Overview - 2024.2 English

Vitis Libraries

Document ID
XD160
Release Date
2024-11-29
Version
2024.2 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. A multi-factor Monte-Carlo implementation of the HJM framework is provided, where the volatilities can be calculated by performing a Principal Component Analysis of historical interest rate curves.

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.