The xllmonte add-in library

## CORRELATION function |

Return a handle to a correlation object.

Description

Create a handle to a correlation object using an array of vectors.

An n×n correlation matrix is determined by n unit vectors. The i,j entry is the inner (dot) product of the i-th and j-th unit vectors.

Since each vector is a unit vector only n - 1 components need to be specified. If the sum of their squares is greater than 1 an error will be returned. We can also assume the i-th vector has nonzero entries only in the first i components.

There are two ways to enter the correlations: as a lower triangular matrix or as a packed matrix. The lower triangular matrix has the form:

rho(1,1), 0, 0,..., 0 rho(2,1), rho(2,2), 0,..., 0 ... rho(n,1), rho(n,2), ..., rho(n,n-1)

Syntax

CORRELATION(rho, layout)

**rho**is an array of vectors without their last component.**layout**is either CORRELATION_LOWER(), or CORRELATION_PACKED()