org.drip.measure.gaussian

Class Covariance

java.lang.Object

org.drip.measure.gaussian.Covariance

public class Covariance
extends java.lang.Object

Covariance holds the Standard Covariance Matrix, and provides functions to manipulate it.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
Covariance(double[][] aadblCovariance) Covariance Constructor

Method Summary

Modifier and Type	Method and Description
double[][]	correlationMatrix() Retrieve the Correlation Matrix
double[][]	covarianceMatrix() Retrieve the Covariance Matrix
int	numVariate() Retrieve the Number of Variates
double[][]	precisionMatrix() Retrieve the Precision Matrix
double[]	variance() Retrieve the Variance Array
double[]	volatility() Retrieve the Volatility Array

Methods inherited from class java.lang.Object

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

Constructor Detail

Covariance

public Covariance(double[][] aadblCovariance)
           throws java.lang.Exception

Covariance Constructor

Parameters:

aadblCovariance - Double Array of the Covariance Matrix

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

numVariate

public int numVariate()

Retrieve the Number of Variates

Returns:

The Number of Variates

covarianceMatrix

public double[][] covarianceMatrix()

Retrieve the Covariance Matrix

Returns:

The Covariance Matrix

precisionMatrix

public double[][] precisionMatrix()

Retrieve the Precision Matrix

Returns:

The Precision Matrix

variance

public double[] variance()

Retrieve the Variance Array

Returns:

The Variance Array

volatility

public double[] volatility()

Retrieve the Volatility Array

Returns:

The Volatility Array

correlationMatrix

public double[][] correlationMatrix()

Retrieve the Correlation Matrix

Returns:

The Correlation Matrix