QuantLib_CovarianceDecomposition man page

CovarianceDecomposition — Covariance decomposition into correlation and variances.


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

Public Member Functions

CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12)

const Array & variances () const

const Array & standardDeviations () const

const Matrix & correlationMatrix () const

Detailed Description

Covariance decomposition into correlation and variances.

Extracts the correlation matrix and the vector of variances out of the input covariance matrix.

Note that only the lower symmetric part of the covariance matrix is used.


The covariance matrix must be symmetric.


cross checked with getCovariance

Constructor & Destructor Documentation

CovarianceDecomposition (const Matrix & covarianceMatrix, Real tolerance = 1.0e-12)


covarianceMatrix must be symmetric

Member Function Documentation

const Array& variances () const

returns the variances Array

const Array& standardDeviations () const

returns the standard deviations Array

const Matrix& correlationMatrix () const

returns the correlation matrix


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

correlationMatrix(3), CovarianceDecomposition(3), standardDeviations(3) and variances(3) are aliases of QuantLib_CovarianceDecomposition(3).

QuantLib Version 1.8.1 Fri Sep 23 2016