Create a curve simulator based on principle components.
Description
Create a curve simulator based on principle components.
Example Sheet
PCA.xlsx
Arguments
- objectName The name that this object will be assigned on the map. Should be unique.
- anchorDate (Date)The date from which the curve dates will be calculated.
- initialRates (Double[])The starting rates. Must be the same length as the elements in the component vectors.
- tenors (Tenor[])An array of times at which each rate applies. Each value must be valid tenor description. The length must be the same as each component and ‘initialRates’
- components (Double[,])The components. Stack the components in columns side by side or rows one underneath each other.
- vols (Double[])The volatility for each component. Must be the same length as the number of components.
- multiplier (Double)All rates will be multiplied by this amount. This should almost always be 1.0.
- useRelative (Boolean)Indicates if the PCA was done on relative moves. If not then it was done on absolute moves.
- floorAtZero (Boolean)Should simulated rates be floored at zero? This only applies to absolute moves, the default is ‘True’.