template class xf::fintech::G2Model <DT, void, 0>¶

#include "g2_model.hpp"

Overview¶

Two-additive-factor gaussian model.

Parameters:

DT	data type supported include float and double

template <typename DT>
class G2Model <DT, void, 0>

G2Model ()

constructor

void initialization (
    DT r,
    DT a,
    DT sigma,
    DT b,
    DT eta,
    DT rho
    )

initialize parameter

Parameters:

r	floating benchmark annual interest rate
a	initial volatility of stock.
sigma	the volatility of volatility.
b	initial volatility of stock.
eta	the volatility of volatility.
rho	the correlation coefficient between price and variance.

DT discountBond (
    DT t,
    DT T,
    DT* x
    )

calculate the discount after time dt

Parameters:

Returns:

discount bond

DT shortRate (
    DT t,
    DT* x,
    DT r
    )

calculate the short-rate

Parameters:

Returns:

short-rate