Added Interest-rate term structure in g2process constructor #1937
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Signed-off-by: Hrushi20 <[email protected]>
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I'm interested in the math behind it. I'm not sure how to update the drift for G2ForwardProcess. |
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I've added Interest rate term structure to G2Process and G2Forwardprocess. The term structure is used to add an additional term to the drifts of the underlying Ornstein-Uhlenbeck processes.
This PR aims to address Issue #1904