QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
math Directory Reference

Files

file  adaptiverungekutta.hpp
 Runge-Kutta ODE integration.
 
file  claytoncopularng.hpp
 Clayton copula random-number generator.
 
file  convolvedstudentt.hpp
 
file  expm.hpp
 matrix exponential
 
file  farliegumbelmorgensterncopularng.hpp
 Farlie-Gumbel-Morgenstern copula random-number generator.
 
file  frankcopularng.hpp
 Frank copula random-number generator.
 
file  gaussiancopulapolicy.hpp
 
file  latentmodel.hpp
 Generic multifactor latent variable model.
 
file  multidimintegrator.hpp
 
file  multidimquadrature.hpp
 
file  polarstudenttrng.hpp
 Polar Student t random-number generator.
 
file  simulatedannealing.hpp
 Numerical Recipes in C (second edition), Chapter 10.9, with the original exit criterion in f(x) replaced by one in x (see simplex.cpp for a reference to GSL concerning this)
 
file  tcopulapolicy.hpp
 
file  zigguratrng.hpp
 Ziggurat random-number generator.