This project contains a simple C++ implementation of a Monte Carlo simulation for the Quadratic Gaussian (QG) model.
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.
- C++11 or later
- Compile the program using g++ or any C++ compiler
- Run the program
[Amit Jha] [jha.8@iitj.ac.in]
- 0.1
- Initial Release
This project is licensed under the [NAME HERE] License - see the LICENSE.md file for details