CovarianceDecomposition Class Reference

Covariance decomposition into correlation and variances. More...

#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.

Precondition

The covariance matrix must be symmetric.

Tests

cross checked with getCovariance

Constructor & Destructor Documentation

CovarianceDecomposition()

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

Precondition

covarianceMatrix must be symmetric

Member Function Documentation

variances()

const Array & variances

(

)

const

returns the variances Array

standardDeviations()

const Array & standardDeviations

(

)

const

returns the standard deviations Array

correlationMatrix()

const Matrix & correlationMatrix

(

)

const

returns the correlation matrix