Random Correlation Matrix

v1.0.0

Generate an asset correlation matrix uniformly at random over the space of positive definite correlation matrices.

References

Input

{
  "type": "object",
  "required": [
    "assets"
  ],
  "properties": {
    "assets": {
      "type": "integer",
      "description": "The number of assets"
    }
  }
}

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"
        }
      }
    }
  }
}