QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <g2.hpp>
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_ |
Implements TwoFactorModel::ShortRateDynamics.