Package 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 Description
    PrincipalComponentDynamics()  

  • Method Summary

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

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PrincipalComponentDynamics

      public PrincipalComponentDynamics()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation