class xf::fintech::HJM

#include "xf_fintech_hjm.hpp"

Overview

This class implements the Heath Jarrow Morton Model.

class HJM: public xf::fintech::OCLController

Inherited Members

Methods

run

int run (
    double* historicalData,
    unsigned noTenors,
    unsigned noCurves,
    unsigned noMcPaths,
    float simYears,
    float zcbMaturity,
    unsigned* seeds,
    double* outPrice
    )

Calculate the price of a Zero Coupon Bond using the Heath-Jarrow-Morton framework.

Parameters:

historicalData	Matrix of historical interest rate curves
noTenors	Number of tenors (columns) in the historicalData matrix.
noCurves	Number of interest rate curves (rows) in the historicalData matrix.
noMcPaths	Number of MonteCarlo instantaneous forward rate paths to generate
simYears	Number of years of forward rate curves to simulate per MC path.
zcbMaturity	Maturity, in years, of the ZeroCouponBond to be priced with the HJM framework.
seeds	Array of seeds for MC’s RNGs. Must be ‘N_FACTORS x MC_UN’ elements wide.
outPrice	Output price for the calculated ZeroCouponBond.