template class xf::fintech::hjmZeroCouponBondPricer

#include "path_pricer.hpp"

Overview

Heath-Jarrow-Morton path pricer for Zero Coupon Bonds. Takes as an input an Instantaneous Forwards Rates matrix and calculates the price of a Zero Coupon Bond maturing at time ‘T’ years. For correct functionality, ‘T’ must be <= than the simulated time in the path generation.

Parameters:

DT	The internal DataType of the pricer.
MAX_TENORS	Maximum number of tenors supported

template <
    typename DT,
    unsigned int MAX_TENORS
    >
class hjmZeroCouponBondPricer

// fields

static const unsigned int InN
static const unsigned int OutN
static const bool byPassGen

Methods

init

void init (
    unsigned int noTenors,
    const DT T
    )

Sets the parameters for this ZCB pricer.

Parameters:

noTenors	Number of tenors in the current model
T	ZCB maturing time, in years. Must be <= than the sim_years parameter on the HJM MC Engine