QuantLib_CovarianceDecomposition

Langue: en

Autres versions - même langue

Version: 380041 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::CovarianceDecomposition -

Covariance decomposition into correlation and variances.

SYNOPSIS


#include <ql/math/matrixutilities/getcovariance.hpp>

Public Member Functions


CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12)

const Array & variances () const

const Array & standardDeviations () const

const Matrix & correlationMatrix () const

Detailed Description

Covariance decomposition into correlation and variances.

Extracts the correlation matrix and the vector of variances out of the input covariance matrix.

Note that only the lower symmetric part of the covariance matrix is used.

Precondition:

The covariance matrix must be symmetric.

Tests

cross checked with getCovariance

Constructor & Destructor Documentation

CovarianceDecomposition (const Matrix & covarianceMatrix, Real tolerance = 1.0e-12)Precondition:

covarianceMatrix must be symmetric

Member Function Documentation

const Array& variances () constreturns the variances Array

const Array& standardDeviations () constreturns the standard deviations Array

const Matrix& correlationMatrix () constreturns the correlation matrix

Author

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