g2 (3) - Linux Manuals

g2: Two-factor additive Gaussian Model G2++.

NAME

ql/models/shortrate/twofactormodels/g2.hpp - Two-factor additive Gaussian Model G2++.

SYNOPSIS

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

Classes

class G2
Two-additive-factor gaussian model class.
class FittingParameter
Analytical term-structure fitting parameter $ iled Description"

Detailed Description

Two-factor additive Gaussian Model G2++.

Author

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