Undefined function or variable 'nearestSPD'.

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SOO HEON KIM
SOO HEON KIM 2018-1-15
回答： Sruthi Geetha 2018-1-24
Hi, all! Below is a part of my code for optimization. But I got this error message:
Undefined function or variable 'nearestSPD'.
Error in Optimization__Engine_Multiple_Assets_Input_170204_flexible (line 66) covariances = nearestSPD(covariances_org);
I can't find the reason. Would someone please help me out?
Cheers,
----------------------------------- [rows columns]=size(num);
%Asset Returns, Volatility and Correlation
mu=num(:,1); sigma=num(:,2); rho_org=num(1:rows,6:columns); covariances_org = corr2cov(sigma,rho_org);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %Validation: Check whether Covariance Matrix id positive semi-definite %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%Calculates nearest SPD-Variance-Covariance Matrix - Difference are typically minor covariances = nearestSPD(covariances_org);
%Calculates adjusted correlation matrix and [ExpSigma, ExpCorrC] = cov2corr(covariances); rho=ExpCorrC;
diffcov=covariances-covariances_org diffcor=rho-rho_org;

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回答（2 个）

SOO HEON KIM
SOO HEON KIM 2018-1-18
Can someone help me??
Sruthi Geetha
Sruthi Geetha 2018-1-24
I don't see the variable 'nearestSPD' defined anywhere in the code.If you have defined it somewhere, please send that code snippet.

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