Struct CorrelationMatrix 

pub struct CorrelationMatrix {
    pub matrix: Vec<Vec<f64>>,
    pub n: usize,
}

Symmetric correlation matrix.

Fields

matrix: Vec<Vec<f64>>

Row-major correlation values; element [i * n + j] is corr(i, j).

n: usize

Dimension (number of assets).

Implementations

impl CorrelationMatrix

pub fn from_returns(returns: &[Vec<f64>]) -> Self

Compute pairwise Pearson correlation from a matrix of return series.

returns[i] is the time-series of returns for asset i. All series must have the same length.

pub fn get(&self, i: usize, j: usize) -> f64

Get the correlation between assets i and j.

pub fn is_positive_definite(&self) -> bool

Test positive definiteness using Sylvester’s criterion.

Checks that all leading principal minors are strictly positive. Uses Gaussian elimination to compute determinants.

pub fn eigenvalues_approx(&self) -> Vec<f64>

Approximate the three largest eigenvalues via power iteration with deflation.

Returns up to three eigenvalues (fewer if the matrix is smaller).

pub fn condition_number(&self) -> f64

Approximate condition number: ratio of largest to smallest (absolute) eigenvalue.

Trait Implementations

impl Clone for CorrelationMatrix

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for CorrelationMatrix

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.