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autocovariance.hpp File Reference

autocovariance and convolution calculation More...

#include <ql/experimental/math/fastfouriertransform.hpp>
#include <ql/math/array.hpp>
#include <complex>
#include <vector>
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Namespaces

namespace  QuantLib

Functions

template<typename ForwardIterator , typename OutputIterator >
void QuantLib::autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
 Unbiased auto-correlations.
template<typename ForwardIterator , typename OutputIterator >
Real QuantLib::autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse)
 Unbiased auto-correlations.
template<typename ForwardIterator , typename OutputIterator >
Real QuantLib::autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse)
 Unbiased auto-covariances.
template<typename ForwardIterator , typename OutputIterator >
void QuantLib::autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
 Unbiased auto-covariances.
template<typename ForwardIterator , typename OutputIterator >
void QuantLib::convolutions (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
 Convolutions of the input sequence.
template<typename ForwardIterator >
std::vector< std::complex< Real > > QuantLib::detail::double_ft (ForwardIterator begin, ForwardIterator end)
template<typename InputIterator , typename OutputIterator >
Real QuantLib::detail::remove_mean (InputIterator begin, InputIterator end, OutputIterator out)

Detailed Description

autocovariance and convolution calculation

Definition in file autocovariance.hpp.


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