Handle two-factor models

jason-ash / pyesg

Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.

MIT License

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Handle two-factor models #22

Closed jason-ash closed 4 years ago

jason-ash commented 5 years ago

For example, the two-factor Vasicek model or the two-factor Hull-White model.

jason-ash commented 4 years ago

JointStochasticProcess was implemented in #28, and the HestonProcess two-factor model was implemented in #30. This should be the template for adding two-factor models going forward.