struct xf::fintech::hjmModelParams

#include "hjm_model.hpp"

Defines the Heath-Jarrow-Morton multi-factor model specific parameters.

struct hjmModelParams

    // direct descendants

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

// 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