WebCab Portfolio for .NET v5.0 Demo

AssetParameters.CovarianceMatrix Method (Double[], Double[][])

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.

public double[][] CovarianceMatrix(
   double[] probability,
   double[][] returns
);

Parameters

probability
probability[i] is the probability of market state i occurring.
returns
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.

See Also

AssetParameters Class | WebCab.Libraries.Finance.Portfolio Namespace | AssetParameters.CovarianceMatrix Overload List