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Re: Generating pairwise correlated GBM data

Posted by U.Mutlu on Feb 23, 2016; 5:37pm
URL: http://quantlib.414.s1.nabble.com/Generating-pairwise-correlated-GBM-data-tp17308p17318.html

Luigi Ballabio wrote on 02/23/2016 09:23 AM:
> The function is returning the pseudo square root of the correlation, which is
> more convenient for the path generator.
> To retrieve the correlation, you can multiply the result by its transposed, as in:
>
> Matrix C = R * transpose(R);

Ah, it now indeed gives the correlation matrix. Thank you very much.




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