Module: tf_quant_finance.models.hjm

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Last updated: 2023-03-16.

Module: tf_quant_finance.models.hjm#

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HJM model.

Classes#

class CalibrationResult: Collection of calibrated QuasiGaussianHJM parameters.

class GaussianHJM: Gaussian HJM model for term-structure modeling.

class QuasiGaussianHJM: Quasi-Gaussian HJM model for term-structure modeling.

Functions#

bond_option_price(...): Calculates European bond option prices using the HJM model.

calibration_from_swaptions(...): Calibrates a batch of HJM models using European Swaption prices.

cap_floor_price(...): Calculates the prices of interest rate Caps/Floors using the HJM model.

swaption_price(...): Calculates the price of European swaptions using the HJM model.

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