ql/models/shortrate/twofactormodels/g2.hpp File Reference


Detailed Description

Two-factor additive Gaussian Model G2++.

#include <ql/models/shortrate/twofactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <ql/instruments/swaption.hpp>

Include dependency graph for g2.hpp:


Namespaces

namespace  QuantLib

Classes

class  G2
 Two-additive-factor gaussian model class. More...
class  G2::FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...