QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Covariance matrix calculation. More...
#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
Go to the source code of this file.
Classes | |
class | CovarianceDecomposition |
Covariance decomposition into correlation and variances. More... | |
Namespaces | |
namespace | QuantLib |
Functions | |
template<class DataIterator > | |
Matrix | getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12) |
Calculation of covariance from correlation and standard deviations. More... | |
Covariance matrix calculation.
Definition in file getcovariance.hpp.