- QuantLib
- CovarianceDecomposition
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 |
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.
CovarianceDecomposition | ( | const Matrix & | covarianceMatrix, |
Real | tolerance = 1.0e-12 |
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) |
const Array& standardDeviations | ( | ) | const |
returns the standard deviations Array
const Matrix& correlationMatrix | ( | ) | const |
returns the correlation matrix