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Add reference rate volatility and correlation calculation #84

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sschlenkrich
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This PR adds functionality to calculate model-implied volatility and correlation for reference rates. This functionality is supposed to assist real-world model calibration.

  • Add reference rate scaling vectors for rates and assets
  • covariance, volatility and correlation calculation

   - Add reference rate scaling vectors for rates and assets
   - covariance, volatility and correlation calculation
@sschlenkrich sschlenkrich merged commit f9e9a48 into frame-consulting:main Jun 21, 2024
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@sschlenkrich sschlenkrich deleted the wip/volatility-and-correlation branch June 21, 2024 13:16
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