v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Assets / Correlation Matrix

Perturbed Correlation Matrix

Generate a randomly perturbed version of an asset correlation matrix.

References

Opdyke, JD, Full Probabilistic Control for Direct and Robust, Generalized and Targeted Stressing of the Correlation Matrix (Even When Eigenvalues are Empirically Challenging) (May 30, 2020)

post/assets/correlation/matrix/perturbed

Request body

assetsinteger required

The number of assets

noiseLevelnumber

The exact level of noise that the coefficients of the asset correlation matrix assetsCorrelationMatrix must be perturbed with; exclusive with maximumNoiseLevel

maximumNoiseLevelnumber

The maximum level of noise that the coefficients of the asset correlation matrix assetsCorrelationMatrix must be perturbed with; exclusive with noiseLevel

simulationsinteger

The number of simulations to perform

v2

Perturbed Correlation Matrix

Request body

Response