org.drip.sample.hjm

Class PrincipalComponentDynamics

java.lang.Object

org.drip.sample.hjm.PrincipalComponentDynamics

public class PrincipalComponentDynamics
extends java.lang.Object

PrincipalComponentDynamics demonstrates the Construction and Usage of the PCA-Based Multi-Factor Gaussian Model Dynamics for the Evolution of the Instantaneous Forward Rate, the Price, and the Short Rate.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PrincipalComponentDynamics()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

PrincipalComponentDynamics

public PrincipalComponentDynamics()

Method Detail

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception