G2 Class Reference
[Short-rate modelling framework]
#include <ql/models/shortrate/twofactormodels/g2.hpp>
Inheritance diagram for G2:

Detailed Description
Two-additive-factor gaussian model class.This class implements a two-additive-factor model defined by
where and
are defined by
and .
- Bug:
- This class was not tested enough to guarantee its functionality.
- Examples:
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 ![]() |