/*
 * 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_ */