Hi,

I am looking for some simple VBA code for computing the Nearest Correlation Matrix to a Matrix that may not be positive semi-definite. This Matrix will be user-defined correlations between pairs of securities so will have a unit diagonal etc.

I am not looking for anything sophisticated or quick, just something that will do the basic job on a matrix of 20-30 securities on a one-off basis.

(of course, would ideally do this on Matlab, but need an excel-based solution in this situation)

Thanks

Alex