CovarianceDecomposition Class Reference
#include <ql/MonteCarlo/getcovariance.hpp>
Detailed Description
Extracts the correlation matrix and the vector of volatilities out of the input covariance matrix.Note that only the lower symmetric part of the covariance matrix is used.
- Precondition:
- The covariance matrix must be symmetric.
- Tests:
- cross checked with getCovariance
Public Member Functions | |
| CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12) | |
| const Array & | variances () const |
| const Array & | standardDeviations () const |
| const Matrix & | correlationMatrix () const |
Constructor & Destructor Documentation
| CovarianceDecomposition | ( | const Matrix & | covarianceMatrix, | |
| Real | tolerance = 1.0e-12 | |||
| ) |
- Precondition:
- covarianceMatrix must be symmetric
Member Function Documentation
| const Matrix& correlationMatrix | ( | ) | const |
returns the correlation matrix