1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: G2 Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_g2.html">G2</a></div>
<h1>G2 Class Reference<br>
<small>
[<a class="el" href="group__shortrate.html">Short-rate modelling framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::G2" --><!-- doxytag: inherits="QuantLib::TwoFactorModel,QuantLib::AffineModel,QuantLib::TermStructureConsistentModel" --><code>#include <ql/ShortRateModels/TwoFactorModels/g2.hpp></code>
<p>
Inheritance diagram for G2:<p><center><img src="class_quant_lib_1_1_g2__inherit__graph.png" border="0" usemap="#_g2__inherit__map" alt="Inheritance graph"></center>
<map name="_g2__inherit__map">
<area href="class_quant_lib_1_1_two_factor_model.html" shape="rect" coords="5,231,136,255" alt="">
<area href="class_quant_lib_1_1_short_rate_model.html" shape="rect" coords="7,156,135,180" alt="">
<area href="class_quant_lib_1_1_calibrated_model.html" shape="rect" coords="19,81,149,105" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="43,7,125,31" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="161,7,260,31" alt="">
<area href="class_quant_lib_1_1_affine_model.html" shape="rect" coords="159,156,263,180" alt="">
<area href="class_quant_lib_1_1_term_structure_consistent_model.html" shape="rect" coords="211,231,440,255" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_g2-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Two-additive-factor gaussian model class.
<p>
This class implements a two-additive-factor model defined by <p class="formulaDsp">
<img class="formulaDsp" alt="\[ dr_t = \varphi(t) + x_t + y_t \]" src="form_228.png">
<p>
where <img class="formulaInl" alt="$ x_t $" src="form_205.png"> and <img class="formulaInl" alt="$ y_t $" src="form_207.png"> are defined by <p class="formulaDsp">
<img class="formulaDsp" alt="\[ dx_t = -a x_t dt + \sigma dW^1_t, x_0 = 0 \]" src="form_229.png">
<p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ dy_t = -b y_t dt + \sigma dW^2_t, y_0 = 0 \]" src="form_230.png">
<p>
and <img class="formulaInl" alt="$ dW^1_t dW^2_t = \rho dt $" src="form_231.png">.<p>
<dl compact><dt><b><a class="el" href="bug.html#_bug000010">Bug:</a></b></dt><dd>This class was not tested enough to guarantee its functionality.</dd></dl>
<dl compact><dt><b>Examples: </b></dt><dd>
<p>
<a class="el" href="_bermudan_swaption_8cpp-example.html#_a29">BermudanSwaption.cpp</a>.</dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1b9ab301f7d3d660be61f73e3a384704"></a><!-- doxytag: member="QuantLib::G2::G2" ref="1b9ab301f7d3d660be61f73e3a384704" args="(const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)" -->
</td><td class="memItemRight" valign="bottom"><b>G2</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8a6559a2ca29a95f75d995892b78cbca"></a><!-- doxytag: member="QuantLib::G2::dynamics" ref="8a6559a2ca29a95f75d995892b78cbca" args="() const" -->
boost::shared_ptr< ShortRateDynamics > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2.html#8a6559a2ca29a95f75d995892b78cbca">dynamics</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Returns the short-rate dynamics. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28b8fe8e1849a874ebb63691d20b72df"></a><!-- doxytag: member="QuantLib::G2::discountBond" ref="28b8fe8e1849a874ebb63691d20b72df" args="(Time now, Time maturity, Array factors) const" -->
virtual Real </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (Time now, Time maturity, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> factors) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06506926da671ec4e771ce7d8614c9d0"></a><!-- doxytag: member="QuantLib::G2::discountBond" ref="06506926da671ec4e771ce7d8614c9d0" args="(Time, Time, Rate, Rate) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (Time, Time, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a>, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a>) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0b47448ed1ba48ac5138854aed3f1d49"></a><!-- doxytag: member="QuantLib::G2::discountBondOption" ref="0b47448ed1ba48ac5138854aed3f1d49" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
Real </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, Real strike, Time maturity, Time bondMaturity) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="33e66f85ed1b0b4a86c77c8f706b0be8"></a><!-- doxytag: member="QuantLib::G2::swaption" ref="33e66f85ed1b0b4a86c77c8f706b0be8" args="(const Swaption::arguments &arguments, Real range, Size intervals) const " -->
Real </td><td class="memItemRight" valign="bottom"><b>swaption</b> (const <a class="el" href="class_quant_lib_1_1_swaption_1_1arguments.html">Swaption::arguments</a> &arguments, Real range, Size intervals) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="69a7c0281cc05c0c70142afd62e7b0f1"></a><!-- doxytag: member="QuantLib::G2::discount" ref="69a7c0281cc05c0c70142afd62e7b0f1" args="(Time t) const" -->
<a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2.html#69a7c0281cc05c0c70142afd62e7b0f1">discount</a> (Time t) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied discount curve. <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a><!-- doxytag: member="QuantLib::G2::generateArguments" ref="4d8a7e8e132cf1dd8d1d9eac02f2bfae" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cc348b40097f738841cc2b04eccb9ee3"></a><!-- doxytag: member="QuantLib::G2::A" ref="cc348b40097f738841cc2b04eccb9ee3" args="(Time t, Time T) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>A</b> (Time t, Time T) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fc6fe76cfb2f36d2a9d4dc47cb280d9b"></a><!-- doxytag: member="QuantLib::G2::B" ref="fc6fe76cfb2f36d2a9d4dc47cb280d9b" args="(Real x, Time t) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>B</b> (Real x, Time t) const</td></tr>
<tr><td colspan="2"><br><h2>Friends</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1003a7fa35165c1ed94e5eeb68807e4f"></a><!-- doxytag: member="QuantLib::G2::SwaptionPricingFunction" ref="1003a7fa35165c1ed94e5eeb68807e4f" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>SwaptionPricingFunction</b></td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_1_1_fitting_parameter.html">FittingParameter</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytical term-structure fitting parameter <img class="formulaInl" alt="$ \varphi(t) $" src="form_204.png">. <a href="class_quant_lib_1_1_g2_1_1_fitting_parameter.html#_details">More...</a><br></td></tr>
</table>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
