template class xf::fintech::G2Model

#include "g2_model.hpp"

Overview

Two-additive-factor gaussian model for Tree Engine.

Parameters:

DT	data type supported include float and double
Tree	class TrinomialTree
LEN2	maximum length of node of tree, which affects the latency and resources utilization.

template <
    typename DT,
    typename Tree,
    int LEN2
    >
class G2Model

Methods

G2Model

G2Model ()

constructor

initialization

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

initialize parameters

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.

discount

DT discount (
    DT t,
    DT dt,
    DT* x,
    DT r = 0.0
    )

calculate the discount after time dt

Parameters:

t	the current timepoint
dt	the difference between the next timepoint and the current timepoint
x	underlying
r	invalid input

Returns:

discount

treeShortRate

void treeShortRate (
    Tree* tree,
    int endCnt,
    DT* time,
    DT* dtime,
    internal::xf_2D_array <DT, 4, LEN2>& tmp_values1,
    internal::xf_2D_array <DT, 4, LEN2>& tmp_values2,
    DT* rates
    )

calcutate short-rate of dt at t for TreeEngine

Parameters:

tree	class TrinomialTree
endCnt	end counter of timepoints
time	array timepoints
dtime	array the difference between the next timepoint and the current timepoint
tmp_values1	process values
tmp_values2	process values
rates	array short-rates