Lecture Computational Finance 2 / Appl. Math. Fin. 17: Discrete Term Structure Models (4)
Channel: finmath
Date: 03/02/2021

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 17: Discrete Term Structure Models (Part 4)

The forth session on discrete term structure models, modelling a discrete set of forward rates (LIBOR market model).

- Implementation (Part 2)

  - Interfaces:
    - ProcessModel
    - TermStructureCovarianceModel

  - Method Implementation:
    - getDrift
    - getFactorLoadings
    - getNumeraire

  - Valuation Code