SpectralCovarianceSalvage Struct Reference

Implementation that uses the spectral method. More...

#include <qle/math/covariancesalvage.hpp>

Inheritance diagram for SpectralCovarianceSalvage:

Public Member Functions
std::pair< Matrix, Matrix >	salvage (const Matrix &m) const override

Detailed Description

Implementation that uses the spectral method.

Member Function Documentation

salvage()

std::pair< Matrix, Matrix > salvage ( const Matrix & m ) const

overridevirtual

Implements CovarianceSalvage.