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g2.hpp
Langue: en
Version: 157163 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/models/shortrate/twofactormodels/g2.hpp - Two-factor additive Gaussian Model G2++.SYNOPSIS
#include <ql/models/shortrate/twofactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <ql/instruments/swaption.hpp>
Classes
class G2
Two-additive-factor gaussian model class.
class G2::FittingParameter
Analytical term-structure fitting parameter $ iled Description"
Detailed Description
Two-factor additive Gaussian Model G2++.
Author
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