Undefined function or variable 'nearestSPD'.

Hi, all! Below is a part of my code for optimization. But I got this error message:

Undefined function or variable 'nearestSPD'.

Error in Optimization__Engine_Multiple_Assets_Input_170204_flexible (line 66) covariances = nearestSPD(covariances_org);

I can't find the reason. Would someone please help me out?

Cheers,

----------------------------------- [rows columns]=size(num);

%Asset Returns, Volatility and Correlation

mu=num(:,1); sigma=num(:,2); rho_org=num(1:rows,6:columns); covariances_org = corr2cov(sigma,rho_org);

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %Validation: Check whether Covariance Matrix id positive semi-definite %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

%Calculates nearest SPD-Variance-Covariance Matrix - Difference are typically minor covariances = nearestSPD(covariances_org);

%Calculates adjusted correlation matrix and [ExpSigma, ExpCorrC] = cov2corr(covariances); rho=ExpCorrC;

diffcov=covariances-covariances_org diffcor=rho-rho_org;

Answer 1

[SOO HEON KIM]

Can someone help me??

Answer 2

[Sruthi Geetha]

I don't see the variable 'nearestSPD' defined anywhere in the code.If you have defined it somewhere, please send that code snippet.