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 of the object to be created.
- anchorDate The date from which the curve dates will be calculated.(Date)
- initialRates The starting rates. Must be the same length as the elements in the component vectors.
- tenors 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’(Tenor)
- components The componenents. Stack the components in columns side by side or rows one underneath each other.
- vols The volatility for each component. Must be the same length as the number of components.
- multiplier All rates will be multiplied by this amount. This should almost always be 1.0.
- useRelative Indicates if the PCA was done on relative moves. If not then it was done on absolute moves.(Boolean)
- floorAtZero Should simulated rates be floored at zero? This only applies to absolute moves, the default is ‘True’.(Boolean)