G2 Model


G2 Model is a direct subtype of Model[Short Rate]
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with functions G2 Model Functions, keys G2 Model keys and example object G2mdl

TYPE INCLUSION RELATIONSHIPS

Model Short Rate

G2 Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Eta

Rho

Sigma

a

b

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TYPICAL OBJECTS OF TYPE G2 Model

G2mdl

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This type represents a short rate that follows an affine two-factor stochastic process r given by the formula:
r = φ(t) + x(t) + y(t)
where φ(t) is a determinitic process, whereas x(t) and y(t) are stochastic processes given by the following SDEs:
dx = -axdt + σdw1
dy = -bydt + ηdw2
with x(0) = y(0) = 0 and a, b, σ, η constants.
w1, w2 are wiener processes correlated with ρ, i.e. dw1 dw2 = ρdt