#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
where and are defined by
and .
- Bug:
- This class was not tested enough to guarantee its functionality.
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Public Member Functions |
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| 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) |
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boost::shared_ptr< ShortRateDynamics > | dynamics () const |
| | Returns the short-rate dynamics.
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Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
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Real | swaption (const Swaption::arguments &arguments, Real range, Size intervals) const |
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DiscountFactor | discount (Time t) const |
| | Implied discount curve.
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Protected Member Functions |
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void | generateArguments () |
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Real | A (Time t, Time T) const |
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Real | B (Real x, Time t) const |
Friends |
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class | SwaptionPricingFunction |
Classes |
| class | FittingParameter |
| | Analytical term-structure fitting parameter . More...
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