1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2005, 2006 Klaus Spanderen 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 #include <ql/math/matrixutilities/pseudosqrt.hpp> 21 #include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> 22 23 namespace QuantLib { 24 LmCorrelationModel(Size size,Size nArguments)25 LmCorrelationModel::LmCorrelationModel(Size size, Size nArguments) 26 : size_(size), arguments_(nArguments) {} 27 size() const28 Size LmCorrelationModel::size() const { 29 return size_; 30 } 31 factors() const32 Size LmCorrelationModel::factors() const { 33 return size_; 34 } 35 isTimeIndependent() const36 bool LmCorrelationModel::isTimeIndependent() const { 37 return false; 38 } 39 pseudoSqrt(Time t,const Array & x) const40 Disposable<Matrix> LmCorrelationModel::pseudoSqrt( 41 Time t, const Array& x) const { 42 return QuantLib::pseudoSqrt(this->correlation(t, x), 43 SalvagingAlgorithm::Spectral); 44 } 45 correlation(Size i,Size j,Time t,const Array & x) const46 Real LmCorrelationModel::correlation( 47 Size i, Size j, Time t, const Array& x) const { 48 // inefficient implementation, please overload in derived classes 49 return correlation(t, x)[i][j]; 50 } 51 52 params()53 std::vector<Parameter>& LmCorrelationModel::params() { 54 return arguments_; 55 } 56 setParams(const std::vector<Parameter> & arguments)57 void LmCorrelationModel::setParams( 58 const std::vector<Parameter> & arguments) { 59 arguments_ = arguments; 60 generateArguments(); 61 } 62 63 } 64 65