Class CorrelationMatrix

java.lang.Object

com.quantfinlib.risk.CorrelationMatrix

public final class CorrelationMatrix
extends Object

Correlation and covariance matrices from a returns matrix laid out as returns[asset][time].

Method Summary

Modifier and Type	Method	Description
static double[][]	correlation(double[][] returns)
static double[][]	covariance(double[][] returns)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

correlation

public static double[][] correlation(double[][] returns)

covariance

public static double[][] covariance(double[][] returns)