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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_covariance_decomposition.html">CovarianceDecomposition</a></div>
<h1>CovarianceDecomposition Class Reference</h1><!-- doxytag: class="QuantLib::CovarianceDecomposition" --><code>#include <ql/math/matrixutilities/getcovariance.hpp></code>
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<p>
<a href="class_quant_lib_1_1_covariance_decomposition-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Covariance decomposition into correlation and variances.
<p>
Extracts the correlation matrix and the vector of variances out of the input covariance matrix.<p>
Note that only the lower symmetric part of the covariance matrix is used.<p>
<dl class="pre" compact><dt><b>Precondition:</b></dt><dd>The covariance matrix must be symmetric.</dd></dl>
<dl compact><dt><b><a class="el" href="test.html#_test000036">Tests:</a></b></dt><dd>cross checked with getCovariance </dd></dl>
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html#71b475d35b0339ea303b4da1087d6063">CovarianceDecomposition</a> (const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &covarianceMatrix, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html#cc058c47207cbd07511c380d0c4e4eb6">variances</a> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html#c552baaa07f4c0775024d08fd5dd55a7">standardDeviations</a> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html#e5ed4f9cce250d01778cf8d213fa8309">correlationMatrix</a> () const </td></tr>
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<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="71b475d35b0339ea303b4da1087d6063"></a><!-- doxytag: member="QuantLib::CovarianceDecomposition::CovarianceDecomposition" ref="71b475d35b0339ea303b4da1087d6063" args="(const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None)" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html">CovarianceDecomposition</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td>
<td class="paramname"> <em>covarianceMatrix</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>tolerance</em> = <code>1.0e-12</code>, </td>
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<td class="paramtype">SalvagingAlgorithm::Type </td>
<td class="paramname"> <em>sa</em> = <code>SalvagingAlgorithm::None</code></td><td> </td>
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<td>)</td>
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<dl class="pre" compact><dt><b>Precondition:</b></dt><dd>covarianceMatrix must be symmetric </dd></dl>
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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="cc058c47207cbd07511c380d0c4e4eb6"></a><!-- doxytag: member="QuantLib::CovarianceDecomposition::variances" ref="cc058c47207cbd07511c380d0c4e4eb6" args="() const " -->
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<td class="memname">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a>& variances </td>
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<td width="100%"> const</td>
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returns the variances <a class="el" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>
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<a class="anchor" name="c552baaa07f4c0775024d08fd5dd55a7"></a><!-- doxytag: member="QuantLib::CovarianceDecomposition::standardDeviations" ref="c552baaa07f4c0775024d08fd5dd55a7" args="() const " -->
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<td class="memname">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a>& standardDeviations </td>
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<td width="100%"> const</td>
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returns the standard deviations <a class="el" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>
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<a class="anchor" name="e5ed4f9cce250d01778cf8d213fa8309"></a><!-- doxytag: member="QuantLib::CovarianceDecomposition::correlationMatrix" ref="e5ed4f9cce250d01778cf8d213fa8309" args="() const " -->
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<td class="memname">const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>& correlationMatrix </td>
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<td width="100%"> const</td>
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returns the correlation matrix
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