Re: Basket Valuation with QuantLib

Posted by Luigi Ballabio on Jul 28, 2005; 7:59am
URL: http://quantlib.414.s1.nabble.com/Basket-Valuation-with-QuantLib-tp3517p3518.html

On 01/14/2005 03:38:21 AM, Steve Yalovitser wrote:
>
> 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.

Steve,
        it's a long time since you wrote, I know. However, there are  
news---in the past couple of releases, I worked on generalizing the  
path generation so that correlation is no longer hard-coded. The  
current code should give you a chance to use copulas.

Later,
        Luigi

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