Struct CompositeStochasticProcessConfig

• Defined in File underlying_dataset.hpp

Struct Documentation

struct CompositeStochasticProcessConfig

Configuration parameters for a composite stochastic process calibration.

Public Members

std::string specification

Specification string of the process. See CompositeStochasticProcessFactory.

int max_n_event

Maximum number of events (e.g., jumps) allowed in the process.

double min_tenor

Minimum tenor (time to maturity) over which the process is applied.

double max_tenor

Maximum tenor (time to maturity) over which the process is applied.