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QuantLib_CovarianceDecomposition
Langue: en
Version: 380041 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::CovarianceDecomposition -Covariance decomposition into correlation and variances.
SYNOPSIS
#include <ql/math/matrixutilities/getcovariance.hpp>
Public Member Functions
CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12)
const Array & variances () const
const Array & standardDeviations () const
const Matrix & correlationMatrix () 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)Precondition:
- covarianceMatrix must be symmetric
Member Function Documentation
const Array& variances () constreturns the variances Array
const Array& standardDeviations () constreturns the standard deviations Array
const Matrix& correlationMatrix () constreturns the correlation matrix
Author
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