G2 Class Reference

#include <ql/ShortRateModels/TwoFactorModels/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

$dr_t = \varphi(t) + x_t + y_t$

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.

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.

double discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const

double swaption (const Swaption::arguments &arguments) const

DiscountFactor discount (Time t) const

Implied discount curve.

Protected Member Functions

void generateArguments ()

double A (Time t, Time T) const

double B (double x, Time t) const

Friends

class SwaptionPricingFunction

QuantLib 0.3.6

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G2 Class Reference

Detailed Description

Public Member Functions

Protected Member Functions

Friends