Re: [Quantlib-dev] [Quantlib-users] Simulating multiple correlated stochastic processes

[Luigi B. <lui...@gm...>]

On Thu, 2008-06-26 at 01:28 +0800, Max wrote:
> Given correlation matrix is symmetric and positive semidefinite, can I
> use SalvagingAlgorithm::none method (which is essentially a Cholesky
> decomposition) instead?

Yes, you can.

> And in this case, would the final results be equivelant for
> SalvagingAlgorithm::Spectral and SalvagingAlgorithm::none methods?

It should be. It would be nice if you made the experiment and reported
back here...

Luigi


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