Correlation Calculator

        public double GetCorrelation(Indice a, Indice b)
        {
            double iSum = 0.0;

            for (int i = 0; i < a.Composition.Length; i++)
            {
                double sigmaA = _underlyingVolatilities[a.Composition.Names[i]];
                double alphaA = a.Composition[i];

                double jSum = 0.0;

                for (int j = 0; j < b.Composition.Length; j++)
                {
                    double sigmaB = _underlyingVolatilities[b.Composition.Names[j]];
                    double alphaB = b.Composition[j];
                    double componentsCorrelation = _underlyingCorrelations[a.Composition.Names[i], b.Composition.Names[j]];

                    double jTerm = alphaB * sigmaB * componentsCorrelation;

                    jSum += jTerm;
                }

                double iTerm = alphaA * sigmaA * jSum;

                iSum += iTerm;
            }

            if (a.Volatility == 0.0)
            {
                GetVolatility(a);
            }

            if (b.Volatility == 0.0)
            {
                GetVolatility(b);
            }

            double correlation = iSum / (a.Volatility * b.Volatility);

            return correlation;
        }