getcovariance.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
 Copyright (C) 2006 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
 
#ifndef qla_getcovariance_hpp
#define qla_getcovariance_hpp
 
#include <oh/libraryobject.hpp>
#include <ql/math/matrixutilities/getcovariance.hpp>
 
namespace QuantLibAddin {
 
    inline QuantLib::Matrix getCovariance(std::vector<double> vols,
                                          const QuantLib::Matrix& corr,
                                          double tol) 
    {
        return QuantLib::getCovariance(vols.begin(), vols.end(), corr, tol);
    }
 
    class CovarianceDecomposition : public ObjectHandler::LibraryObject<
        QuantLib::CovarianceDecomposition>
    {
      public:
        CovarianceDecomposition(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const QuantLib::Matrix& cov,
            QuantLib::Real tol,
            bool permanent);
    };
}
 
#endif