[Quantlib-dev] Basket Valuation with QuantLib

[Steve Y. <ya...@in...>]

Hello All,

 

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. 

 

As an aside, there seems to be support for cholesky decomposition but no
clear use of it I see. 

 

Cheers,

 

Steve