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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_g2.html">G2</a> </li>
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<div class="title">G2 Class Reference<div class="ingroups"><a class="el" href="group__shortrate.html">Short-rate modelling framework</a></div></div> </div>
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<!-- doxytag: class="QuantLib::G2" --><!-- doxytag: inherits="QuantLib::TwoFactorModel,QuantLib::AffineModel,QuantLib::TermStructureConsistentModel" -->
<p>Two-additive-factor gaussian model class.
<a href="class_quant_lib_1_1_g2.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/twofactormodels/g2.hpp></code></p>
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Inheritance diagram for G2:</div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_two_factor_model.html" title="Abstract base-class for two-factor models." alt="" coords="5,6,123,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_affine_model.html" title="Affine model class." alt="" coords="147,6,235,37"/><area shape="rect" id="node6" href="class_quant_lib_1_1_term_structure_consistent_model.html" title="Term-structure consistent model class." alt="" coords="259,6,459,37"/></map>
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<p><a href="class_quant_lib_1_1_g2-members.html">List of all members.</a></p>
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Classes</h2></td></tr>
<tr><td class="memItemLeft" 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_294.png"/>. <a href="class_quant_lib_1_1_g2_1_1_fitting_parameter.html#details">More...</a><br/></td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1b9ab301f7d3d660be61f73e3a384704"></a><!-- doxytag: member="QuantLib::G2::G2" ref="a1b9ab301f7d3d660be61f73e3a384704" 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, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a=0.1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma=0.01, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b=0.1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> eta=0.01, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> rho=-0.75)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a89786edacdadb5904c317fd4ed5cb3bd"></a><!-- doxytag: member="QuantLib::G2::dynamics" ref="a89786edacdadb5904c317fd4ed5cb3bd" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_two_factor_model_1_1_short_rate_dynamics.html">ShortRateDynamics</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2.html#a89786edacdadb5904c317fd4ed5cb3bd">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" align="right" valign="top"><a class="anchor" id="a6e6da6d0ea51cae74b4ec8903bf09f18"></a><!-- doxytag: member="QuantLib::G2::discountBond" ref="a6e6da6d0ea51cae74b4ec8903bf09f18" args="(Time now, Time maturity, Array factors) const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> factors) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a892bc207d2b8c0119a2ac775a2909e81"></a><!-- doxytag: member="QuantLib::G2::discountBond" ref="a892bc207d2b8c0119a2ac775a2909e81" args="(Time, Time, Rate, Rate) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a>) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0b47448ed1ba48ac5138854aed3f1d49"></a><!-- doxytag: member="QuantLib::G2::discountBondOption" ref="a0b47448ed1ba48ac5138854aed3f1d49" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> bondMaturity) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a753509dd7d4a657ab5fe37de3a12d063"></a><!-- doxytag: member="QuantLib::G2::swaption" ref="a753509dd7d4a657ab5fe37de3a12d063" args="(const Swaption::arguments &arguments, Rate fixedRate, Real range, Size intervals) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </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, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> fixedRate, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> range, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> intervals) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae85d814b067b54d8e1ea803a90a6db32"></a><!-- doxytag: member="QuantLib::G2::discount" ref="ae85d814b067b54d8e1ea803a90a6db32" args="(Time t) const " -->
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2.html#ae85d814b067b54d8e1ea803a90a6db32">discount</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied discount curve. <br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a><!-- doxytag: member="QuantLib::G2::generateArguments" ref="a4d8a7e8e132cf1dd8d1d9eac02f2bfae" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a01dd11c13189fcd655784ccec798c410"></a><!-- doxytag: member="QuantLib::G2::A" ref="a01dd11c13189fcd655784ccec798c410" args="(Time t, Time T) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>A</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aee8a4bf8e1d1b7f34a5b37a9425c7817"></a><!-- doxytag: member="QuantLib::G2::B" ref="aee8a4bf8e1d1b7f34a5b37a9425c7817" args="(Real x, Time t) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>B</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td colspan="2"><h2><a name="friends"></a>
Friends</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1003a7fa35165c1ed94e5eeb68807e4f"></a><!-- doxytag: member="QuantLib::G2::SwaptionPricingFunction" ref="a1003a7fa35165c1ed94e5eeb68807e4f" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>SwaptionPricingFunction</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Two-additive-factor gaussian model class. </p>
<p>This class implements a two-additive-factor model defined by </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ dr_t = \varphi(t) + x_t + y_t \]" src="form_315.png"/>
</p>
<p> where <img class="formulaInl" alt="$ x_t $" src="form_295.png"/> and <img class="formulaInl" alt="$ y_t $" src="form_297.png"/> are defined by </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ dx_t = -a x_t dt + \sigma dW^1_t, x_0 = 0 \]" src="form_316.png"/>
</p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ dy_t = -b y_t dt + \sigma dW^2_t, y_0 = 0 \]" src="form_317.png"/>
</p>
<p> and <img class="formulaInl" alt="$ dW^1_t dW^2_t = \rho dt $" src="form_318.png"/>.</p>
<dl class="bug"><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><dt><b>Examples: </b></dt><dd><a class="el" href="_bermudan_swaption_8cpp-example.html#_a31">BermudanSwaption.cpp</a>.</dd>
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