multi_asset.cpp File Reference

Implementation of MultiAssetInterval, CorrelationMetric, MultiAssetLorentz, and PortfolioGeodesic. More...

#include "srfm/multi_asset.hpp"
#include "srfm/constants.hpp"
#include <Eigen/Cholesky>
#include <Eigen/Dense>
#include <algorithm>
#include <cassert>
#include <cmath>
#include <numeric>

Go to the source code of this file.

Namespaces
namespace	srfm
namespace	srfm::multi_asset

Detailed Description

Implementation of MultiAssetInterval, CorrelationMetric, MultiAssetLorentz, and PortfolioGeodesic.

Definition in file multi_asset.cpp.