I am a supporter of
St. Joseph's hospice.
 If you find this site useful or if it helped you, consider a small donation to
St. Joseph's, please.

Information on
St. Joseph's

JustGiving - Sponsor me now!



You can generate correlated random variables easily with a Cholesky (pronounce “koleski”) decomposition. I present a simple example here. For the better Iman Conover approach look here, please.

Helpful links are:
Anton Theunissen: BUS 864 Computing Notes  - Here I got a simple VBA code from (see below my slightly changed version)
Martin Haugh: The Monte Carlo Framework,
                    Examples from Finance and
                    Generating Correlated Random
                              - Nice theory and a Matlab © example
Team Latte: All about the Cholesky Matrix      - Nice explanation and why it's "preferrable" to eigenvalues (I do not necessarily agree)
Michael H. Press: Numerical Recipes               - Use algorithms tred2 and tqli if you need to treat the matter more seriously


If you are interested in downloading a 1.586 MB Excel 2010 sample file go to my Download page, please.

Sulprobil   Get it done   Contact   Disclaimer   Download