Function covariance

crates/openquant/tests/hcaa.rs:34–51

(returns: &DMatrix<f64>)

}

fn covariance(returns: &DMatrix<f64>) -> DMatrix<f64> {
    let rows = returns.nrows();
    let cols = returns.ncols();
    let means: Vec<f64> = (0..cols).map(|c| returns.column(c).sum() / rows as f64).collect();
    let mut cov = DMatrix::zeros(cols, cols);
    for i in 0..cols {
        for j in i..cols {
            let mut s = 0.0;
            for r in 0..rows {
                s += (returns[(r, i)] - means[i]) * (returns[(r, j)] - means[j]);
            }
            s /= (rows - 1) as f64;
            cov[(i, j)] = s;
            cov[(j, i)] = s;
        }
    }
    cov
}

fn assert_basic_weights(weights: &[f64], n_assets: usize) {
    assert_eq!(weights.len(), n_assets);