WebCab XL Community Edition

TwoAsset.CorrCoef Method

Returns the correlation coefficient between two assets.

public double CorrCoef(
   double Cov,
   double StDev1,
   double StDev2
);

Parameters

Cov: The covariance between the two assets of the portfolio which itself can be evaluated using CovarHis or Covar.
StDev1: Standard deviation of the first asset.
StDev2: Standard deviation of the second asset.

Remarks

The full name of this function inside Excel is Port_TwoAsset_CorrCoef.

See Also

TwoAsset Class | Portfolio Namespace