal, DayCounter dc, Calendar cal, BusinessDayConvention bdc, DoubleVector cStrikes, DoubleVector fStrikes, PeriodVector cfMaturities, Matrix cPrice, Matrix fPrice, Bicubic interpolator2d)
YoYInflationCapFloorTermPriceSurface(long fixingDays, Period yyLag, YoYInflationIndex yii, double baseRate, YieldTermStructureHandle nominal, DayCounter dc, Calendar cal, BusinessDayConvention bdc, DoubleVector cStrikes, DoubleVector fStrikes, PeriodVector cfMaturities, Matrix cPrice, Matrix fPrice, Bicubic interpolator2d, Cubic interpolator1d)