template struct xf::fintech::hjmModelData

#include "hjm_model.hpp"

Defines the constant terms of the Heath-Jarrow-Morton framework stochastic differential equation. The data in this structure is meant to be set once and reused in every path generator.

template <
    typename DT,
    unsigned int MAX_TENORS
    >
struct hjmModelData: public xf::fintech::hjmModelParams

// fields

DT vol1[MAX_TENORS]
DT vol2[MAX_TENORS]
DT vol3[MAX_TENORS]
DT RnD[MAX_TENORS]
DT m_initialFc[MAX_TENORS]
ap_uint <16> tenors

Inherited Members

// fields

static constexpr unsigned N
static constexpr unsigned int PD[N]
static constexpr float dt
static constexpr float dtInv
static constexpr float sqrtDt
static constexpr float tau
static constexpr unsigned VOL_POLYFIT_FANOUT