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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file getcovariance.cpp
\brief Covariance matrix calculation
\fullpath
ql/MonteCarlo/%getcovariance.cpp
*/
// $Id: getcovariance.cpp,v 1.8 2002/01/16 14:42:17 nando Exp $
#include <ql/MonteCarlo/getcovariance.hpp>
namespace QuantLib {
namespace MonteCarlo {
using QuantLib::Math::Matrix;
Matrix getCovariance(const Array& volatilities,
const Matrix& correlations) {
Size size = volatilities.size();
QL_REQUIRE(correlations.rows() == size,
"getCovariance: volatilities and correlations "
"have different size");
QL_REQUIRE(correlations.columns() == size,
"getCovariance: correlation matrix is not square");
Matrix covariance(size,size);
for(Size i = 0; i < size; i++){
for(Size j = 0; j < i; j++){
covariance[i][j] = volatilities[i] * volatilities[j] *
0.5 * (correlations[i][j] + correlations[j][i]);
covariance[j][i] = covariance[i][j];
}
covariance[i][i] = volatilities[i] * volatilities[i];
}
return covariance;
}
}
}
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