getcovariance.hpp File Reference

Covariance matrix calculation. More...

#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>

Go to the source code of this file.

Classes
class	CovarianceDecomposition
	Covariance decomposition into correlation and variances. More...

Namespaces
namespace	QuantLib

Functions
template<class DataIterator >
Matrix	getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12)
	Calculation of covariance from correlation and standard deviations. More...

Detailed Description

Covariance matrix calculation.

Definition in file getcovariance.hpp.