CovarianceDecomposition Class Reference

### A free/open-source library for quantitative finance

Public Member Functions
CovarianceDecomposition Class Reference

Covariance decomposition into correlation and variances. More...

`#include <ql/math/matrixutilities/getcovariance.hpp>`

List of all members.

## Public Member Functions
| CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12)
const Array & | variances () const
const Array & | standardDeviations () const
const Matrix & | correlationMatrix () const

## Detailed Description

Covariance decomposition into correlation and variances.

Extracts the correlation matrix and the vector of variances out of the input covariance matrix.

Note that only the lower symmetric part of the covariance matrix is used.

Precondition:
  The covariance matrix must be symmetric.

Tests:
  cross checked with getCovariance

## Constructor & Destructor Documentation

CovarianceDecomposition | ( | const Matrix & | covarianceMatrix,
|  | Real | tolerance = `1.0e-12`
| ) |  |

Precondition:
  covarianceMatrix must be symmetric

## Member Function Documentation

const Array& variances | ( |  | ) | const

returns the variances Array

const Array& standardDeviations | ( |  | ) | const

returns the standard deviations Array

const Matrix& correlationMatrix | ( |  | ) | const

returns the correlation matrix