Hi Patrick,

Thanks for your kind reply. The generated correlation matrix fails cholesky
decomposition.

Best regards
Debashis

On 27 November 2011 14:38, Patrick Burns <patrick@burns-stat.com> wrote:

> Can you be more specific about what the
> problem is, and perhaps tell us what
> you've tried that is unsatisfactory?
>
>
> On 27/11/2011 09:06, debashis dutta wrote:
>
>> Hi,
>>
>> I am generating correlation matrix between macro variables of interest
>> rates and forex rates. Is there any package in R that assists it? Any
>> assistance is highly solicited.
>>
>> Best regards
>> Debashis
>>
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> --
> Patrick Burns
> patrick@burns-stat.com
> http://www.burns-stat.com
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