hjmPcaEngine - hjmPcaEngine - 2022.2 English

#include "xf_fintech/hjm_engine.hpp"

template <
    typename DT,
    unsigned MAX_TENORS,
    unsigned MAX_CURVES,
    unsigned NCU = 1
    >
void hjmPcaEngine (
    DT ratesIn [MAX_CURVES *MAX_TENORS],
    const unsigned int noTenors,
    const unsigned int noObservations,
    DT riskNeutralDrift [MAX_TENORS],
    DT volatilities [hjmModelParams::N][MAX_TENORS],
    DT presentForwardCurve [MAX_TENORS]
    )

Analyses raw historical data and calculates the input vectors for a Heath-Jarrow-Morton Monte-Carlo simulation.

Parameters:

DT	The internal DataType of the calculations.
MAX_TENORS	Maximum support synthetisable tenors.
MAX_CURVES	Maximum synthetisable number of entries from the historial data.
NCU	Number of parallel component units when processing the historical data matrix.
ratesIn	Matrix with the historical data.
noTenors	Number of tenors in the simulation. Must be fewer than MAX_TENORS and be a multiple of NCU .
noObservations	Number of forward curves in the historical data matrix.
riskNeutralDrift	Output buffer for the Risk Neutral Drift vector for the MC simulation, tenors wide
volatilities	Output vectors of the volatilities extracted from historical data. Consists on N vectors, tenors wide.
presentForwardCurve	Output vector with the forward curve at present date.