CovarianceDecomposition Class Reference

Covariance decomposition into correlation and variances. More...

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

Collaboration diagram for CovarianceDecomposition:

Public Member Functions
	CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12)
const Array &	variances () const
const Array &	standardDeviations () const
const Matrix &	correlationMatrix () const

Private Attributes
Array	variances_
Array	stdDevs_
Matrix	correlationMatrix_

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

Definition at line 95 of file getcovariance.hpp.

Constructor & Destructor Documentation

CovarianceDecomposition()

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

Precondition

covarianceMatrix must be symmetric

Definition at line 24 of file getcovariance.cpp.

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Member Function Documentation

variances()

const Array & variances

(

)

const

returns the variances Array

Definition at line 102 of file getcovariance.hpp.

standardDeviations()

const Array & standardDeviations

(

)

const

returns the standard deviations Array

Definition at line 104 of file getcovariance.hpp.

correlationMatrix()

const Matrix & correlationMatrix

(

)

const

returns the correlation matrix

Definition at line 106 of file getcovariance.hpp.

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Member Data Documentation

variances_

Array variances_

private

Definition at line 108 of file getcovariance.hpp.

stdDevs_

Array stdDevs_

private

Definition at line 108 of file getcovariance.hpp.

correlationMatrix_

Matrix correlationMatrix_

private

Definition at line 109 of file getcovariance.hpp.