Using the data provided, create a HJM volatility specification (using hjmvolspec), rate specification (using intenvset), and tree time layout specification (using hjmtimespec). Then use these specifications to create a HJM tree using hjmtree.
VolSpec — Volatility process specification structure
Volatility process specification, specified using the VolSpec
output obtained from hjmvolspec. VolSpec
sets the number of factors and the rules for computing the volatility for each factor.
Data Types: struct
RateSpec — Interest-rate specification for initial risk-free rate curve structure
Interest-rate specification for initial rate curve, specified by the
RateSpec obtained from intenvset. For information on the interest-rate specification, see
intenvset.
Data Types: struct
TimeSpec — Time tree layout specification structure
Time tree layout specification, specified using the TimeSpec
output obtained from hjmtimespec. The TimeSpec defines the
observation dates of the HJM tree and the Compounding rule for date
to time mapping and price-yield formulas.
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