correlationMatrix (3) - Linux Man Pages

correlationMatrix: Covariance decomposition into correlation and variances.

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, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None)

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, 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

Author

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