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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html">CovarianceDecomposition</a></li> </ul>
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<div class="title">CovarianceDecomposition Class Reference</div> </div>
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<p>Covariance decomposition into correlation and variances.
<a href="class_quant_lib_1_1_covariance_decomposition.html#details">More...</a></p>
<p><code>#include <ql/math/matrixutilities/getcovariance.hpp></code></p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a91fc136055dc917754c5238edb5bc138"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html#a91fc136055dc917754c5238edb5bc138">CovarianceDecomposition</a> (const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &covarianceMatrix, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> tolerance=1.0e-12)</td></tr>
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<tr class="memitem:a618d4318c9cd0246dae1935fc514faec"><td class="memItemLeft" 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#a618d4318c9cd0246dae1935fc514faec">variances</a> () const</td></tr>
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<tr class="memitem:ab428dd0735e857e611de38061dda4639"><td class="memItemLeft" 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#ab428dd0735e857e611de38061dda4639">standardDeviations</a> () const</td></tr>
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<tr class="memitem:af639c22c388e30a79c1f3c5a3514bbc1"><td class="memItemLeft" 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#af639c22c388e30a79c1f3c5a3514bbc1">correlationMatrix</a> () const</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Covariance decomposition into correlation and variances. </p>
<p>Extracts the correlation matrix and the vector of variances out of the input covariance matrix.</p>
<p>Note that only the lower symmetric part of the covariance matrix is used.</p>
<dl class="section pre"><dt>Precondition</dt><dd>The covariance matrix must be symmetric.</dd></dl>
<dl class="test"><dt><b><a class="el" href="test.html#_test000053">Tests:</a></b></dt><dd>cross checked with getCovariance </dd></dl>
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<h2 class="memtitle"><span class="permalink"><a href="#a91fc136055dc917754c5238edb5bc138">◆ </a></span>CovarianceDecomposition()</h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_covariance_decomposition.html">CovarianceDecomposition</a> </td>
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<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="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>tolerance</em> = <code>1.0e-12</code> </td>
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<td>)</td>
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<dl class="section pre"><dt>Precondition</dt><dd>covarianceMatrix must be symmetric </dd></dl>
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<h2 class="groupheader">Member Function Documentation</h2>
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<h2 class="memtitle"><span class="permalink"><a href="#a618d4318c9cd0246dae1935fc514faec">◆ </a></span>variances()</h2>
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<td class="memname">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a>& variances </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<p>returns the variances <a class="el" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> </p>
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<h2 class="memtitle"><span class="permalink"><a href="#ab428dd0735e857e611de38061dda4639">◆ </a></span>standardDeviations()</h2>
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<td class="memname">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a>& standardDeviations </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<p>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> </p>
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<a id="af639c22c388e30a79c1f3c5a3514bbc1"></a>
<h2 class="memtitle"><span class="permalink"><a href="#af639c22c388e30a79c1f3c5a3514bbc1">◆ </a></span>correlationMatrix()</h2>
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<td class="memname">const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>& correlationMatrix </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<p>returns the correlation matrix </p>
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