Returns the covariance matrix for a collection of assets given a finite number of possible scenarios, the asset returns resulting from each one of these scenarios and the probability of each one of the scenarios taking place.
probability[i]
is the probability of market state i
occurring.returns[i][j]
is the return in absolute or relative terms of the j
-th asset in the i
-th state. Note that all the returns must be given in either absolute (i.e. market value) or relative (i.e. percentage change) terms.AssetParameters Class | WebCab.COM.Finance.Portfolio Namespace