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Hello,
Just a quick question about getting covariance matrix with QuantLib. I went through the matrixutilities folder and found the method getcovariance() ; however, it takes a correlation matrix as an input. Does Quantlib have available method that directly takes the time series(of factors) and return the covariance matrix(of the factors)? thx, XC |
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Hi,
The covariance matrix is 1/n * M * t(M). You could use the operators defined here (http://quantlib.org/reference/class_quant_lib_1_1_matrix.html) to get your cov matrix. Rgds, Sylvain On Thu, May 22, 2008 at 1:34 PM, gigifaye29 <[hidden email]> wrote:
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In reply to this post by gigifaye29
On Thu, 2008-05-22 at 10:34 -0700, gigifaye29 wrote:
> Does Quantlib have available method that directly takes the time series(of > factors) and return the covariance matrix(of the factors)? Yes---you can use the SequenceStatistics class. Write back if you need advice on how to use it. Luigi -- Though this be madness, yet there is method in't. -- Hamlet, Act II, scene II ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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