QuantLib_SVD man page

SVD — Singular value decomposition.


#include <ql/math/matrixutilities/svd.hpp>

Public Member Functions

SVD (const Matrix &)

const Matrix & U () const

const Matrix & V () const

const Array & singularValues () const

Disposable< Matrix > S () const

Real norm2 () const

Real cond () const

Size rank () const

Disposable< Array > solveFor (const Array &) const

Detailed Description

Singular value decomposition.

Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press


the correctness of the returned values is tested by checking their properties.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ncl_dandr(3), ncl_init3d(3), ncl_srface(3).

cond(3), norm2(3), S(3), singularValues(3), solveFor(3), SVD(3) and V(3) are aliases of QuantLib_SVD(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib