Serving the Quantitative Finance Community
problem in implementing "all your hedges in one basket", andersen basu
first time i am implemnting this algorithm for small basket. my basket size is 20. This is not a CDO but a similar setup. first i need to find factor. But in my case M<5 doesnot work as some diagonal element of CC' are more than 1. So i choose M=5Now i have to perform 6 dimensional numerical integration over 5 independent gaussian variable and one Chi square variable.I dunno much about numerical intergartion can any one tell me how to get weights for 6 dimension. I assume gaussian rectangle to be [-4.5, 4.5] and for Chi square [0,22] for 6 dof.How to go about it?