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AssetParameters.Transpose Method 

For an array A[i,j], of dimension two this methods performance the following mapping for all elements A[i,j] --> A[j,i], where the length of each of the array elements has the same length.

public double[][] Transpose(
   double[][] twoDimArray
);

Parameters

twoDimArray
A two dimension array which will be `transposed'.

Remarks

That is, we transpose the two dimensional array.

This method is useful when the the historical returns (i.e. the source data) has been provided as a two dimension array where the k-th array corresponds to the returns in the k-th period for each of the assets considered. By transposing we are able to map the 2-dim array into an array where each array element represent the historical prices series of each of the assets.

See Also

AssetParameters Class | Portfolio Namespace