Package org.akutan.correlations

Provides classes for cleaning and correcting correlation matrices.

See:
          Description

Class Summary
RMT This class implements Random Matrix Theory methods for cleaning a correlation/covariance matrix and returning one which has had the noise element removed.
SpectralDecomposition Implements the Spectral Decomposition method from the paper "The Most General Way to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes" by Rebonato and Jaekel, 1999.
 

Package org.akutan.correlations Description

Provides classes for cleaning and correcting correlation matrices. These include two implementations from the family of Random Matrix Theory, and one more general solution just for cleaning the matrix and ensuring it is positive semi-definite.

Package Specification

Related Documentation

For further information on the algorithms used please see

Since:
22 January 2009