Package org.drip.dynamics.hjm

HJM Based Latent State Evolution
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    G2PlusPlus
    G2PlusPlus provides the Hull-White-type, but 2F 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 Evolution Process.
    ShortForwardRateUpdate
    ShortForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State Quantification Metrics.