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...t the Rebonato paper recommended and gives the same result as our code, but it will be much better behaved in the wild than ours will. BTW Troels Ring [tring at gvdnet.dk] found the Rebonato paper at http://www.quarchome.com/correlationmatrix.pdf Thank you Troels. Best regards, Herb Herbert G. Desson, ACAS, MAAA Actuary JLT Risk Solutions 6 Crutched Friars London EC3N 2PH phone: +44 (0)20 7528 4702 fax: +44 (0)20 7558 3785 -----Original Message----- ************************************************************ JLT Risk Solutions Ltd 6 Crutched Friars, London EC3N 2PH. Co Reg No 153...

...(a)$values) l[l<0]<-0 b<-s%*%sqrt(l) for(i in 1:nrow(b)){b[i,]<-b[i,]/sqrt(sum(b[i,]^2))} ap<-b%*%t(b) ap It is based on a paper by Rebonato etal that formerly was at www.rebonato.com/correlationmatrix.pdf. Unfortunately the website has disappeared. Best regards, Herb Herbert G. Desson, ACAS, MAAA Actuary JLT Risk Solutions 6 Crutched Friars London EC3N 2PH phone: +44 (0)20 7528 4702 fax: +44 (0)20 7558 3785 >Message: 2 >Date: 12 Dec 2004 14:58:38 +0100 >From: Peter Dalgaard <p.dalgaard at biostat.ku.dk> >Subject: Re: [R] Help : generating correlati...

...48)". The vbtest.exe utility seemed to run correctly after installing DCOM. Details of all the error messages and the vbtest output can be found below. I would be most grateful if someone can show me how to make this work properly. Thank you for your help. Best regards, Herb Herbert G. Desson, ACAS, MAAA Actuary Capital Risk Group JLT Risk Solutions 6 Crutched Friars London EC3N 2PH phone: +44 (0)20 7528 4702 fax: +44 (0)20 7558 3785 If the Rserver box is ticked within Tools / Addins upon launching Excel, I get "invalid picture error (error 481)". Invalid picture (E...