Re: G2::FittingParameter

Posted by on
URL: http://quantlib.414.s1.nabble.com/Re-G2-FittingParameter-tp4460p4462.html

Lars, the fnction G2::dynamics() is actually used when pricing using trees. It is the reimplementation of the pure virtual function

virtual boost::shared_ptr<ShortRateDynamics> dynamics() const = 0;

defined in the file twofactormodel.hpp.
It is called in the function

boost::shared_ptr<NumericalMethod>
TwoFactorModel::tree(const TimeGrid& grid) const {
    boost::shared_ptr<ShortRateDynamics> dyn = dynamics();
    ...
}

in two factormodel.cpp.

Bye,
marco




---------- Initial Header -----------