How To Fix TE255 - Cholesky decomposition is successful after adding &1 to diagonal elements

SAP Error Message - Details

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 255

• Message text: Cholesky decomposition is successful after adding &1 to diagonal elements

What causes this issue?

Cholesky decomposition of the original covariance matrix could not be
performed successfully. Subsequently, the system automatically altered
the covariance matrix to achieve positive definiteness, but not in the
material sense.
This was achieved by adding a small number (epsilon) to all diagonal
elements of the matrix. When epsilon = &V1& is added, Cholesky
decomposition is performed successfully.

System Response

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

How to fix this error?

Procedure for System Administrators

Error message extract from SAP system. Copyright SAP SE.