NAME

ql/math/matrixutilities/getcovariance.hpp - Covariance matrix calculation.

SYNOPSIS


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

Classes


class CovarianceDecomposition
Covariance decomposition into correlation and variances.

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.

Author

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