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getcovariance.hpp File Reference

Detailed Description

Covariance matrix calculation.

Definition in file getcovariance.hpp.

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

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::CovarianceDecomposition
 Covariance decomposition into correlation and variances. More...


template<class DataIterator>
Disposable< Matrix > QuantLib::getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12)
 Calculation of covariance from correlation and standard deviations.

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