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
Constructor & Destructor Documentation
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- Precondition:
- covarianceMatrix must be symmetric
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Member Function Documentation
const Array& variances |
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const |
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returns the variances Array |
const Array& standardDeviations |
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const |
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returns the standard deviations Array |
const Matrix& correlationMatrix |
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const |
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returns the correlation matrix |
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