QuantLib_G2 man page

G2 — Two-additive-factor gaussian model class.


#include <ql/models/shortrate/twofactormodels/g2.hpp>

Inherits TwoFactorModel, AffineModel, and TermStructureConsistentModel.


class FittingParameter
Analytical term-structure fitting parameter $ varphi(t) $.

Public Member Functions

G2 (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)

boost::shared_ptr< ShortRateDynamics > dynamics () const
Returns the short-rate dynamics.
virtual Real discountBond (Time now, Time maturity, Array factors) const

Real discountBond (Time, Time, Rate, Rate) const

Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const

Real swaption (const Swaption::arguments &arguments, Rate fixedRate, Real range, Size intervals) const

DiscountFactor discount (Time t) const
Implied discount curve.
Real a () const

Real sigma () const

Real b () const

Real eta () const

Real rho () const

Protected Member Functions

void generateArguments ()

Real A (Time t, Time T) const

Real B (Real x, Time t) const


class SwaptionPricingFunction

Additional Inherited Members

Detailed Description

Two-additive-factor gaussian model class.

This class implements a two-additive-factor model defined by [ dr_t = varphi(t) + x_t + y_t ] where $ x_t $ and $ y_t $ are defined by [ dx_t = -a x_t dt + sigma dW^1_t, x_0 = 0 ] [ dy_t = -b y_t dt + sigma dW^2_t, y_0 = 0 ] and $ dW^1_t dW^2_t = rho dt $.


This class was not tested enough to guarantee its functionality.

Examples: BermudanSwaption.cpp.


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Referenced By

G2(3), swaption(3) and SwaptionPricingFunction(3) are aliases of QuantLib_G2(3).

QuantLib Version 1.8.1 Fri Sep 23 2016