Package org.drip.sample.rdtor1

Constrained/Unconstrained Covariance Ellipsoid Function
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ConstrainedCovarianceEllipsoid
    ConstrainedCovarianceEllipsoid demonstrates the Construction and Usage of a Co-variance Ellipsoid with Linear Constraints.
    UnconstrainedCovarianceEllipsoid
    UnconstrainedCovarianceEllipsoid demonstrates the Construction and Usage of a Co-variance Ellipsoid.