Correlation Matrix Bounds

v1.0.0

Compute the lower bounds and the upper bounds of an asset correlation matrix associated to a given group of assets.

References

Input

{
  "required": [
    "assets",
    "assetsCorrelationMatrix",
    "assetsGroup"
  ],
  "properties": {
    "assets": {
      "type": "integer"
    },
    "assetsCorrelationMatrix": {
      "type": "array",
      "description": "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    },
    "assetsGroup": {
      "type": "array",
      "description": "assetsGroup[k] is the indexes of the assets belonging to the assets group",
      "items": {
        "type": "integer"
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "assetsCorrelationMatrixLowerBounds",
    "assetsCorrelationMatrixUpperBounds"
  ],
  "properties": {
    "assetsCorrelationMatrixLowerBounds": {
      "type": "array",
      "description": "assetsCorrelationMatrixLowerBounds[i][j] is the lower bound of the correlation between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    },
    "assetsCorrelationMatrixUpperBounds": {
      "type": "array",
      "description": "assetsCorrelationMatrixUpperBounds[i][j] is the upper bound of the correlation between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    }
  }
}