From 33613a85afc4b1481367fbe92a17ee59c240250b Mon Sep 17 00:00:00 2001
From: Sven Eisenhauer <sven@sven-eisenhauer.net>
Date: Fri, 10 Nov 2023 15:11:48 +0100
Subject: add new repo

---
 .../Aufgabe2und3/src/CholeskyDecomposition.h       | 40 ++++++++++++++++++++++
 1 file changed, 40 insertions(+)
 create mode 100644 Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.h

(limited to 'Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.h')

diff --git a/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.h b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.h
new file mode 100644
index 0000000..b7bdb6c
--- /dev/null
+++ b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.h
@@ -0,0 +1,40 @@
+/*
+ * CholeskyDecomposition.h
+ *
+ *  Created on: 20.05.2011
+ *      Author: sven
+ */
+
+#ifndef CHOLESKYDECOMPOSITION_H_
+#define CHOLESKYDECOMPOSITION_H_
+
+#include <vector>
+
+typedef unsigned int UInt32;
+typedef std::vector< std::vector<double> > CholeskyMatrix;
+
+class CholeskyDecomposition {
+public:
+	CholeskyDecomposition();
+	virtual ~CholeskyDecomposition();
+	void calcCholeskyDecompostions(const Parametrisation& params);
+	const CholeskyMatrix& getMatrix(const enHoldingTime& holdingTime) const
+	{
+		switch(holdingTime)
+		{
+		case nenOneDay:
+			return mCholeskyMatrixOneDay;
+		case nenTenDays:
+			return mCholeskyMatrixTenDays;
+		default:
+			throw 17;
+		}
+	}
+private:
+	CholeskyMatrix mCholeskyMatrixOneDay;
+	CholeskyMatrix mCholeskyMatrixTenDays;
+	void dumpCholeskyMatrices();
+	void calcCholeskyMatrix(CholeskyMatrix& d, const CovarianceMatrix& b);
+};
+
+#endif /* CHOLESKYDECOMPOSITION_H_ */
-- 
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