Two-additive-factor gaussian model class. More...
#include <ql/models/shortrate/twofactormodels/g2.hpp>
Classes | |
class | FittingParameter |
Analytical term-structure fitting parameter ![]() | |
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. | |
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TwoFactorModel (Size nParams) | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Returns a two-dimensional trinomial tree. | |
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ShortRateModel (Size nArguments) | |
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CalibratedModel (Size nArguments) | |
void | update () |
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 >()) |
Calibrate to a set of market instruments (caps/swaptions) | |
Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
const boost::shared_ptr < Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () |
returns end criteria result | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
virtual void | setParams (const Array ¶ms) |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 | |
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std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Two-additive-factor gaussian model class.
This class implements a two-additive-factor model defined by
where and
are defined by
and .