I have one question about Monte-Carlo simulation Hull-White process, maybe you can give me some advice.
I constructed a Hull-White process using Python and QuantLib. Now I want to construct a Hull-White process for two correlated short rates. For example, I want model rates in two correlated currency.
ql.GaussianPathGenerator for constructing one Hull-White process and path generator. But I can't understand how get two correlated paths.