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Copy path03_20_2015.txt
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03_20_2015.txt
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Features:
- Gaussian HJM Phase-Out (8)
- Hull White: Alpha Calculation (9), Evolution Metrics (13, 14, 15, 16, 17, 18, 19), Pathwise Evolver (20, 21, 22, 23, 24, 25, 26)
- Hull White Trinomial Tree: Evolution (34, 35), Node Metrics (36, 37, 38, 39), Alpha Computation (40), M/V^2 (41, 42), X Increment (43)
- Hull White Trinomial Tree: k-Node (44), X Up/Down Computation (45), Up/Down/Stay Transition Probabilities (46, 47)
- Hull-White Trinomial Tree: Hull-White Transition Metrics (48, 49, 50, 51, 52, 53, 54, 55), Trinomial Tree Evolution (56, 57)
Bug Fixes:
Samples:
- Multi-Factor QM HJM Dynamics (1), Principal Component QM HJM Dynamics (2, 3), Sample Name Set Reconciliation (4), Multi-Factor HJM Dynamics (5)
- Pricinipal Component HJM Dynamics (6, 7), Hull-White Alpha/Theta (10, 11, 12), Evolution Metric Run (27, 28, 29, 30, 31, 32, 33)
- Hull-White Trinomial Tree Sample (58, 59, 60)