How to generate correlation multipath
Hi all,
In version 0.3.4 I can use the QuantLib::MonteCarlo::MultipathGenerator(&drifts, &covariance, timelength, timestep, sggenerator) to do the job
How do I do the same in version 0.4.0? The interface seems to be changed significantly. The onlything I can find about covariance in the documentation is for covariance(Time t0, const Array &x0, Time dt) which only give V(xto+dt|xto) for StochasticProcessArray, which is not what I was looking for.
Thanks.
Sample code would be appricated.
Apollo
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