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getcovariance.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2004, 2007 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/math/matrixutilities/getcovariance.hpp>

namespace QuantLib {

00024     CovarianceDecomposition::CovarianceDecomposition(const Matrix& cov,
                                                     Real tolerance)
    : variances_(cov.diagonal()), stdDevs_(Array(cov.rows())),
      correlationMatrix_(Matrix(cov.rows(), cov.rows())) {

        Size size = cov.rows();
        QL_REQUIRE(size==cov.columns(),
                   "input covariance matrix must be square");

        for (Size i=0; i<size; ++i) {
            stdDevs_[i] = std::sqrt(variances_[i]);
            correlationMatrix_[i][i] = 1.0;
            for (Size j=0; j<i; ++j){
                QL_REQUIRE(std::fabs(cov[i][j]-cov[j][i]) <= tolerance,
                           "invalid covariance matrix:"
                           << "\nc[" << i << ", " << j << "] = " << cov[i][j]
                           << "\nc[" << j << ", " << i << "] = " << cov[j][i]);
                correlationMatrix_[i][j] = correlationMatrix_[j][i] =
                                        cov[i][j]/(stdDevs_[i]*stdDevs_[j]);
            }
        }
    }
}

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