WebCab Portfolio for COM v5.0 Demo

AssetParameters.ForwardCovariance Method 

Uses a forward looking scenario based approach in order to evaluate the covariance between two assets.

public double ForwardCovariance(
   double[] probability,
   double[] returns1,
   double[] returns2
);

Parameters

probability
An array where the i-th term is the probability of the i-th state occurring.
returns1
An array where the i-th term is the expected return of the first asset if the i-th state occurs.
returns2

See Also

AssetParameters Class | WebCab.COM.Finance.Portfolio Namespace