G2 Class Reference
[Short-rate modelling framework]

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

Inheritance diagram for G2:

Inheritance graph
[legend]
List of all 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 $.

Bug:
This class was not tested enough to guarantee its functionality.
Examples:

BermudanSwaption.cpp.


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, 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

Classes

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