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Sourcecode: quantlib version File versions  Download package

getcovariance.hpp File Reference


Detailed Description

Covariance matrix calculation.

Definition in file getcovariance.hpp.

#include <ql/Math/matrix.hpp>
#include <ql/Utilities/dataformatters.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::CovarianceDecomposition

Functions

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


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