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

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
IEnumerable<Instrument>	universe	universe of instruments
int	numBars	of bars to calculate
int	barSize	of bars between points, default = 1

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
IEnumerable<Instrument>	universe	universe of instruments
int	numBars	of bars to calculate
int	barSize	of bars between points, default = 1
Func<Instrument, ITimeSeries<double>>	priceFunc	predicate

Properties

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

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

NumBars

Number of bars used to calculate covariance

Declaration

public int NumBars { get; }

Property Value

Type	Description
int