Linux | Windows |
---|---|
Rewriting of market risk application. Predominantly used for fixed income. Assumes interest rate process is generalized Hull White.
Depends on HullWhite repository, Monte Carlo repository (histogram only), and FunctionalUtilities. External repostiroy is rapidjson.
It depends on my Hull White, Functional Utilities, Monte Carlo repositories. It also depends on Rapidjson. It expects these repos to be cloned in the same directory as this repo.