Section 3: library functions
cungqr.f – Synopsis Functions/Subroutines subroutine cungqr (M, N, K, A, LDA, TAU, WORK, LWORK, INFO) CUNGQR Function/Subroutine Documentation subroutine cungqr (integerM, integerN, integerK, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerLWORK, integerINFO) CUNGQR Purpose: CUNGQR generates an M-by-N complex matrix Q with orthonormal columns, which is defined as…
cungql.f – Synopsis Functions/Subroutines subroutine cungql (M, N, K, A, LDA, TAU, WORK, LWORK, INFO) CUNGQL Function/Subroutine Documentation subroutine cungql (integerM, integerN, integerK, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerLWORK, integerINFO) CUNGQL Purpose: CUNGQL generates an M-by-N complex matrix Q with orthonormal columns, which is defined as…
cunglq.f – Synopsis Functions/Subroutines subroutine cunglq (M, N, K, A, LDA, TAU, WORK, LWORK, INFO) CUNGLQ Function/Subroutine Documentation subroutine cunglq (integerM, integerN, integerK, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerLWORK, integerINFO) CUNGLQ Purpose: CUNGLQ generates an M-by-N complex matrix Q with orthonormal rows, which is defined as…
cungl2.f – Synopsis Functions/Subroutines subroutine cungl2 (M, N, K, A, LDA, TAU, WORK, INFO) CUNGL2 generates all or part of the unitary matrix Q from an LQ factorization determined by cgelqf (unblocked algorithm). Function/Subroutine Documentation subroutine cungl2 (integerM, integerN, integerK, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerINFO)…
cunghr.f – Synopsis Functions/Subroutines subroutine cunghr (N, ILO, IHI, A, LDA, TAU, WORK, LWORK, INFO) CUNGHR Function/Subroutine Documentation subroutine cunghr (integerN, integerILO, integerIHI, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerLWORK, integerINFO) CUNGHR Purpose: CUNGHR generates a complex unitary matrix Q which is defined as the product of…
cungbr.f – Synopsis Functions/Subroutines subroutine cungbr (VECT, M, N, K, A, LDA, TAU, WORK, LWORK, INFO) CUNGBR Function/Subroutine Documentation subroutine cungbr (characterVECT, integerM, integerN, integerK, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerLWORK, integerINFO) CUNGBR Purpose: CUNGBR generates one of the complex unitary matrices Q or P**H determined…
cung2r.f – Synopsis Functions/Subroutines subroutine cung2r (M, N, K, A, LDA, TAU, WORK, INFO) CUNG2R Function/Subroutine Documentation subroutine cung2r (integerM, integerN, integerK, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerINFO) CUNG2R Purpose: CUNG2R generates an m by n complex matrix Q with orthonormal columns, which is defined as…
cung2l.f – Synopsis Functions/Subroutines subroutine cung2l (M, N, K, A, LDA, TAU, WORK, INFO) CUNG2L generates all or part of the unitary matrix Q from a QL factorization determined by cgeqlf (unblocked algorithm). Function/Subroutine Documentation subroutine cung2l (integerM, integerN, integerK, complex, dimension( lda, * )A, integerLDA, complex, dimension( * )TAU, complex, dimension( * )WORK, integerINFO)…
NAME cuncsd2by1.f – SYNOPSIS Functions/Subroutines subroutine cuncsd2by1 (JOBU1, JOBU2, JOBV1T, M, P, Q, X11, LDX11, X21, LDX21, THETA, U1, LDU1, U2, LDU2, V1T, LDV1T, WORK, LWORK, RWORK, LRWORK, IWORK, INFO) CUNCSD2BY1 Function/Subroutine Documentation subroutine cuncsd2by1 (characterJOBU1, characterJOBU2, characterJOBV1T, integerM, integerP, integerQ, complex, dimension(ldx11,*)X11, integerLDX11, complex, dimension(ldx21,*)X21, integerLDX21, real, dimension(*)THETA, complex, dimension(ldu1,*)U1, integerLDU1, complex, dimension(ldu2,*)U2, integerLDU2,…
cuncsd.f – Synopsis Functions/Subroutines recursive subroutine cuncsd (JOBU1, JOBU2, JOBV1T, JOBV2T, TRANS, SIGNS, M, P, Q, X11, LDX11, X12, LDX12, X21, LDX21, X22, LDX22, THETA, U1, LDU1, U2, LDU2, V1T, LDV1T, V2T, LDV2T, WORK, LWORK, RWORK, LRWORK, IWORK, INFO) CUNCSD Function/Subroutine Documentation recursive subroutine cuncsd (characterJOBU1, characterJOBU2, characterJOBV1T, characterJOBV2T, characterTRANS, characterSIGNS, integerM, integerP, integerQ, complex,…
