QuoteOriginally posted by: manmeetIs (implied) correlation readily available? Is it stable?From practical standpoint, does everyone use historical correlation? how many days of history is recommended?yes it is, but it is ultimately dependent on your choice of model. the tails of each marginal are very important, so neither sabr nor lognormal are a very good choice. you need to do sth else....and no, there no papers on this topic.