WebCab Portfolio Web Services for .NET v5.0 Demo

TwoAssetPortfolio.CovarianceWithProbabilitiesKnown Method 

Evaluates the covariance between the returns of two assets given the probability return distribution of each asset.

public double CovarianceWithProbabilitiesKnown(
   double[] probability,
   double[] rateOfReturn1,
   double[] rateOfReturn2
);

Parameters

probability
probability[s] is an array of the probability of the state s occurring.
rateOfReturn1
rateOfReturn1[s] is the return (increase in market value) for the first asset in the state s.
rateOfReturn2
rateOfReturn2[s] is the return (increase in market value) for the second asset in the state s.

See Also

TwoAssetPortfolio Class | Portfolio Namespace