CovarianceCalculator Class Reference

Public Member Functions
	CovarianceCalculator (ore::data::TimePeriod covariancePeriod)
void	initialise (const std::set< std::pair< RiskFactorKey, QuantLib::Size > > &keys)
void	updateAccumulators (const QuantLib::ext::shared_ptr< NPVCube > &shiftCube, QuantLib::Date startDate, QuantLib::Date endDate, QuantLib::Size index)
void	populateCovariance (const std::set< std::pair< RiskFactorKey, QuantLib::Size > > &keys)
const Matrix &	covariance () const
const Matrix &	correlation () const