Package org.drip.sample.hjm

HJM Multi-Factor Principal Dynamics
Author:
Lakshmi Krishnamurthy
  • Class Summary
    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.