Gets a block of principle component simulated rates.

Description

Gets a block of principle component simulated rates. Each row is a curve at a simulation date.

Example Sheet

PCA.xlsx

Arguments

  • simulator (PCACurveSimulator)The simulator.
  • simulationDates (Date[])A list of increasing dates.
  • requiredTenors (Tenor[])The tenors at which the rates are required. These do not need to be the same as used to do the PCA.