hjmPcaEngine - 2023.2 English

Vitis Libraries
Release Date
2023-12-20
Version
2023.2 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.