CovarianceDecomposition Class Reference

#include <ql/MonteCarlo/getcovariance.hpp>

List of all members.


Detailed Description

Extracts the correlation matrix and the vector of volatilities 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


Public Member Functions

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


Constructor & Destructor Documentation

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

Precondition:
covarianceMatrix must be symmetric


Member Function Documentation

const Array& variances  )  const
 

returns the variances Array

const Array& standardDeviations  )  const
 

returns the standard deviations Array

const Matrix& correlationMatrix  )  const
 

returns the correlation matrix


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