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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 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
<https://www.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.
*/
/*! \file expm.hpp
\brief matrix exponential
*/
#ifndef quantlib_expm_hpp
#define quantlib_expm_hpp
#include <ql/math/matrix.hpp>
namespace QuantLib {
//! matrix exponential based on the ordinary differential equations method
/*! References:
C. Moler; C. Van Loan, 1978,
Nineteen Dubious Ways to Compute the Exponential of a Matrix
http://xa.yimg.com/kq/groups/22199541/1399635765/name/moler-nineteen.pdf
*/
//! returns the matrix exponential exp(t*M)
Matrix Expm(const Matrix& M, Real t=1.0, Real tol=QL_EPSILON);
}
#endif
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