class xf::fintech::HJM

#include "xf_fintech_hjm.hpp"


This class implements the Heath Jarrow Morton Model.

class HJM: public xf::fintech::OCLController

Inherited Members



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.


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.