Mathf

Math utility functions.

The first step is to load the QuantLib package.

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Needs["QuantLib`"]

Within the Math part there are several constructors and member functions available

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Select[Category[Math],QLConstructor[#]&]

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Select[Category[Math],QLMember[#]&]

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Select[Category[Math],QLProcedure[#]&]

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Constructors

SymmetricSchurDecomposition

obj=SymmetricSchurDecomposition[SymmetricMatrix]

CovarianceDecomposition

obj=CovarianceDecomposition[SymmetricMatrix,SalvagingAlgorithm]

Member function

SymmetricSchurDecompositionEigenvalues

SymmetricSchurDecompositionEigenvalues[obj]

SymmetricSchurDecompositionEigenvectors

SymmetricSchurDecompositionEigenvectors[obj]

CovarianceDecompositionVariances

CovarianceDecompositionVariances[obj]

CovarianceDecompositionStandardDeviations

CovarianceDecompositionStandardDeviations[obj]

CovarianceDecompositionCorrelationMatrix

CovarianceDecompositionCorrelationMatrix[obj]

Procedures

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NormDist

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NormDist[X]

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NormSDist

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NormSDist[Z]

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NormInv

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NormInv[Probability]

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NormSInv

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NormSInv[Probability]

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CholeskyDecomposition

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CholeskyDecomposition[Matrix]

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PseudoSqrt

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PseudoSqrt[Matrix,SalvagingAlgorithm]

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RankReducedSqrt

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RankReducedSqrt[Matrix,MaxRank,ComponentPercentage,SalvagingAlgorithm]

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GetCovariance

GetCovariance[Vols,Matrix]