ql/math/matrixutilities/getcovariance.hpp File Reference


Detailed Description

Covariance matrix calculation.

#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>

Include dependency graph for getcovariance.hpp:


Namespaces

namespace  QuantLib

Classes

class  CovarianceDecomposition
 Covariance decomposition into correlation and variances. More...

Functions

template<class DataIterator>
Disposable< Matrix > getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12)
 Calculation of covariance from correlation and standard deviations.