QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
g2.hpp File Reference

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>

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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
 

Detailed Description

Two-factor additive Gaussian Model G2++.

Definition in file g2.hpp.