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