QuantLib 0.3.11
Getting started
Reference manual
ql/MonteCarlo/getcovariance.hpp File Reference
Detailed Description
Covariance matrix calculation.
#include <ql/Math/matrix.hpp>
#include <ql/Utilities/dataformatters.hpp>
Include dependency graph for getcovariance.hpp:
Namespaces | |
| namespace | QuantLib |
Classes | |
| class | CovarianceDecomposition |
Functions | |
| template<class DataIterator> | |
| Disposable< Matrix > | QuantLib::getCovariance (DataIterator volBegin, DataIterator volEnd, const Matrix &corr, Real tolerance=1.0e-12) |
