[R-SIG-Finance] nearest correlation matrix

[Enrico Schumann]

here is one of the methods from rebonato/jäckel
http://comisef.wikidot.com/tutorial:repairingcorrelation 

regards,
enrico
> -----Ursprüngliche Nachricht-----
> Von: r-sig-finance-bounces at stat.math.ethz.ch 
> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag 
> von Parodi, Pietro
> Gesendet: Freitag, 16. April 2010 13:49
> An: r-sig-finance at stat.math.ethz.ch
> Betreff: [R-SIG-Finance] nearest correlation matrix
> 
> Hello,
>  
> does anybody know of any routine in R which calculates the 
> nearest correlation matrix to a given target matrix which not 
> positive-definite (e.g. methods by Rebonato and Jueckel, 
> Higham, etc)? I've googled it but haven't found anything in R.
>  
> Thanks!
>  
> Pete 
>  
> 
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