NAME

Quant::Framework::CorrelationMatrix

DESCRIPTION

Correlations have an index, a currency, and duration that corresponds to a correlation. An example of a correlation is SPC, AUD, 1M, with a correlation of 0.42.

The values can be updated through backoffice's Quant Market Data page.

for_date

The date for which we wish data

save

Saves the correlation matrix into Chronicle

recorded_date

The date (and time) that the correlation matrix was recorded, as a Date::Utility.

correlation_for

return correlation coefficient for given index, time-of-year and currency You have to pass an instance of Quant::Framework::ExpiryConventions module because it is needed in the calculations.