A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Two-additive-factor gaussian model class. More...
#include <ql/models/shortrate/twofactormodels/g2.hpp>
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) | |
| ext::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) | |
| ext::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< ext::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... | |
| virtual QL_DEPRECATED void | calibrate (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, 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 >()) |
| Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) |
| QL_DEPRECATED Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &) |
| const ext::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 ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::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 boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| ext::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 \( dW^1_t dW^2_t = \rho dt \).
