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03_09_2015.txt
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Features:
- Heath Jarrow Morton: Random Sequence Generator Array (1, 2), Volatility Surface Array (3, 4), Weiner-Vol Surface Incorporation (5), Short Rate Increment (6, 7)
- Heath Jarrow Morton: View Time Increment (9), Market Surface (10, 11), Scenario Market Surface Builders (12, 13), Log Normal Vol Accomodation (20, 21)
- HJM -> Gaussian HJM (33), Hull-White (34, 35, 36, 37, 38), G2++ (44, 45, 46, 47, 48), HJM Compounded Short Rate Increment (54, 55)
- HJM - Forward Rate Increment (58, 59, 60)
Bug Fixes:
- Integration Date Scaling (8), Brownian Bridge Factor (22), Short Rate Evolution Integrand Limits (31), Multi-Factor (32)
Samples:
- HJM Dynamics Sample (14), View/Target Volatility Surface (15), HJM Instance Creation/Invocation (16, 17, 18), Forward Rate Increment (19)
- HJM Dynamics Sample: Forward Rate Evolution (23, 24, 25, 26), Proportional Price Evolution (27, 28), Short Rate Evolution (29, 30)
- Hull White Dynamics Sample (39, 40, 41, 42, 43), G2PlusPlusDynamics (49, 50, 51, 52, 53), HJM Compounded Short Rate Increment (56, 57)