/QuadraticGaussianModelSimulator

Primary LanguageC++

Quadratic Gaussian Model Simulation

This project contains a simple C++ implementation of a Monte Carlo simulation for the Quadratic Gaussian (QG) model.

Description

The QG model is a type of term structure model used in financial mathematics to model the evolution of interest rates. This code simulates paths for the short rate and calculates the corresponding bond prices.

Getting Started

Dependencies

  • C++11 or later

Executing program

  • Compile the program using g++ or any C++ compiler
  • Run the program

Authors

[Amit Jha] [jha.8@iitj.ac.in]

Version History

  • 0.1
    • Initial Release

License

This project is licensed under the [NAME HERE] License - see the LICENSE.md file for details