G2
Subtype of Pricing MethodCorresponds to the QuantLib G2Swaption Engine powered with a G2 Model two-factor short rate model.
SDE: r = φ(t) + x(t) + y(t)
where dx = -axdt + σdw1
and dy = -bydt + ηdw2
Semi-analytic implementation.
Corresponds to the QuantLib G2Swaption Engine powered with a G2 Model two-factor short rate model.
SDE: r = φ(t) + x(t) + y(t)
where dx = -axdt + σdw1
and dy = -bydt + ηdw2
Semi-analytic implementation.