Package org.drip.measure.gaussian

Class JointVariance

java.lang.Object
org.drip.measure.gaussian.JointVariance
public class JointVariance
extends java.lang.Object
JointVariance holds the Standard Covariance Matrix, and provides functions to manipulate it. It provides the following Functionality:
  • JointVariance Constructor
  • Retrieve the Number of Variates
  • Retrieve the Covariance Matrix
  • Retrieve the Precision Matrix
  • Retrieve the Variance Array
  • Retrieve the Volatility Array
  • Retrieve the Correlation Matrix

Module Computational Core Module
Library Numerical Analysis Library
Project Rd Continuous/Discrete Probability Measures
Package R1 Covariant Gaussian Quadrature

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    JointVariance​(double[][] covarianceMatrix)
    JointVariance Constructor

  • Method Summary

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

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • JointVariance

      public JointVariance​(double[][] covarianceMatrix) throws java.lang.Exception
      JointVariance Constructor
      Parameters:
      covarianceMatrix - Double Array of the Covariance Matrix
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • variateCount

      public int variateCount()
      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

    • varianceArray

      public double[] varianceArray()
      Retrieve the Variance Array
      Returns:
      The Variance Array

    • volatilityArray

      public double[] volatilityArray()
      Retrieve the Volatility Array
      Returns:
      The Volatility Array

    • correlationMatrix

      public double[][] correlationMatrix()
      Retrieve the Correlation Matrix
      Returns:
      The Correlation Matrix