- QuantLib
- G2
 
Two-additive-factor gaussian model class. More...
#include <ql/models/shortrate/twofactormodels/g2.hpp>

| Classes | |
| class | FittingParameter | 
| Analytical term-structure fitting parameter  .  More... | |
| 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. | |
| Protected Member Functions | |
| void | generateArguments () | 
| Real | A (Time t, Time T) const | 
| Real | B (Real x, Time t) const | 
| Friends | |
| class | SwaptionPricingFunction | 
Two-additive-factor gaussian model class.
This class implements a two-additive-factor model defined by
![\[ dr_t = \varphi(t) + x_t + y_t \]](form_315.png) 
 where  and
 and  are defined by
 are defined by 
![\[ dx_t = -a x_t dt + \sigma dW^1_t, x_0 = 0 \]](form_316.png) 
![\[ dy_t = -b y_t dt + \sigma dW^2_t, y_0 = 0 \]](form_317.png) 
 and  .
.