Man pages for ArnaudBu/esg2
Esg Based on a G2++ Model

bsBS: constructor
BS-classBlack & Scholes
calibrateRate model calibration
curvezcZero Coupon Curve: constructor
deflatorG2 ++ model: deflator
drawDraw method for VSK
g2G2 ++ model: constructor
G2-classG2 Model
genWGenerate correlated variables
price_swaptionSwaptions prices
projectG2 ++ model: projection
rate2zcpZero Coupon Price
swaptionsSwaptions: constructor
Swaptions-classSwaptions
test_deflatorDeflator test
test_martingalBS: Martingal test
trajBS: get trajectories
trajvVSK: get trajectories
vskVSK: constructor
VSK-classVasicek model
ZCCurve-classZero Coupon Curve
zcp2rateRate computation
zctableG2 ++ model: construction of a zero coupon prices table.
ArnaudBu/esg2 documentation built on June 6, 2018, 7:05 a.m.