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- April 26th, 2009, 5:01 am
- Forum: The Quantitative Finance FAQs Project
- Topic: How can I simulate correlated random numbers?
- Replies: 34
- Views: 324691
How can I simulate correlated random numbers?
<r>As mentioned the most correct method isGenerate vector of RV's ~N[0,1].Use the cholesky decompostion of the covariance matrix to transform this vector.For an XLL Excel Addin implementation of the two required functions goto:Function: randStd() at <URL url="http://www.PimpMyExcel.com">www.PimpMyEx...