RT Journal Article SR Electronic T1 Optimal Calibration of LIBOR Market Models to Correlations JF The Journal of Derivatives FD Institutional Investor Journals SP 43 OP 50 DO 10.3905/jod.2004.450967 VO 12 IS 2 A1 Peter Weigel YR 2004 UL https://pm-research.com/content/12/2/43.abstract AB Another case in which correlations are critical is calibration of the LIBOR market model either to a set of implied correlations from swaption prices or to a set of estimated correlations from historical rate movements. The problem is that if there are n LIBOR rates under consideration, their correlation matrix will have n dimensions. In this article, Weigel presents a simple technique to reduce the dimensionality of the problem. He shows how the ?method of alternating projections? produces the correlation matrix of rank k