Re: [Quantlib-dev] Want to be a developer and just submitted a patch

[Ferdinando A. <na...@am...>]

Hi Yiping,

>     Just submitted a patch adding HyperSphere salvage algorithm to
> PseudoSqrt.

Luigi added your patch to the CVS, but I noticed it only works for
correlation matrices, it fails with covariance matrices. The Spectral
alternative approach works in both cases.
It's probably just a normalization issue, would you consider looking into it?

Besides you might want to consider the lower diagonal parametrization
of the pseudo square root. This would make the optimization algorithm
much more efficient by reducing the parameter by a factor of 2.
Details about this approach can be found in "Monte Carlo methods in
finance" by P. Jackel, and/or the following papers:
http://www.quarchome.org/correlationmatrix.pdf
http://www.fabiomercurio.it/riskcorr.pdf#search=%22rapisarda%20correlation%20geometric%22

ciao -- Nando