ql/math/matrixutilities/getcovariance.hpp File Reference

Covariance matrix calculation. More...

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

Include dependency graph for getcovariance.hpp:


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.

Detailed Description

Covariance matrix calculation.