template class xf::fintech::internal::hjmPathGenerator

#include "path_generator.hpp"

Overview

Path generation for Heath-Jarrow-Morton framework. Each path corresponds to a matrix of Instantaneous Forward Rates ‘tenors’ wide and ‘simYears/dt’ deep.

Parameters:

DT	Internal DataType of the path generator
MAX_TENORS	Maximum number of tenors supported

template <
    typename DT,
    unsigned int MAX_TENORS
    >
class hjmPathGenerator

// fields

xf::fintech::hjmModelData <DT, MAX_TENORS> m_hjmImpl
DT prevPath[MAX_TENORS]