WebCab Portfolio for .NET v5.0 Demo

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

Uses a backwardly looking historical approach in order to evaluate the covariance between two assets.

public double Covariance(
   double[] returns1,
   double[] returns2
);

Parameters

returns1
An array where the first term is the return of the first asset over the previous period and the second terms is the return over the period before that and so on. Note that each of these periods must be of equal duration and the returned return will need to be quoted in terms of this period.
returns2
An array where the first term is the return of the second asset over the previous period and the second terms is the return of the second asset over the period before that and so on. Note that each of these periods must be of equal duration and the returned return will need to be quoted in terms of this period.

See Also

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