variances (3) - Linux Manuals
variances: Covariance decomposition into correlation and variances.
NAME
QuantLib::CovarianceDecomposition - Covariance decomposition into correlation and variances.
SYNOPSIS
#include <ql/math/matrixutilities/getcovariance.hpp>
Public Member Functions
CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None)
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.
Precondition:
- The covariance matrix must be symmetric.
Tests
- cross checked with getCovariance
Constructor & Destructor Documentation
CovarianceDecomposition (const Matrix & covarianceMatrix, Real tolerance = 1.0e-12, SalvagingAlgorithm::Type sa = SalvagingAlgorithm::None)
Precondition:
- covarianceMatrix must be symmetric
Member Function Documentation
const Array& variances () const
const Array& standardDeviations () const
returns the standard deviations Array
const Matrix& correlationMatrix () const
returns the correlation matrix
Author
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