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finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
Apache License 2.0
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Interpolation of LIBOR Rates #64

Closed VEichel closed 5 years ago

VEichel commented 5 years ago

What is this PR for?

Fixing and Extending of the interpolation of LIBOR Rates.

What type of PR is it?

Improvement

Todos

Allow arbitrary process scheme in getDriftAdjustment. Make Thread safe. Improve documentation. Improve Tests.

How should this be tested?

UnitTests and Test to check Arbitrage Free condition.

cfries commented 5 years ago

The same or similar (?) changes from the branch stochastic-interpolation-LIBORs have been merged to master. Please check if there is still something left for this PR?