NDK_PORTFOLIO_VARIANCE

int __stdcall NDK_PORTFOLIO_VARIANCE ( double *  weights,
size_t  nAssets,
double **  covar,
double *  variance 
)

Calculates the overall portfolio variance (volatility squared).

Returns
status code of the operation
Return values
NDK_SUCCESS  Operation successful
NDK_FAILED  Operation unsuccessful. See Macros for full list.
Remarks
  1. The weights array size must equal to the number of risky assets.
  2. The assets order in must be identical in the covariance and assets weights arrays.
  3. By definition, the covariance matrix is a square symmetric matrix with order equals to number of assets in the portfolio.
  4. The number of unique elements in the covariance matrix is equal to: \[\frac{N \times (N+1)}{2}\] Where \(N\) is the number of risky assets in the portfolio.
Requirements
Header SFSDK.H
Library SFSDK.LIB
DLL SFSDK.DLL
References
* Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
* Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
* D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
* Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848