CovarianceDecomposition Class Reference
#include <ql/math/matrixutilities/getcovariance.hpp>
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
Public Member Functions | |
CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12) | |
const Array & | variances () const |
const Array & | standardDeviations () const |
const Matrix & | correlationMatrix () const |
Constructor & Destructor Documentation
CovarianceDecomposition | ( | const Matrix & | covarianceMatrix, | |
Real | tolerance = 1.0e-12 | |||
) |
- Precondition:
- covarianceMatrix must be symmetric
Member Function Documentation
const Matrix& correlationMatrix | ( | ) | const |
returns the correlation matrix