| Class | Description |
|---|---|
| G2PlusPlusDynamics |
G2PlusPlusDynamics demonstrates the Construction and Usage of the G2++ 2-Factor HJM Model Dynamics for the
Evolution of the Short Rate.
|
| MultiFactorDynamics |
MultiFactorDynamics demonstrates the Construction and Usage of the Multi-Factor Gaussian Model Dynamics
for the Evolution of the Instantaneous Forward Rate, the Price, and the Short Rate.
|
| MultiFactorQMDynamics |
MultiFactorQMDynamics demonstrates the Construction and Usage of the 3-Factor Gaussian Model Dynamics for
the Evolution of the Discount Factor Quantification Metrics - the Instantaneous Forward Rate, the LIBOR
Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the Compounded Short Rate, and the Price.
|
| PrincipalComponentDynamics |
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.
|
| PrincipalComponentQMDynamics |
PrincipalComponentQMDynamics demonstrates the Construction and Usage of the Principal Component-Based
Gaussian Model Dynamics for the Evolution of the Discount Factor Quantification Metrics - the
Instantaneous Forward Rate, the LIBOR Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the
Compounded Short Rate, and the Price.
|