getcovariance.hpp File Reference

Covariance matrix calculation. More...

Include dependency graph for getcovariance.hpp:

Classes

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

Namespaces

 QuantLib
 

Functions

template<class DataIterator >
Disposable< 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.