| Class | Description |
|---|---|
| G2PlusPlus |
G2PlusPlus provides the Hull-White-type, but Two-Factor Gaussian HJM Short Rate Dynamics Implementation.
|
| MultiFactorStateEvolver |
MultiFactorStateEvolver sets up and implements the Base Multi-Factor No-arbitrage Dynamics of the Rates
State Quantifiers as formulated in:
Heath, D., R.
|
| MultiFactorVolatility |
MultiFactorVolatility implements the Volatility of the Multi-factor Stochastic Evolutionary Process.
|
| ShortForwardRateUpdate |
ShortForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State
Quantification Metrics.
|