Nearest Correlation Matrix

v1.0.0

Compute the closest - in terms of - asset correlation matrix to an approximate asset correlation matrix, optionally keeping a selected number of correlations fixed.

References

Input

{
  "type": "object",
  "required": [
    "assets",
    "assetsApproximateCorrelationMatrix"
  ],
  "properties": {
    "assets": {
      "type": "integer",
      "description": "The number of assets"
    },
    "assetsApproximateCorrelationMatrix": {
      "type": "array",
      "description": "assetsApproximateCorrelationMatrix[i][i] is the approximate correlation between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    },
    "assetsFixedCorrelations": {
      "type": "array",
      "description": "assetsFixedCorrelations[k] is the couple of indices (i,j) of the assets i and j for which to keep the approximate correlation assetsApproximateCorrelationMatrix[i][j] fixed",
      "items": {
        "type": "array",
        "items": {
          "type": "integer"
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "assetsCorrelationMatrix"
  ],
  "properties": {
    "assetsCorrelationMatrix": {
      "type": "array",
      "description": "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    }
  }
}