transitionmatrix.hpp File Reference

utility functions for transition matrices and generators More...

#include <ql/math/matrix.hpp>

Functions
void	sanitiseTransitionMatrix (Matrix &m)
void	checkTransitionMatrix (const Matrix &t)
	check if the matrix is a transition matrix, i.e. row sums are 1 and entries are non-negative
void	checkGeneratorMatrix (const Matrix &g)
	check if the matrix is a generator matirx, i.e. row sums are 0 and non-diagonal elements are non-negative
Matrix	generator (const Matrix &t, const Real horizon=1.0)
template<class I >
std::vector< Real >	creditStateBoundaries (const I &begin, const I &end)
	compute N(0,1) credit state boundaries

Detailed Description

utility functions for transition matrices and generators

Function Documentation

sanitiseTransitionMatrix()

void QuantExt::sanitiseTransitionMatrix

(

Matrix &

m

)

cap / floor elements at 1 / 0, adjust diagonal elements so that row sums are 1, or if that is not possible, divide the row elements by the row sum

generator()

Matrix QuantExt::generator	(	const Matrix &	t,
		const Real	horizon = 1.0
	)

build generator from transition matrix cf. Alexander Kreinin and Marina Sidelnikova, "Regularization Algorithms for Transition Matrices", Algorithm QOG