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savr
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Posts: 48
Joined: January 21st, 2013, 3:28 pm

Rebonato 3-parametric form II : positive?

October 20th, 2016, 3:30 pm

Question on the parametric correlation:
$$\rho_{ij}=\rho_{\infty}+(1-\rho_{\infty})e^{-\beta \vert i-j\vert e^{-\alpha (i \wedge j)}}$$

Quoting from Lutz :
"Rebonato [...] claims that all eigenvalues of [\rho_{ij}] can be shown to be always positive. However, it quite easy to find otherwise realistic parameters that also let [this] have negative eigenvalues" (from top of p.5).
Statement is reiterated in the middle of p.19.

Yet I am struggling to find such parameters - can anyone confirm a sighting?
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