Overview - 2023.1 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.1 English

The Heath-Jarrow-Morton (HJM) framework is a general framework to model the evolution of instantaneous forward rate curves. The paths generated by the HJM framework are non-Markovian and its implementation is solved by Monte-Carlo simulation. We provide a multi-factor Monte-Carlo implementation of the HJM framework, where the volatilities can be calculated by performing a Principal Component Analysis of historical interest rate curves.

Note that calculations based on the HJM Framework are by nature a long-running process and hardware emulation of an HJM-based kernel may take several days to complete.