nearest correlation matrix

here is one of the methods from rebonato/j?ckel
http://comisef.wikidot.com/tutorial:repairingcorrelation 

regards,
enrico
-----Urspr?ngliche Nachricht-----
Von: r-sig-finance-bounces at stat.math.ethz.ch 
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag 
von Parodi, Pietro
Gesendet: Freitag, 16. April 2010 13:49
An: r-sig-finance at stat.math.ethz.ch
Betreff: [R-SIG-Finance] nearest correlation matrix

Hello,

does anybody know of any routine in R which calculates the 
nearest correlation matrix to a given target matrix which not 
positive-definite (e.g. methods by Rebonato and Jueckel, 
Higham, etc)? I've googled it but haven't found anything in R.

Thanks!

Pete 

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nearest correlation matrix

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