G2++ model for stochastic rate projection

BS | Diffusion of a related element |

DeflatorG2 | Deflator calculation |

GenW | Generate correlated variables |

LoadCurve | Rate curve |

LoadSwaption | Swaption matrix |

Optim | Optimization process for calibration |

OptimFunction | Optimization function for calibration |

PriceSwaption | Price of a swaption |

PriceSwaptionG2 | Swaption price in G2++ model |

PriceZC | Zero Coupon Price |

PZC | Zero Coupon Price |

PZCG2 | Zero coupon Price calculation |

PZCInv | Zero Coupon Rate |

ShortRate | Diffusion formula for short rate in G2++ model |

VarianceZC | Zero Coupon Price Variance |

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