Basket Valuation with QuantLib

[Steve Yalovitser]

Hello All,

 

I’m wondering which end of the framework to start at to add copula capabilities to Basket Valuation. It seems that the correlation matrix approach is baked in deeply into path generation.

 

As an aside, there seems to be support for cholesky decomposition but no clear use of it I see…

 

Cheers,

 

Steve