clange.f – Synopsis Functions/Subroutines REAL function clange (NORM, M, N, A, LDA, WORK) CLANGE returns the value of the 1-norm, Frobenius norm, infinity-norm, or the largest absolute value of any element of a general rectangular matrix. Function/Subroutine Documentation REAL function clange (characterNORM, integerM, integerN, complex, dimension( lda, * )A, integerLDA, real, dimension( * )WORK) CLANGE…
clangb.f – Synopsis Functions/Subroutines REAL function clangb (NORM, N, KL, KU, AB, LDAB, WORK) CLANGB returns the value of the 1-norm, Frobenius norm, infinity-norm, or the largest absolute value of any element of general band matrix. Function/Subroutine Documentation REAL function clangb (characterNORM, integerN, integerKL, integerKU, complex, dimension( ldab, * )AB, integerLDAB, real, dimension( * )WORK)…
clalsd.f – Synopsis Functions/Subroutines subroutine clalsd (UPLO, SMLSIZ, N, NRHS, D, E, B, LDB, RCOND, RANK, WORK, RWORK, IWORK, INFO) CLALSD uses the singular value decomposition of A to solve the least squares problem. Function/Subroutine Documentation subroutine clalsd (characterUPLO, integerSMLSIZ, integerN, integerNRHS, real, dimension( * )D, real, dimension( * )E, complex, dimension( ldb, * )B,…
clalsa.f – Synopsis Functions/Subroutines subroutine clalsa (ICOMPQ, SMLSIZ, N, NRHS, B, LDB, BX, LDBX, U, LDU, VT, K, DIFL, DIFR, Z, POLES, GIVPTR, GIVCOL, LDGCOL, PERM, GIVNUM, C, S, RWORK, IWORK, INFO) CLALSA computes the SVD of the coefficient matrix in compact form. Used by sgelsd. Function/Subroutine Documentation subroutine clalsa (integerICOMPQ, integerSMLSIZ, integerN, integerNRHS, complex,…
clals0.f – Synopsis Functions/Subroutines subroutine clals0 (ICOMPQ, NL, NR, SQRE, NRHS, B, LDB, BX, LDBX, PERM, GIVPTR, GIVCOL, LDGCOL, GIVNUM, LDGNUM, POLES, DIFL, DIFR, Z, K, C, S, RWORK, INFO) CLALS0 applies back multiplying factors in solving the least squares problem using divide and conquer SVD approach. Used by sgelsd. Function/Subroutine Documentation subroutine clals0 (integerICOMPQ,…
NAME QuantLib::CreditDefaultSwap – Credit default swap. SYNOPSIS #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void…
NAME ql/instruments/claim.hpp – Classes for default-event claims. SYNOPSIS #include <ql/instruments/bond.hpp> Classes class Claim Claim associated to a default event. class FaceValueClaim Claim on a notional. class FaceValueAccrualClaim Claim on the notional of a reference security, including accrual. Detailed Description Classes for default-event claims. Author Generated automatically by Doxygen for QuantLib from the source code. Index
claic1.f – Synopsis Functions/Subroutines subroutine claic1 (JOB, J, X, SEST, W, GAMMA, SESTPR, S, C) CLAIC1 applies one step of incremental condition estimation. Function/Subroutine Documentation subroutine claic1 (integerJOB, integerJ, complex, dimension( j )X, realSEST, complex, dimension( j )W, complexGAMMA, realSESTPR, complexS, complexC) CLAIC1 applies one step of incremental condition estimation. Purpose: CLAIC1 applies one step…
clahrd.f – Synopsis Functions/Subroutines subroutine clahrd (N, K, NB, A, LDA, TAU, T, LDT, Y, LDY) CLAHRD reduces the first nb columns of a general rectangular matrix A so that elements below the k-th subdiagonal are zero, and returns auxiliary matrices which are needed to apply the transformation to the unreduced part of A. Function/Subroutine…
clahr2.f – Synopsis Functions/Subroutines subroutine clahr2 (N, K, NB, A, LDA, TAU, T, LDT, Y, LDY) CLAHR2 reduces the specified number of first columns of a general rectangular matrix A so that elements below the specified subdiagonal are zero, and returns auxiliary matrices which are needed to apply the transformation to the unreduced part of…
clahqr.f – Synopsis Functions/Subroutines subroutine clahqr (WANTT, WANTZ, N, ILO, IHI, H, LDH, W, ILOZ, IHIZ, Z, LDZ, INFO) CLAHQR computes the eigenvalues and Schur factorization of an upper Hessenberg matrix, using the double-shift/single-shift QR algorithm. Function/Subroutine Documentation subroutine clahqr (logicalWANTT, logicalWANTZ, integerN, integerILO, integerIHI, complex, dimension( ldh, * )H, integerLDH, complex, dimension( * )W,…
