g2.hpp

Langue: en

Autres versions - même langue

Version: 376145 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/shortrate/twofactormodels/g2.hpp -

Two-factor additive Gaussian Model G2++.

SYNOPSIS


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

Classes


class G2
Two-additive-factor gaussian model class.
class G2::FittingParameter
Analytical term-structure fitting parameter $ iled Description"

Detailed Description

Two-factor additive Gaussian Model G2++.

Author

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