Correlation Matrix

Posted by digiplant on
URL: http://quantlib.414.s1.nabble.com/Correlation-Matrix-tp36.html

Hello.  I am trying to compute the correlation matrix, from a set of time series (say 3 seperate series for simplicity).  I am a new user to quantlib, and I cannot seem to figure out how to do this exactly using the library.  It seems like I should be using the GenericSequenceStatistics class, bit I am unsure how.  Can anyone provide me with a few pointers?  A simple, yet complete example would be extremely appreciated.

 

Please let me know if you need additional information.

Thanks

-a

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