NAME cunbdb6.f – SYNOPSIS Functions/Subroutines subroutine cunbdb6 (M1, M2, N, X1, INCX1, X2, INCX2, Q1, LDQ1, Q2, LDQ2, WORK, LWORK, INFO) CUNBDB6 Function/Subroutine Documentation subroutine cunbdb6 (integerM1, integerM2, integerN, complex, dimension(*)X1, integerINCX1, complex, dimension(*)X2, integerINCX2, complex, dimension(ldq1,*)Q1, integerLDQ1, complex, dimension(ldq2,*)Q2, integerLDQ2, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB6 .SH "Purpose:" CUNBDB6 orthogonalizes the column vector X =…
NAME cunbdb5.f – SYNOPSIS Functions/Subroutines subroutine cunbdb5 (M1, M2, N, X1, INCX1, X2, INCX2, Q1, LDQ1, Q2, LDQ2, WORK, LWORK, INFO) CUNBDB5 Function/Subroutine Documentation subroutine cunbdb5 (integerM1, integerM2, integerN, complex, dimension(*)X1, integerINCX1, complex, dimension(*)X2, integerINCX2, complex, dimension(ldq1,*)Q1, integerLDQ1, complex, dimension(ldq2,*)Q2, integerLDQ2, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB5 .SH "Purpose:" CUNBDB5 orthogonalizes the column vector X =…
NAME cunbdb4.f – SYNOPSIS Functions/Subroutines subroutine cunbdb4 (M, P, Q, X11, LDX11, X21, LDX21, THETA, PHI, TAUP1, TAUP2, TAUQ1, PHANTOM, WORK, LWORK, INFO) CUNBDB4 Function/Subroutine Documentation subroutine cunbdb4 (integerM, integerP, integerQ, complex, dimension(ldx11,*)X11, integerLDX11, complex, dimension(ldx21,*)X21, integerLDX21, real, dimension(*)THETA, real, dimension(*)PHI, complex, dimension(*)TAUP1, complex, dimension(*)TAUP2, complex, dimension(*)TAUQ1, complex, dimension(*)PHANTOM, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB4 .SH…
NAME cunbdb3.f – SYNOPSIS Functions/Subroutines subroutine cunbdb3 (M, P, Q, X11, LDX11, X21, LDX21, THETA, PHI, TAUP1, TAUP2, TAUQ1, WORK, LWORK, INFO) CUNBDB3 Function/Subroutine Documentation subroutine cunbdb3 (integerM, integerP, integerQ, complex, dimension(ldx11,*)X11, integerLDX11, complex, dimension(ldx21,*)X21, integerLDX21, real, dimension(*)THETA, real, dimension(*)PHI, complex, dimension(*)TAUP1, complex, dimension(*)TAUP2, complex, dimension(*)TAUQ1, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB3 .SH "Purpose:" CUNBDB3 simultaneously…
NAME cunbdb2.f – SYNOPSIS Functions/Subroutines subroutine cunbdb2 (M, P, Q, X11, LDX11, X21, LDX21, THETA, PHI, TAUP1, TAUP2, TAUQ1, WORK, LWORK, INFO) CUNBDB2 Function/Subroutine Documentation subroutine cunbdb2 (integerM, integerP, integerQ, complex, dimension(ldx11,*)X11, integerLDX11, complex, dimension(ldx21,*)X21, integerLDX21, real, dimension(*)THETA, real, dimension(*)PHI, complex, dimension(*)TAUP1, complex, dimension(*)TAUP2, complex, dimension(*)TAUQ1, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB2 .SH "Purpose:" CUNBDB2 simultaneously…
NAME cunbdb1.f – SYNOPSIS Functions/Subroutines subroutine cunbdb1 (M, P, Q, X11, LDX11, X21, LDX21, THETA, PHI, TAUP1, TAUP2, TAUQ1, WORK, LWORK, INFO) CUNBDB1 Function/Subroutine Documentation subroutine cunbdb1 (integerM, integerP, integerQ, complex, dimension(ldx11,*)X11, integerLDX11, complex, dimension(ldx21,*)X21, integerLDX21, real, dimension(*)THETA, real, dimension(*)PHI, complex, dimension(*)TAUP1, complex, dimension(*)TAUP2, complex, dimension(*)TAUQ1, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB1 .SH "Purpose:" CUNBDB1 simultaneously…
cunbdb.f – Synopsis Functions/Subroutines subroutine cunbdb (TRANS, SIGNS, M, P, Q, X11, LDX11, X12, LDX12, X21, LDX21, X22, LDX22, THETA, PHI, TAUP1, TAUP2, TAUQ1, TAUQ2, WORK, LWORK, INFO) CUNBDB Function/Subroutine Documentation subroutine cunbdb (characterTRANS, characterSIGNS, integerM, integerP, integerQ, complex, dimension( ldx11, * )X11, integerLDX11, complex, dimension( ldx12, * )X12, integerLDX12, complex, dimension( ldx21, * )X21,…
QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…
QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…
QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…