v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Assets / Correlation Matrix

Correlation Matrix Bounds

Compute the lower bounds and the upper bounds of an asset correlation matrix associated to a selected group of assets, as described in the first reference.

References

Kawee Numpacharoen & Kornkanok Bunwong (2013) Boundaries of Correlation Adjustment with Applications to Financial Risk Management, Applied Mathematical Finance, 20:4, 403-414.

post/assets/correlation/matrix/bounds

Request body

assetsinteger required

assetsGroupinteger[] required

assetsGroup[k] is the index of the (k+1)-th asset belonging to the selected group of assets

v2

Correlation Matrix Bounds

Request body

Response