QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
G2::Dynamics Class Reference

#include <g2.hpp>

+ Inheritance diagram for G2::Dynamics:
+ Collaboration diagram for G2::Dynamics:

Public Member Functions

 Dynamics (Parameter fitting, Real a, Real sigma, Real b, Real eta, Real rho)
 
Rate shortRate (Time t, Real x, Real y) const override
 
- Public Member Functions inherited from TwoFactorModel::ShortRateDynamics
 ShortRateDynamics (ext::shared_ptr< StochasticProcess1D > xProcess, ext::shared_ptr< StochasticProcess1D > yProcess, Real correlation)
 
virtual ~ShortRateDynamics ()=default
 
virtual Rate shortRate (Time t, Real x, Real y) const =0
 
const ext::shared_ptr< StochasticProcess1D > & xProcess () const
 Risk-neutral dynamics of the first state variable x. More...
 
const ext::shared_ptr< StochasticProcess1D > & yProcess () const
 Risk-neutral dynamics of the second state variable y. More...
 
Real correlation () const
 Correlation \( \rho \) between the two brownian motions. More...
 
ext::shared_ptr< StochasticProcessprocess () const
 Joint process of the two variables. More...
 

Private Attributes

Parameter fitting_
 

Detailed Description

Definition at line 118 of file g2.hpp.

Constructor & Destructor Documentation

◆ Dynamics()

Dynamics ( Parameter  fitting,
Real  a,
Real  sigma,
Real  b,
Real  eta,
Real  rho 
)

Definition at line 120 of file g2.hpp.

Member Function Documentation

◆ shortRate()

Rate shortRate ( Time  t,
Real  x,
Real  y 
) const
overridevirtual

Implements TwoFactorModel::ShortRateDynamics.

Definition at line 126 of file g2.hpp.

Member Data Documentation

◆ fitting_

Parameter fitting_
private

Definition at line 129 of file g2.hpp.