CovarianceDecomposition Class Reference

Covariance decomposition into correlation and variances. More...

#include <ql/math/matrixutilities/getcovariance.hpp>

List of all members.

Public Member Functions

 CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None)
const Arrayvariances () const
const ArraystandardDeviations () const
const MatrixcorrelationMatrix () const


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

Constructor & Destructor Documentation

CovarianceDecomposition ( const Matrix covarianceMatrix,
Real  tolerance = 1.0e-12,
SalvagingAlgorithm::Type  sa = SalvagingAlgorithm::None 
)

Precondition:
covarianceMatrix must be symmetric


Member Function Documentation

const Array& variances (  )  const

returns the variances Array

const Array& standardDeviations (  )  const

returns the standard deviations Array

const Matrix& correlationMatrix (  )  const

returns the correlation matrix