Two-additive-factor gaussian model class. More...
#include <ql/models/shortrate/twofactormodels/g2.hpp>
 Inheritance diagram for G2:
 Inheritance diagram for G2:| Classes | |
| class | FittingParameter | 
| Analytical term-structure fitting parameter \( \varphi(t) \).  More... | |
| 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, Rate fixedRate, Real range, Size intervals) const | 
| DiscountFactor | discount (Time t) const | 
| Implied discount curve. | |
| Real | a () const | 
| Real | sigma () const | 
| Real | b () const | 
| Real | eta () const | 
| Real | rho () const | 
|  Public Member Functions inherited from TwoFactorModel | |
| TwoFactorModel (Size nParams) | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const | 
| Returns a two-dimensional trinomial tree. | |
|  Public Member Functions inherited from ShortRateModel | |
| ShortRateModel (Size nArguments) | |
|  Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () | 
| virtual void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) | 
| Calibrate to a set of market instruments (usually caps/swaptions)  More... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) | 
| const boost::shared_ptr< Constraint > & | constraint () const | 
| EndCriteria::Type | endCriteria () const | 
| Returns end criteria result. | |
| const Array & | problemValues () const | 
| Returns the problem values. | |
| Disposable< Array > | params () const | 
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) | 
| Integer | functionEvaluation () const | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from AffineModel | |
| virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const | 
|  Public Member Functions inherited from TermStructureConsistentModel | |
| TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure) | |
| const Handle< YieldTermStructure > & | termStructure () const | 
| Protected Member Functions | |
| void | generateArguments () | 
| Real | A (Time t, Time T) const | 
| Real | B (Real x, Time t) const | 
| Friends | |
| class | SwaptionPricingFunction | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ | 
| boost::shared_ptr< Constraint > | constraint_ | 
| EndCriteria::Type | shortRateEndCriteria_ | 
| Array | problemValues_ | 
| Integer | functionEvaluation_ | 
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 \( dW^1_t dW^2_t = \rho dt \).