Hello,
you might encapsulate the model and the copula in a new process,
at which point you could pass it to the path-generation machinery.
See chapter 6 at <
http://sites.google.com/site/luigiballabio/qlbook>
for an overview of the Monte Carlo framework (and of course, post
again if you get stuck).
Luigi
On Wed, Mar 7, 2012 at 10:00 AM, fxjazz <
[hidden email]> wrote:
> I am new to quantlib and still figuring out howto use it. I have been
> through the documentation and it seems that only stationary volatility
> process can be used to generate correlated paths.
>
> I was wondering whether there is a way to use an asymetric GARCH model along
> with a t-copula to induce correlation between residuals to simulate
> multi-assets paths?
>
> My primary objective is to generate MonteCarlo simulations using EVT and
> copulas in order to estimate the VaR of a portfolio.
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