org.jquantlib.model.shortrate.twofactormodels

Class G2

java.lang.Object

org.jquantlib.model.CalibratedModel

org.jquantlib.model.shortrate.ShortRateModel

org.jquantlib.model.shortrate.twofactormodels.TwoFactorModel

org.jquantlib.model.shortrate.twofactormodels.G2

All Implemented Interfaces:

AffineModel, TermStructureConsistentModel, Observable, Observer

public class G2
extends TwoFactorModel
implements AffineModel, TermStructureConsistentModel

Two-additive-factor gaussian model class.

This class implements a two-additive-factor model defined by where and are defined by and

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.model.shortrate.twofactormodels.TwoFactorModel

TwoFactorModel.ShortRateDynamics, TwoFactorModel.ShortRateTree

Constructor Summary

Constructors

Constructor and Description
G2(Handle<YieldTermStructure> termStructure)
G2(Handle<YieldTermStructure> termStructure, double a)
G2(Handle<YieldTermStructure> termStructure, double a, double sigma)
G2(Handle<YieldTermStructure> termStructure, double a, double sigma, double b)
G2(Handle<YieldTermStructure> termStructure, double a, double sigma, double b, double eta)
G2(Handle<YieldTermStructure> termStructure, double a, double sigma, double b, double eta, double rho)

Method Summary

Modifier and Type	Method and Description
double	discount(double t) Implied discount curve
double	discountBond(double now, double maturity, Array factors)
double	discountBond(double t, double T, double x, double y)
double	discountBondOption(Option.Type type, double strike, double maturity, double bondMaturity)
TwoFactorModel.ShortRateDynamics	dynamics()
void	generateArguments()
double	swaption(java.lang.Object object, double range, int intervals)
Handle<YieldTermStructure>	termStructure()

Methods inherited from class org.jquantlib.model.shortrate.twofactormodels.TwoFactorModel

tree

Methods inherited from class org.jquantlib.model.CalibratedModel

addObserver, calibrate, constraint, countObservers, deleteObserver, deleteObservers, endCriteria, getObservers, notifyObservers, notifyObservers, params, setParams, update, value

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Constructor Detail

G2

public G2(Handle<YieldTermStructure> termStructure)

G2

public G2(Handle<YieldTermStructure> termStructure,
          double a)

G2

public G2(Handle<YieldTermStructure> termStructure,
          double a,
          double sigma)

G2

public G2(Handle<YieldTermStructure> termStructure,
          double a,
          double sigma,
          double b)

G2

public G2(Handle<YieldTermStructure> termStructure,
          double a,
          double sigma,
          double b,
          double eta)

G2

public G2(Handle<YieldTermStructure> termStructure,
          double a,
          double sigma,
          double b,
          double eta,
          double rho)

Method Detail

discountBond

public double discountBond(double t,
                           double T,
                           double x,
                           double y)

discountBondOption

public double discountBondOption(Option.Type type,
                                 double strike,
                                 double maturity,
                                 double bondMaturity)

Specified by:

discountBondOption in interface AffineModel

dynamics

public TwoFactorModel.ShortRateDynamics dynamics()

Specified by:

dynamics in class TwoFactorModel

swaption

public double swaption(java.lang.Object object,
                       double range,
                       int intervals)

discount

public double discount(double t)

Description copied from interface: AffineModel

Implied discount curve

Specified by:

discount in interface AffineModel

generateArguments

public void generateArguments()

termStructure

public Handle<YieldTermStructure> termStructure()

Specified by:

termStructure in interface TermStructureConsistentModel

discountBond

public double discountBond(double now,
                           double maturity,
                           Array factors)

Specified by:

discountBond in interface AffineModel