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Added Interest-rate term structure in g2process constructor #1937

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@Hrushi20 Hrushi20 commented Mar 29, 2024

I've added Interest rate term structure to G2Process and G2Forwardprocess. The term structure is used to add an additional term to the drifts of the underlying Ornstein-Uhlenbeck processes.

This PR aims to address Issue #1904

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boring-cyborg bot commented Mar 29, 2024

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I'm interested in the math behind it. I'm not sure how to update the drift for G2ForwardProcess.

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Coverage Status

coverage: 72.492% (-0.005%) from 72.497%
when pulling 7a21fd8 on Hrushi20:feature-branch
into 9ff0542 on lballabio:master.

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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.

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