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September 21, 2017 at 7:11 pm
#6214
Peter Caspers
Keymaster
Hi Ben,
the cross asset model is designed to allow for that. However currently only one model type per asset class is available in the open source library, so effectively you can only use e.g. the LGM1F (=HW1F) model for IR unless someone (or we) add an alternative model type.
Best Regards
Peter