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risk neutral pricing of a portfolio
I am investigating how to price a porftolio of assets in the risk neutral frame work for CVA calculation. The portfolio includes EUR swaptions, caplets, USD swaptions, some callable bonds, etc. We can do individual risk neutral pricing of the swaptions or caplets (LFM/LSM) in one currency, but how to link assets in both currencies in risk neutral framework. What about if I add equity options into the list? We can do Black Scholes for that, but how to get the correlations between interest rate models and equity volatilities in risk neutral framework...