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. |