Class ExpmFunctions

Namespace: NanoQL.Numerics

Assembly: NanoQL.dll

The matrix exponential by the ordinary differential equations method (Moler and Van Loan 1978, "Nineteen Dubious Ways to Compute the Exponential of a Matrix"): each column of exp(t·M) solves x' = M·x from a unit vector, by adaptive Runge-Kutta.

public static class ExpmFunctions

Inheritance: object

ExpmFunctions

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Expm(Matrix, double, double)

The matrix exponential exp(t·M).

public static Matrix Expm(Matrix m, double t = 1, double tol = 2.220446049250313E-16)

Parameters

m Matrix: The square matrix M.
t double: The time t.
tol double: The Runge-Kutta tolerance; QuantLib's default is QL_EPSILON.

Returns

Matrix: A new matrix, exp(t·M).

Exceptions

ArgumentNullException: m is null.
ArgumentException: m isn't square.
NanoQLException: The Runge-Kutta integration fails.