QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
CovarianceDecomposition Member List

This is the complete list of members for CovarianceDecomposition, including all inherited members.

correlationMatrix() const CovarianceDecomposition
CovarianceDecomposition(const Matrix &covarianceMatrix, Real tolerance=1.0e-12)CovarianceDecomposition
standardDeviations() const CovarianceDecomposition
variances() const CovarianceDecomposition