Package com.opengamma.analytics.financial.covariance

Examples of com.opengamma.analytics.financial.covariance.HistoricalCovarianceCalculator


  protected ViewCalculationConfiguration createViewCalculationConfiguration(final ViewDefinition viewDefinition, final String calcConfigName) {
    return new ViewCalculationConfiguration(viewDefinition, calcConfigName);
  }

  protected <T extends Comparable<? super T>> DoubleLabelledMatrix2D createCovarianceMatrix(DoubleTimeSeries<T>[] timeSeries, Object[] labels) {
    final CovarianceMatrixCalculator calculator = new CovarianceMatrixCalculator(new HistoricalCovarianceCalculator());
    int len = timeSeries.length;
    // Any nulls or empty time series (missing data) will upset the calculator, so we'll remove them and produce a best efforts matrix with what is left
    for (int i = 0; i < len; i++) {
      if ((timeSeries[i] == null) || timeSeries[i].isEmpty()) {
        len--;
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