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Get Covariance Given Time Series of Factors

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Pushpendu Chakraborty

Get Covariance Given Time Series of Factors

Can I get a covariance matrix given time series of factors ? I am trying to build a covariance matrix for of forward rates time series.

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Luigi Ballabio

Re: Get Covariance Given Time Series of Factors

There's an example of this in test-suite/covariance.cpp. In short: you create an instance of SequenceStatistics, add the set of factor values for each date, and finally ask for the covariance. All steps are shown in the test.

Luigi

On Wed, Dec 17, 2014 at 3:51 AM, Pushpendu Chakraborty <[hidden email]> wrote:

Can I get a covariance matrix given time series of factors ? I am trying to build a covariance matrix for of forward rates time series.

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