#include <ql/models/shortrate/twofactormodels/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< StochasticProcess > | process () const |
| Joint process of the two variables. More... | |
Private Attributes | |
| Parameter | fitting_ |
Detailed Description
Constructor & Destructor Documentation
◆ Dynamics()
Member Function Documentation
◆ shortRate()
Implements TwoFactorModel::ShortRateDynamics.