---
title: "Completed Correlation Matrix"
method: POST
path: "/assets/correlation/matrix/completed"
tags: ["Assets / Correlation Matrix"]
---

# Completed Correlation Matrix

`POST /assets/correlation/matrix/completed`

Compute the maximal determinant completion of a partially specified asset correlation matrix, potentially altering the specified correlations if such a completion does not exist.

References
* [Georgescu DI, Higham NJ, Peters GW. 2018 Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance](https://royalsocietypublishing.org/rsos/article/5/3/172348/87513/Explicit-solutions-to-correlation-matrix)
* [Olaf Dreyer, Matrix completion and semidefinite matrices, arXiv](https://arxiv.org/abs/2112.03758)
* [van der Schans, Martin and Boer, Alex, A Heuristic for Completing Covariance And Correlation Matrices (March 14, 2013). Technical Working Paper 2014-01](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3748416)

## Request body

- object
  - `assets` integer, required — The number of assets
  - `assetsIncompleteCorrelationMatrix` array[], required — assetsIncompleteCorrelationMatrix[i][i] is the correlation between the asset i and the asset j (null to indicate an unspecified correlation)
    - number[]
  - `assetsCorrelationMatrixCompletionMethod` 'maximumDeterminantCompletion' | 'heuristicCompletion' — The asset correlation matrix completion method to use

## Response `200`

OK

- object
  - `assetsCorrelationMatrix` array[], required — assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j
    - number[]

---

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