NAME clahef_rook.f – SYNOPSIS Functions/Subroutines subroutine clahef_rook (UPLO, N, NB, KB, A, LDA, IPIV, W, LDW, INFO) Function/Subroutine Documentation subroutine clahef_rook (characterUPLO, integerN, integerNB, integerKB, complex, dimension( lda, * )A, integerLDA, integer, dimension( * )IPIV, complex, dimension( ldw, * )W, integerLDW, integerINFO) Purpose: CLAHEF_ROOK computes a partial factorization of a complex Hermitian matrix A using…
clahef.f – Synopsis Functions/Subroutines subroutine clahef (UPLO, N, NB, KB, A, LDA, IPIV, W, LDW, INFO) CLAHEF computes a partial factorization of a complex Hermitian indefinite matrix, using the diagonal pivoting method. Function/Subroutine Documentation subroutine clahef (characterUPLO, integerN, integerNB, integerKB, complex, dimension( lda, * )A, integerLDA, integer, dimension( * )IPIV, complex, dimension( ldw, * )W,…
clagtm.f – Synopsis Functions/Subroutines subroutine clagtm (TRANS, N, NRHS, ALPHA, DL, D, DU, X, LDX, BETA, B, LDB) CLAGTM performs a matrix-matrix product of the form C = αAB+βC, where A is a tridiagonal matrix, B and C are rectangular matrices, and α and β are scalars, which may be 0, 1, or -1. Function/Subroutine…
clags2.f – Synopsis Functions/Subroutines subroutine clags2 (UPPER, A1, A2, A3, B1, B2, B3, CSU, SNU, CSV, SNV, CSQ, SNQ) CLAGS2 Function/Subroutine Documentation subroutine clags2 (logicalUPPER, realA1, complexA2, realA3, realB1, complexB2, realB3, realCSU, complexSNU, realCSV, complexSNV, realCSQ, complexSNQ) CLAGS2 Purpose: CLAGS2 computes 2-by-2 unitary matrices U, V and Q, such that if ( UPPER ) then…
clag2z.f – Synopsis Functions/Subroutines subroutine clag2z (M, N, SA, LDSA, A, LDA, INFO) CLAG2Z converts a complex single precision matrix to a complex double precision matrix. Function/Subroutine Documentation subroutine clag2z (integerM, integerN, complex, dimension( ldsa, * )SA, integerLDSA, complex*16, dimension( lda, * )A, integerLDA, integerINFO) CLAG2Z converts a complex single precision matrix to a complex…
claev2.f – Synopsis Functions/Subroutines subroutine claev2 (A, B, C, RT1, RT2, CS1, SN1) CLAEV2 computes the eigenvalues and eigenvectors of a 2-by-2 symmetric/Hermitian matrix. Function/Subroutine Documentation subroutine claev2 (complexA, complexB, complexC, realRT1, realRT2, realCS1, complexSN1) CLAEV2 computes the eigenvalues and eigenvectors of a 2-by-2 symmetric/Hermitian matrix. Purpose: CLAEV2 computes the eigendecomposition of a 2-by-2 Hermitian…
claesy.f – Synopsis Functions/Subroutines subroutine claesy (A, B, C, RT1, RT2, EVSCAL, CS1, SN1) CLAESY computes the eigenvalues and eigenvectors of a 2-by-2 complex symmetric matrix. Function/Subroutine Documentation subroutine claesy (complexA, complexB, complexC, complexRT1, complexRT2, complexEVSCAL, complexCS1, complexSN1) CLAESY computes the eigenvalues and eigenvectors of a 2-by-2 complex symmetric matrix. Purpose: CLAESY computes the eigendecomposition…
claein.f – Synopsis Functions/Subroutines subroutine claein (RIGHTV, NOINIT, N, H, LDH, W, V, B, LDB, RWORK, EPS3, SMLNUM, INFO) CLAEIN computes a specified right or left eigenvector of an upper Hessenberg matrix by inverse iteration. Function/Subroutine Documentation subroutine claein (logicalRIGHTV, logicalNOINIT, integerN, complex, dimension( ldh, * )H, integerLDH, complexW, complex, dimension( * )V, complex, dimension(…
claed8.f – Synopsis Functions/Subroutines subroutine claed8 (K, N, QSIZ, Q, LDQ, D, RHO, CUTPNT, Z, DLAMDA, Q2, LDQ2, W, INDXP, INDX, INDXQ, PERM, GIVPTR, GIVCOL, GIVNUM, INFO) CLAED8 used by sstedc. Merges eigenvalues and deflates secular equation. Used when the original matrix is dense. Function/Subroutine Documentation subroutine claed8 (integerK, integerN, integerQSIZ, complex, dimension( ldq, *…