QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
Two-factor additive Gaussian Model G2++.
Definition in file g2.hpp.