Deriscope

The Excel Derivatives Periscope

Products

G2_Model

G2 Model is a Type that 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