G2 Class Reference#include <g2.hpp>
Inheritance diagram for G2:
[legend]List of all members.
Detailed Description
Two-additive-factor gaussian model class.
This class implements a two-additive-factor model defined by
where and are defined by
and .
- Unstable:
- This class was not tested enough to guarantee its functionality.
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Public Member Functions |
| G2 (const RelinkableHandle< TermStructure > &termStructure, double a=0.1, double sigma=0.01, double b=0.1, double eta=0.01, double rho=0.9) |
Handle< ShortRateDynamics > | dynamics () const |
| Returns the short-rate dynamics.
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double | discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const |
double | swaption (const Instruments::SwaptionArguments &arguments) const |
DiscountFactor | discount (Time t) const |
| Implied discount curve.
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Protected Member Functions |
void | generateArguments () |
double | A (Time t, Time T) const |
double | B (double x, Time t) const |
Friends |
class | SwaptionPricingFunction |
The documentation for this class was generated from the following files:
- ql/ShortRateModels/TwoFactorModels/g2.hpp
- ql/ShortRateModels/TwoFactorModels/g2.cpp
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