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getcovariance.hpp
Langue: en
Version: 381638 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/math/matrixutilities/getcovariance.hpp -Covariance matrix calculation.
SYNOPSIS
#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
Classes
class CovarianceDecomposition
Covariance decomposition into correlation and variances.
Functions
template<class DataIterator > Disposable< Matrix > getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12)
Calculation of covariance from correlation and standard deviations.
Detailed Description
Covariance matrix calculation.
Author
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