Corelated Random Numbers

Correlated Random Numbers

There are two FinPak functions that provide correlated random numbers. For a general discussion of correlated events see the help section Correlated Events. It is probably useful to read this section first if you are not familiar with the concepts.

1. Simple Correlation

This will probably handle most situations. It is designed to handle two correlated events, and produce two correlated random numbers.

2. Multiple Correlation

This requires significantly more thought and input. It will produce correlated numbers for more than 2 correlated events. Be sure to consider the alternative methodology suggested here.