A collaborative project between Cambridge Systems Associates Ltd and the Numerical Algorithms Group Ltd (NAG) was undertaken under the remit of the HPCFinance partnership. The aim of the project was the development and testing of a Black-corrected version of a workhorse 3-factor Gaussian affine yield curve economic factor model (EFM, Dempster et al., 2010). The performance of the approximation was investigated using an implementation of the UKF supplied by the Numerical Algorithms Group Ltd. Read more …


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