Class GFunctionFactory

The factory of Hagan's g-functions, one per yield-curve model (GFunctionFactoryYieldCurveModel).

public static class GFunctionFactory

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

The exact-yield model's g-function of a coupon: its swap's fixed leg's accruals.

public static GFunction NewGFunctionExactYield(CmsCoupon coupon, EvaluationContext context)

coupon CmsCoupon: The coupon.
context EvaluationContext: The evaluation context the coupon's swap is built under.

The standard model's g-function.

public static GFunction NewGFunctionStandard(int q, double delta, double swapLength)

q int: The fixed leg's payments a year.
delta double: The payment's distance from the swap's start, in fixed-leg periods.
swapLength double: The swap's length in years, where QuantLib's is a whole number of the tenor's units; the model presumes swapLength·q equal periods.

The g-function of the forwarding curve's shifts for a coupon, shaped by a mean reversion; a parallel shift at a reversion of 0.

public static GFunction NewGFunctionWithShifts(CmsCoupon coupon, double meanReversion, EvaluationContext context)

coupon CmsCoupon: The coupon.
meanReversion double: The mean reversion.
context EvaluationContext: The evaluation context the coupon's swap is built and priced under.

ArgumentNullException: An argument is null.
NanoQLException: The swap index has no forwarding curve, or its swap can't be priced.