HJM model and swaption pricing

I need to submit an assignment on HJM model and pricing a swaption based on it. The model needs to be implemented in C++ using initial yield curve data from FED. After the PCA calibration, an example swaption needs to be priced based on the model. The math and c++ code needs to be provided in a step-by-step manner. I am a student and the price can be negotiated.

Skills: C++ Programming

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( 1 review ) Chatham, United States

Project ID: #17673294

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