g2.hpp File Reference

Two-factor additive Gaussian Model G2++. More...

#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/twofactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	G2
	Two-additive-factor gaussian model class. More...
class	G2::Dynamics
class	G2::FittingParameter
	Analytical term-structure fitting parameter \( \varphi(t) \). More...
class	G2::FittingParameter::Impl

Namespaces
namespace	QuantLib

Detailed Description

Two-factor additive Gaussian Model G2++.

Definition in file g2.hpp.