ql/math/matrixutilities/getcovariance.hpp File Reference
Detailed Description
Covariance matrix calculation.
#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
Include dependency graph for getcovariance.hpp:

Namespaces | |
| namespace | QuantLib |
Classes | |
| class | CovarianceDecomposition |
| Covariance decomposition into correlation and variances. More... | |
Functions | |
| template<class DataIterator> | |
| Disposable< Matrix > | getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12) |
| Calculation of covariance from correlation and standard deviations. | |