g2.hpp File Reference

Two-factor additive Gaussian Model G2++. More...

Include dependency graph for g2.hpp:

Classes

class  G2
 Two-additive-factor gaussian model class. More...
 
class  G2::FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...
 

Namespaces

 QuantLib
 

Detailed Description

Two-factor additive Gaussian Model G2++.