[Quantlib-dev] Simulating multiple correlated stochastic processes

[Max <ma...@gm...>]

Hi,

I am trying to simulate the price dynamics of 4 different assets given the
correlation among them (assuming all asset returns follow geometric Brownian
motion).

I have implemented the monte-carlo simulation using Quantlib classes, such
as StochasticProcessArray, MultiPathGenerator, etc.

However, I am not so sure how the StochasticProcessArray implementation
ensures the correlation among the 4 assets is guaranteed, given the input
4x4 correlation matrix is positive defintie. Could someone help explain this
from a theoretical perspective? or point me to the related reference?

Thanks!

Best regards,
Max