Message type: E = Error
Message class: RY - Messages for RM Basis
Message number: 325
Message text: Covariance matrix is not positively definite
The covariance matrix is not positively definite. Consequently, no
Choleskyanalysis of the covariance matrix can be performed. The
calculated VaRs are only applied conditionally.
The system issues an error message and will not allow you to continue with this transaction until the error is resolved.
Align variances and covariances in such a way so that the covariance
matrix is positively definite. Alternatively,
use an external Monte Carlo calculator (user exit level 1) to split up
the covariance matrix with the single value analysis. (The algorithm for
the single value analysis of a matrix cannot be applied in the case of
non-positively defined matrices.)
Error message extract from SAP system. Copyright SAP SE.
RY324 Error while generating scenarios
Self-Explanatory Message Since SAP believes that this specific error message is ...
RY323 RFC system error (Monte Carlo step 2): &
What causes this issue? An error occurred during communication with an external...
RY326 Covariance matrix is not defined properly
Self-Explanatory Message Since SAP believes that this specific error message is ...
RY327 Jacobi method needs too many iterations
Self-Explanatory Message Since SAP believes that this specific error message is ...
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