A sample model that simulates FX processes according to geometric Brownian motion and short rates according to Hull White.
Description
A sample model that simulates FX processes according to geometric Brownian motion and short rates according to Hull White.
Example Sheet
PFE.xlsx
Arguments
- objectName The name that this object will be assigned on the map. Should be unique.
- anchorDate (Date)The date from which the model applies
- numeraireCcy (Currency)The currency into which all valuations will be converted.
- rateSimulators (HullWhite1F[])Hull White simulators for each of the currencies
- currencyPairs (CurrencyPair[])The list of other currencies pairs to be simulated, they must all have the numeraire currency as their counter currency.
- spots (Double[])The initial values for the FX processes at the anchor date. These would actually need to be discounted spot rates.
- vols (Double[])The volatilities for the FX processes.
- correlations (Double[,])A correlation matrix for the FX processes, rows and columns must be in the order of the currencies in ‘currencies’