parametric VAR salvaging covariance matrix

[rkapl123]

When running the parametric VAR with a covariance file that I produced with https://github.com/rkapl123/Tools/tree/main/VarInput I receive an error:
ALERT [2024-Aug-10 15:57:36.970337] (OREAnalytics\orea\app\oreapp.cpp:303) : Error in ORE analytics: ParametricVar: input covariance matrix is not positive semi-definite, smallest eigenvalue is -0.000163759

If I now set <Parameter name="salvageCovarianceMatrix">Y</Parameter> (hoping to get around the problem), this error still occurs with the same smallest eigenvalue (so the salvaging probably didn't run):
ALERT [2024-Aug-10 15:50:36.123428] (OREAnalytics\orea\app\oreapp.cpp:303) : Error in ORE analytics: ParametricVar: input covariance matrix is not positive semi-definite, smallest eigenvalue is -0.000163759

I also observed that the getter for this is never being called...

    /*****************
     * Getters for VaR
     *****************/
    bool salvageCovariance() const { return salvageCovariance_; }