QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Functions
getcovariance.hpp File Reference

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...
 

Detailed Description

Covariance matrix calculation.

Definition in file getcovariance.hpp.