Hi All,
I am a PhD student who has recently started using QuantLib. It happened some days ago that I need to do some calculations using the Multi-factor gaussian copula credit model.
I found out that QuantLib lacks it but instead has several single-factor copula models.
At the same time, I want to participate in the QuantLib project so as to brush up my C++ as well as gain some experience in large-scale software development. Multi-factor gaussian copula model seems a good starting point because it involves mainly mathematical calcaltions and so I can code it even without fully understanding complicated classes like PricingEngine. What do you guys think? Besides, any advice on what parts of QuantLib I should study in detail before coding it? And can people who contributed to QuantLib when they were relativeily new users share some experience?
Also, is any one also implementing it or something similar?
Thanks a lot.
Cheers,
Stephen
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