Re: Sqrt of large correlation matrix
Posted by
Luigi Ballabio on
Aug 01, 2016; 7:46am
URL: http://quantlib.414.s1.nabble.com/Sqrt-of-large-correlation-matrix-tp17596p17627.html
Hello,
apologies for the delay. Did you get any feedback on this?
Luigi
I am a risk manager and trying to run Monte Carolo sim for a large number of
issues. So far I have a 4000 x 4000 correlation matrix. With rankreducedSqrt
function with Spectral and 100% retention, it took 3 hrs to complete the
calculation. Am I doing this the most efficient way? Is there anyway to
improve performance wise? Thanks. Following is the code:
rankReducedSqrt(*corr_mat, 4000, 1.0, SalvagingAlgorithm::Spectral);
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