The following Matlab project contains the source code and Matlab examples used for salvaging a linear correlation matrix.
The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.
Use CorrelationExample.m that applies a simple example for the two cases.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

## Project Files:

File Name | Size |
---|---|

CorrelationExample.m | 1133 |

HypersphereDecomp.m | 3465 |

license.txt | 1312 |

SpectralDecomp.m | 1190 |