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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. 
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 semidefinite.


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