G2 Class Reference

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 override
	Returns the short-rate dynamics.
Real	discountBond (Time now, Time maturity, Array factors) const override
Real	discountBond (Time, Time, Rate, Rate) const
Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override
Real	swaption (const Swaption::arguments &arguments, Rate fixedRate, Real range, Size intervals) const
DiscountFactor	discount (Time t) const override
	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 override
	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 () override
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)
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result.
const Array &	problemValues () const
	Returns the problem values.
Array	params () const
	Returns array of arguments on which calibration is done.
virtual void	setParams (const Array &params)
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 &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
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 (Handle< YieldTermStructure > termStructure)
const Handle< YieldTermStructure > &	termStructure () const

Protected Member Functions
void	generateArguments () override
Real	A (Time t, Time T) const
Real	B (Real x, Time t) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Detailed Description

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 \( dW^1_t dW^2_t = \rho dt \).

Bug

This class was not tested enough to guarantee its functionality.

Member Function Documentation

dynamics()

ext::shared_ptr< ShortRateDynamics > dynamics ( ) const

overridevirtual

Returns the short-rate dynamics.

Implements TwoFactorModel.

discountBond()

Real discountBond ( Time now, Time maturity, Array factors ) const

overridevirtual

Implements AffineModel.

discountBondOption()

Real discountBondOption ( Option::Type type, Real strike, Time maturity, Time bondMaturity ) const

overridevirtual

Implements AffineModel.

discount()

DiscountFactor discount ( Time t ) const

overridevirtual

Implied discount curve.

Implements AffineModel.

generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.