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Re: Covariance

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#2020
Ryu
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You need only one instance of [tt:1xknbtkc]CovarianceMatrix[/tt:1xknbtkc] for a basket. If you pass in the price matrix correctly, [tt:1xknbtkc]CovarianceMatrix[/tt:1xknbtkc] should be OK.

Have you examined the price matrix and make sure the data is correct?