Non Parallel Shifts
Subtype of Yld Crv ModelCorresponds to the QuantLib NonParallelShifts type as described in the Patrick S. Hagan paper titled "Convexity Conundrums Pricing IRS Swaps, Caps, and Floors". Web reference available here
Corresponds to the QuantLib NonParallelShifts type as described in the Patrick S. Hagan paper titled "Convexity Conundrums Pricing IRS Swaps, Caps, and Floors". Web reference available here