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