MCNORM

Simulate a matrix of multivariate normal returns using Monte-Carlo with the option to preserve an expected correlation structure.

Description

Simulate a matrix of returns using multi-variate Monte-Carlo.

Syntax

The following describes the function signature for use in Microsoft Excel's formula bar.

=MCNORM(mu, sigma, rho, isRhoExact, T, dataPeriodicity)

Input(s)

Output(s)

Matrix of multi-variate returns simulated using Monte-Carlo.

Example

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