quantlib.models.shortrate.twofactormodels.g2.

G2¶

class G2¶

Bases: TwoFactorModel

Two-factor additive gaussian model class.

This class implements a two-additive-factor model defined by

$dr_t = \varphi(t) + x_t + y_t$

where $x_t$ and $y_t$ are defined by

$dx_t = -a x_t dt + \sigma dW^1_t, x_0 = 0\\ dy_t = -b y_t dt + \sigma dW^2_t, y_0 = 0$

and $dW^1_t dW^2_t = \rho dt$ .

Attributes:

Methods

`params`(self)
`set_params`(self, Array params)

Quantlib cython wrapper