G2-class: G2 Model

In ArnaudBu/esg2: Esg Based on a G2++ Model

Description

An S4 class to represent a G2 ++ model.

Usage

## S4 method for signature 'G2,missing'
plot(x, y)

## S4 method for signature 'G2'
print(x)

## S4 method for signature 'G2'
show(object)

Arguments

x	the G2 object to plot
y	classical plot parameters. Useless here.
object	the G2 object to show

Methods (by generic)

• plot: plot method for G2

• print: print method for G2

• show: show method for G2

Slots

curve

ZCCurve. Zero coupon curve as basis for projection.

a

Numeric. G2++ parameter.

b

Numeric. G2++ parameter.

sigma

Numeric. G2++ parameter.

eta

Numeric. G2++ parameter.

rho

Numeric. G2++ parameter.

horizon

Numeric. Projection horizon.

nsimul

Numeric. Number of simulations.

x

Matrix Projection of the first component.

y

Matrix. Projection of the second component.

r

Matrix. Short rate projection.

Wx

Matrix. Generated normal distribution for x projection.

ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.