Design Structure - 2024.2 English - XD160

Vitis Libraries

Document ID
XD160
Release Date
2024-11-29
Version
2024.2 English

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