QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
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 Arrayvariances () const
 
const ArraystandardDeviations () const
 
const MatrixcorrelationMatrix () 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 
)
Precondition
covarianceMatrix must be symmetric

Member Function Documentation

const Array& variances ( ) const

returns the variances Array

const Array& standardDeviations ( ) const

returns the standard deviations Array

const Matrix& correlationMatrix ( ) const

returns the correlation matrix