Two-factor additive Gaussian Model G2++. More...
#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. More... | |
| class | G2::FittingParameter |
Analytical term-structure fitting parameter . More... | |
Two-factor additive Gaussian Model G2++.