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getcovariance.hpp File Reference

Covariance matrix calculation. More...

#include <ql/Math/matrix.hpp>
#include <ql/Utilities/dataformatters.hpp>
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class  QuantLib::CovarianceDecomposition


template<class DataIterator >
Disposable< Matrix > QuantLib::getCovariance (DataIterator volBegin, DataIterator volEnd, const Matrix &corr, Real tolerance=1.0e-12)

Detailed Description

Covariance matrix calculation.

Definition in file getcovariance.hpp.

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