add G2 model

Author: thrasibule

quantlib/models/shortrate/_twofactor_model.pxd

@@ -0,0 +1,17 @@
+from quantlib.types cimport DiscountFactor, Rate, Real, Time
+from quantlib.math._array cimport Array
+from quantlib.models._model cimport ShortRateModel, AffineModel
+from quantlib.handle cimport shared_ptr
+from quantlib._stochastic_process cimport StochasticProcess1D
+
+cdef extern from 'ql/models/shortrate/twofactormodel.hpp' namespace 'QuantLib' nogil:
+
+    cdef cppclass TwoFactorModel(ShortRateModel):
+        cppclass ShortRateDynamics:
+            ShortRateDynamics(shared_ptr[StochasticProcess1D]& xProcess,
+                              shared_ptr[StochasticProcess1D]& yProcess,
+                              Real correlation)
+            Rate shortRate(Time t, Real x, Real y)
+            shared_ptr[StochasticProcess1D]& xProcess()
+            shared_ptr[StochasticProcess1D]& yProcess()
+        shared_ptr[ShortRateDynamics] dynamics()

quantlib/models/shortrate/twofactor_model.pxd

@@ -0,0 +1,9 @@
+from quantlib.models.model cimport ShortRateModel
+from quantlib.handle cimport shared_ptr
+from . cimport _twofactor_model as _tfm
+
+cdef class ShortRateDynamics:
+    cdef shared_ptr[_tfm.TwoFactorModel.ShortRateDynamics] _thisptr
+
+cdef class TwoFactorModel(ShortRateModel):
+   pass

quantlib/models/shortrate/twofactor_model.pyx

@@ -0,0 +1,31 @@
+from quantlib.types cimport Real, Time
+
+from quantlib.handle cimport static_pointer_cast
+from . cimport _twofactor_model as _tfm
+cimport quantlib._stochastic_process as _sp
+from quantlib.stochastic_process cimport StochasticProcess1D
+
+cdef class ShortRateDynamics:
+
+    @property
+    def process_x(self):
+        cdef StochasticProcess1D sp = StochasticProcess1D.__new__(StochasticProcess1D)
+        sp._thisptr = static_pointer_cast[_sp.StochasticProcess](self._thisptr.get().xProcess())
+        return sp
+
+    @property
+    def process_x(self):
+        cdef StochasticProcess1D sp = StochasticProcess1D.__new__(StochasticProcess1D)
+        sp._thisptr = static_pointer_cast[_sp.StochasticProcess](self._thisptr.get().yProcess())
+        return sp
+
+    def short_rate(self, Time t, Real x, Real y):
+        return self._thisptr.get().shortRate(t, x, y)
+
+cdef class TwoFactorModel(ShortRateModel):
+
+    @property
+    def dynamics(self):
+        cdef ShortRateDynamics dyn = ShortRateDynamics.__new__(ShortRateDynamics)
+        dyn._thisptr =  (<_tfm.TwoFactorModel*>self._thisptr.get()).dynamics()
+        return dyn

quantlib/models/shortrate/twofactormodels/__init__.py

@@ -0,0 +1,16 @@
+from quantlib.types cimport Rate, Real, Time
+from quantlib.handle cimport Handle
+from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
+from .._twofactor_model cimport TwoFactorModel
+from ..._model cimport TermStructureConsistentModel, AffineModel
+
+cdef extern from 'ql/models/shortrate/twofactormodels/g2.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass G2(TwoFactorModel, AffineModel, TermStructureConsistentModel):
+        G2(
+            Handle[YieldTermStructure]& termStructure,
+            Real a, #0.1
+            Real sigma, # = 0.01
+            Real b, # = 0.1
+            Real eta, # = 0.01
+            Real rho, # = -0.75
+        ) except +

quantlib/models/shortrate/twofactormodels/_g2.pxd

@@ -0,0 +1,4 @@
+from ..twofactor_model cimport TwoFactorModel
+
+cdef class G2(TwoFactorModel):
+    pass

quantlib/models/shortrate/twofactormodels/g2.pxd

@@ -0,0 +1,13 @@
+from quantlib.types cimport Real
+from quantlib.termstructures.yield_term_structure cimport HandleYieldTermStructure
+from . cimport _g2
+
+cdef class G2(TwoFactorModel):
+    def __init(self,
+               HandleYieldTermStructure h,
+               Real a=0.1,
+               Real sigma=0.01,
+               Real b=0.1,
+               Real eta=0.01,
+               Real rho=-0.75):
+        self._thisptr.reset(new _g2.G2(h.handle, a, sigma, b, eta, rho))