IMsValueAtRiskTransform.UseCholeskyFactorization

Syntax

UseCholeskyFactorization: Boolean;

Description

The UseCholeskyFactorization property determines whether Cholesky factorization should be used.

Comments

Available values:

True. Use the Cholesky factorization.
False. Do not use the Cholesky factorization.

The UseCholeskyFactorization property is used only in the Monte Carlo method, that is, IMsValueAtRiskTransform.MethodType = MsValueAtRiskMethodType.MonteCarlo.

Example

The property use is given in IMsValueAtRiskTransform.Portfolio.