Generating pairwise correlated GBM data

Posted by U.Mutlu on Feb 18, 2016; 9:28am
URL: http://quantlib.414.s1.nabble.com/Generating-pairwise-correlated-GBM-data-tp17308.html

Hi,

1) Is it possible to generate correlated price data in quantlib
by using a correlation matrix? (needed for simulations)

2) Sometimes there can be a problem with the correlation matrix,
especially if it is not positive definite, ie. a defective correlation matrix.
Here's an example for a defective correlation matrix:
(
http://blogs.sas.com/content/iml/2012/09/12/when-is-a-correlation-matrix-not-a-correlation-matrix.html 
)
  1.0  0.6  0.9
  0.6  1.0  0.9
  0.9  0.9  1.0
In such cases one has to find a replacement matrix (Nearest Correlation Matrix
Problem).
Anybody know of C/C++/C#/Java code or library for computing/finding the
nearest correlation matrix?


--
Thx


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