QuantLib_G2 (3) - Linux Manuals

QuantLib_G2: Two-additive-factor gaussian model class.

NAME

QuantLib::G2 - Two-additive-factor gaussian model class.

SYNOPSIS

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

Inherits QuantLib::TwoFactorModel, QuantLib::AffineModel, and QuantLib::TermStructureConsistentModel.

Classes

class FittingParameter
Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)"

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

Detailed Description

Two-additive-factor gaussian model class.

This class implements a two-additive-factor model defined by [ dr_t = nd $ y_t $ are defined by [ dx_t = -a x_t dt + igma dW^1_t, x_0 = 0 ] [ dy_t = -b y_t dt + igma dW^2_t, y_0 = 0 ] and $ dW^1_t dW^2_t = ho dt $.

Bug

This class was not tested enough to guarantee its functionality.

Examples:

BermudanSwaption.cpp.

Author

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