Stock Market, Time Series Analysis, Time Series Forecasting, Python, Monte Carlo.
return Cov except LinAlgError : Cov = nearPD(np.array(arrOfReturns), nit=10) print("WARNING -Original Covariance Matrix is NOT Positive Semi Definite And Has Been Adjusted To Allow For Cholesky Decomposition ") return Cov def GBMsimulatorMultiVar(So, mu, sigma, Cov, T, N): """ Parameters So: