Creates a two factor additive ShortRate Model object to be used within the interest rate Engines.

Defined as : dr_t = varphi(t) + x_t + y_t, where dx_t = -a*x_t*dt + sigma*dW^1_t, x_0 = 0, dy_t = -b*y_t*dt + sigma*dW^2_t, y_0 = 0 and dW^1_t*dW^2_t = rho*dt. This function can be calibrated by executing one of the calibration functions (functions with a naming convention of Calibrate*() ) within the CapeTools IR Calibration or CapeTools LMM Calibration category of functions.

Not all calibration functions can be used with each model.

The calibration parameters will be returned within an array in which you can you construct a new G2TwoFactorModel from.

You can create Pricing Engines from this G2TwoFactorModel model by executing one of the following functions : G2SwaptionEngine(), TreeSwaptionEngine(), AnalyticCapFloorEngine() or TreeCapFloorEngine(). In these latter functions, the string 'key' returned from this G2TwoFactorModel function acts as input to these Engine functions.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "G2MOD"

String CTModels.G2TwoFactorModel( _
String Key, _
Long Reload, _
Double alpha, _
Double sigma, _
Double beta, _
Double eta, _
Double rho, _
String YCKey)

=CT.MOD.G2TwoFactorModel(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel Numeric Cell alpha,
Excel Numeric Cell sigma,
Excel Numeric Cell beta,
Excel Numeric Cell eta,
Excel Numeric Cell rho,
Excel String Cell YCKey)

static std::string G2TwoFactorModel(
std::string Key,
long Reload,
double alpha,
double sigma,
double beta,
double eta,
double rho,
std::string YCKey);

System.String CTModelsSA.G2TwoFactorModel(
System.String Key,
System.Int32 Reload,
System.Double alpha,
System.Double sigma,
System.Double beta,
System.Double eta,
System.Double rho,
System.String YCKey);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.