Re: covariance matrix

Posted by Sylvain Bertrand on May 23, 2008; 5:01pm
URL: http://quantlib.414.s1.nabble.com/covariance-matrix-tp6159p6161.html

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:

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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