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 of the object to be created.
- anchorDate The date from which the model applies(Date)
- numeraireCcy The currency into which all valuations will be converted.(Currency)
- rateSimulators Hull White simulators for each of the currencies
- currencies The list of other currencies to be simulated.(Currency)
- spots The initial values for the FX processes at the anchor date. These would actually need to be discounted spot rates.
- vols The volatilities for the FX processes.
- correlations A correlation matrix for the FX processes, rows and columns must be in the order of the currencies in ‘currencies’