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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 2006 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>
namespace QuantLib {
LmCorrelationModel::LmCorrelationModel(Size size, Size nArguments)
: size_(size), arguments_(nArguments) {}
Size LmCorrelationModel::size() const {
return size_;
}
Size LmCorrelationModel::factors() const {
return size_;
}
bool LmCorrelationModel::isTimeIndependent() const {
return false;
}
Disposable<Matrix> LmCorrelationModel::pseudoSqrt(
Time t, const Array& x) const {
return QuantLib::pseudoSqrt(this->correlation(t, x),
SalvagingAlgorithm::Spectral);
}
Real LmCorrelationModel::correlation(
Size i, Size j, Time t, const Array& x) const {
// inefficient implementation, please overload in derived classes
return correlation(t, x)[i][j];
}
std::vector<Parameter>& LmCorrelationModel::params() {
return arguments_;
}
void LmCorrelationModel::setParams(
const std::vector<Parameter> & arguments) {
arguments_ = arguments;
generateArguments();
}
}
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