Covariance Matrix

v1.0.0

Compute the covariance matrix of assets from either:

The asset correlation matrix and their volatilities (i.e., standard deviations)
The asset correlation matrix and their variances
The asset returns

References

Input

{
  "type": "object"
}

Output

{
  "type": "object",
  "required": [
    "assetsCovarianceMatrix"
  ],
  "properties": {
    "assetsCovarianceMatrix": {
      "type": "array",
      "description": "assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    }
  }
}