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covariance matrix

Posted by gigifaye29 on May 22, 2008; 5:34pm
URL: http://quantlib.414.s1.nabble.com/covariance-matrix-tp6159.html

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