## Correlation

Key

**in VaR Spec refers to a symmetric square correlation matrix that provides the pairwise correlations between the risk factors.**

*Correlation*Expects an object of type Flat Array.

The dimensionality (number of rows or columns) must equal the total number of simulated risk factors.

The ordering of risk factors matches that of the market elements in the table Simulated Market

In the special case where a market element has its buckets treated according to Bipolar or Tripolar, the first risk factor corresponds to the minimum coordinate and the last risk factor corresponds to the maximum coordinate.

In the special case where a market element is of type Yield Curve and the various buckets are separately evolved, the ordering is as follows:

Deposits

Futures

Forwards

Swaps

Bonds

OIS

BMA

In the special case where a market element is of type Vol Curve represented through a two-dimensional table (vol surface) and the various buckets (table elements) are separately evolved, the ordering is as follows:

If Vol Input =

**then the buckets are indexed first by the #Maturity and then by the #Strike.**

*Maturity-Strike*If Vol Input =

**then the buckets are indexed first by the #Expiry and then by the #SwapTenor.**

*Swaption Surface*In the special case where a market element is of type Vol Curve represented through a three-dimensional table (vol cube) and the various buckets (table elements) are separately evolved, the ordering is as follows:

The buckets are indexed first by the #AtmSpread then by the #Expiry and finally by the #SwapTenor.