-
Notifications
You must be signed in to change notification settings - Fork 557
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
JointItoProcess #102
Comments
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Hello,
it seems that the correlation structure of the JointItoProcess model cannot accept a different structure from that of block diagonal across the single processes. I am dealing with joint Heston Processes and ideally I would like to introduce correlation within single spot price processes as well as correlation within single variance processes (and also correlation within variances and spot prices of different process). That is not possible with current release correct (I am just trying to understand is not really request)? Thanks
The text was updated successfully, but these errors were encountered: