Class PortfolioSupport.Covariance

Class encapsulating calculation of covariance matrix.

Inheritance
object
PortfolioSupport.Covariance
Inherited Members
object.Equals(object)
object.Equals(object, object)
object.GetHashCode()
object.GetType()
object.MemberwiseClone()
object.ReferenceEquals(object, object)
object.ToString()
Namespace: TuringTrader.Support
Assembly: TuringTrader.Simulator.dll
Syntax
public class PortfolioSupport.Covariance

Constructors

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Covariance(IEnumerable<Instrument>, int, int, Func<Instrument, ITimeSeries<double>>)

Create new covariance object. Subsample the instrument bars, to create bars with a larger size, if desired. https://en.wikipedia.org/wiki/Covariance

Declaration
public Covariance(IEnumerable<Instrument> universe, int numBars, int barSize, Func<Instrument, ITimeSeries<double>> priceFunc)
Parameters
Type Name Description
System.Collections.Generic.IEnumerable<T><Instrument> universe

universe of instruments
int numBars

of bars to calculate
int barSize

of bars between points, default = 1
System.Func<T, TResult><Instrument, ITimeSeries<double>> priceFunc

predicate
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Covariance(IEnumerable<Instrument>, int, int)

Create new covariance object. Subsample the instrument bars, to create bars with a larger size, if desired. https://en.wikipedia.org/wiki/Covariance

Declaration
public Covariance(IEnumerable<Instrument> universe, int numBars, int barSize = 1)
Parameters
Type Name Description
System.Collections.Generic.IEnumerable<T><Instrument> universe

universe of instruments
int numBars

of bars to calculate
int barSize

of bars between points, default = 1

Properties

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BarSize

Size of bars, as the number of bars from the instruments being subsampled, in order to calculate co-variance. Default is 1.

Declaration
public int BarSize { get; }
Property Value
Type Description
int
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this[Instrument, Instrument]

Retrieve covariance.

Declaration
public double this[Instrument instrument1, Instrument instrument2] { get; }
Parameters
Type Name Description
Instrument instrument1

instrument #1
Instrument instrument2

instrument #2
Property Value
Type Description
double

covariance
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NumBars

Number of bars used to calculate covariance

Declaration
public int NumBars { get; }
Property Value
Type Description
int