Design Structure - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

For a given tenor structure \(T_0,T_1,...,T_n\) evenly spaced with \(\tau = T_{i+1} - T_{i}, \forall i=1,...,n\) we need to calculate the calibrated drift and volatilities for the simulation of future forward rate curves. In order to achieve that, the full implementation of the HJM framework consists in 2 main parts: