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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SymmetricSchurDecomposition
obj=SymmetricSchurDecomposition[SymmetricMatrix]
CovarianceDecomposition
obj=CovarianceDecomposition[SymmetricMatrix,SalvagingAlgorithm]
SymmetricSchurDecompositionEigenvalues
SymmetricSchurDecompositionEigenvalues[obj]
SymmetricSchurDecompositionEigenvectors
SymmetricSchurDecompositionEigenvectors[obj]
CovarianceDecompositionVariances
CovarianceDecompositionVariances[obj]
CovarianceDecompositionStandardDeviations
CovarianceDecompositionStandardDeviations[obj]
CovarianceDecompositionCorrelationMatrix
CovarianceDecompositionCorrelationMatrix[obj]
PrimeNumber
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PrimeNumber[n]
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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]
