Examples of com.opengamma.analytics.financial.covariance.CovarianceMatrixCalculator.evaluate()

com.opengamma.analytics.financial.covariance.CovarianceMatrixCalculator.evaluate()
Calculates a covariance matrix given an array of time series. The ordering of the elements is determined by the order of the array @param x An array of {@link DoubleTimeSeries}, not null or empty @return The covariance matrix

    final Double[] keys = new Double[len];
    for (int i = 0; i < timeSeries.length; i++) {
      keys[i] = (double) i;
    }
    // Calculate the co-variance matrix
    final DoubleMatrix2D unlabelled = calculator.evaluate(timeSeries);
    // Label it
    return new DoubleLabelledMatrix2D(keys, labels, keys, labels, unlabelled.getData());
  }


  // CompiledFunctionDefinition

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