Creating a rotation matrix with pitch, yaw, roll using Eigen

Caesar answer is ok but as David Hammen says it depends on your application. For me (underwater or aerial vehicles field) the winning combination is:

Eigen::Quaterniond
euler2Quaternion( const double roll,
                  const double pitch,
                  const double yaw )
{
    Eigen::AngleAxisd rollAngle(roll, Eigen::Vector3d::UnitX());
    Eigen::AngleAxisd pitchAngle(pitch, Eigen::Vector3d::UnitY());
    Eigen::AngleAxisd yawAngle(yaw, Eigen::Vector3d::UnitZ());

    Eigen::Quaterniond q = yawAngle * pitchAngle * rollAngle;
    return q;
}

How do I create a rotation matrix using pitch, yaw, roll with Eigen library?

There are 48 ways to do this. Which one do you want? Here are the factors:

• Extrinsic verus intrinsic.
  Are the rotations about the axes of the fixed system (extrinsic) or are they about the rotated axes (intrinsic)?
  
  
• Rotation versus transformation.
  Do you want to represent the matrix that physically rotates some object or do you want to represent the matrix that transforms vectors from one reference frame to another?
  
  
• Astronomical sequences.
  There are six fundamental astronomical sequences. The canonical Euler sequence involves a rotation about the z axis followed by a rotation about the (rotated) x axis followed by a third rotation about (rotated again) z axis. There are five more of these astronomical-style sequences (x-y-x, x-z-x, y-x-y, y-z-y,and z-y-z) in addition to this canonical z-x-z sequence.
  
  
• Aerospace sequences.
  To add to the confusion, there are six fundamental aerospace sequences as well. For example, a pitch-yaw-roll sequence versus a roll-pitch-yaw sequence. While the astronomy community has pretty much settled on a z-x-z sequence, the same cannot be said of the aerospace community. Somewhere along the way you find people using every one of the six possible sequences. The six sequences in this group are x-y-z, x-z-y, y-z-x, y-x-z, z-x-y, and z-y-x.

Seeing as how I couldn't find a prebuilt function that does this, I built one and here it is in case someone finds this question in the future

Eigen::AngleAxisd rollAngle(roll, Eigen::Vector3d::UnitZ());
Eigen::AngleAxisd yawAngle(yaw, Eigen::Vector3d::UnitY());
Eigen::AngleAxisd pitchAngle(pitch, Eigen::Vector3d::UnitX());

Eigen::Quaternion<double> q = rollAngle * yawAngle * pitchAngle;

Eigen::Matrix3d rotationMatrix = q.matrix();