Class TwoFactorModel

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The abstract two-factor short-rate model class: its short rate a function of two state variables.

public abstract class TwoFactorModel : ShortRateModel, ICalibratedModel

Inheritance

object

CalibratedModel

ShortRateModel

TwoFactorModel

Implements

ICalibratedModel

Derived

G2

Inherited Members

CalibratedModel.Params()

CalibratedModel.WithParams(Vector)

CalibratedModel.ParametersConstraint()

CalibratedModel.GenerateArguments()

CalibratedModel.SetArgument(int, Parameter)

CalibratedModel.Arguments

CalibratedModel.Constraint

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

CalibratedModelExtensions.Value(ICalibratedModel, Vector, IEnumerable<CalibrationHelper>, EvaluationContext)

CalibratedModelExtensions.Calibrate<TModel>(TModel, IEnumerable<CalibrationHelper>, OptimizationMethod, EndCriteria, EvaluationContext, Constraint?, ReadOnlySpan<double>, ReadOnlySpan<bool>)

CalibratedModelExtensions.SetParams<TModel>(TModel, Vector)

Remarks

An extension point, as in QuantLib: G2 derives from it.

Constructors

TwoFactorModel(int)

Initializes a new instance of the TwoFactorModel class.

protected TwoFactorModel(int nArguments)

Parameters

nArguments int

The number of arguments.

Exceptions

ArgumentOutOfRangeException

nArguments is negative.

Methods

Dynamics()

The model's short-rate dynamics.

public abstract TwoFactorModelShortRateDynamics Dynamics()

Returns

TwoFactorModelShortRateDynamics

A new dynamics object.

Tree(TimeGrid)

Builds a two-dimensional trinomial tree of the two state variables on a time grid.

public override Lattice Tree(TimeGrid grid)

Parameters

grid TimeGrid

The time grid.

Returns

Lattice

The tree, a TwoFactorModelShortRateTree.

Exceptions

ArgumentNullException

grid is null.