Quant::Framework::CorrelationMatrix
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.
The date for which we wish data
save
Saves the correlation matrix into Chronicle
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.
To install Quant::Framework, copy and paste the appropriate command in to your terminal.
cpanm
cpanm Quant::Framework
CPAN shell
perl -MCPAN -e shell install Quant::Framework
For more information on module installation, please visit the detailed CPAN module installation guide.