protected override double[,] ComputeCorrelation(int window, int startingPoint)
{
double[,] data = new double[window, Option.UnderlyingShareIds.Length];
for (int i = 0; i < window; i++)
{
for (int j = 0; j < Option.UnderlyingShareIds.Length; j++)
{
data[i, j] = Spots[startingPoint - window + i][j];
}
}
double[,] correlation = WRE.computeCorrelationMatrix(data);
return(correlation);
}
public void computeCorrelationMatrixTest()
{
// header
Debug.WriteLine("******************************");
Debug.WriteLine("* WREmodelingCorr in C# *");
Debug.WriteLine("******************************");
// sample data
double[,] returns = { { 0.05, 0.05, 0.6 }, { -0.001, -0.001, 0.56 }, { 0.7, 0.7, 0.12 }, { -0.3, -0.3, -0.1 },
{ 0.1, 0.1, 0.3 } };
// call WRE via computeCovarianceMatrix encapsulation
WRE classWRE = new WRE();
double[,] myCorrMatrix = WRE.computeCorrelationMatrix(returns);
// display result
WRE.dispMatrix(myCorrMatrix);
// ending the program
Console.WriteLine("\nType enter to exit");
}
