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/*
* 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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