Re: Correlation Matrix

Posted by simone pilozzi on
URL: http://quantlib.414.s1.nabble.com/Correlation-Matrix-tp36p40.html

Hi,

try this two methods (they are part of a larger class called financial time series), they should work

Cheers

Simone

inline shared_ptr<SequenceStatistics> createsequence(TimeSeries<vector<Real>>jointds)

{

boost::shared_ptr<SequenceStatistics> gss(new SequenceStatistics);

for (it = jointds.begin();it !=jointds.end();++it)

{

p = it->second;

gss->add(p.begin(),p.end());

}

return gss;

}

inline Disposable<Matrix> getCorrelation(boost::shared_ptr<SequenceStatistics> g)

{

return g->correlation();

}

On 1 July 2010 20:50, Andrew Hill <[hidden email]> wrote:

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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