This class implements a two-additive-factor model defined by
$$
dr_t = \varphi(t) + x_t + y_t
$$
where $ x_t $ and $ y_t $ are defined by
$$
dx_t = -a x_t dt + \sigma dW^1_t, x_0 = 0
$$
$$
dy_t = -b y_t dt + \sigma dW^2_t, y_0 = 0
$$
and $ dW^1_t dW^2_t = \rho dt $.
bug This class was not tested enough to guarantee
its functionality.
Two-additive-factor gaussian model class.
This class implements a two-additive-factor model defined by $$ dr_t = \varphi(t) + x_t + y_t $$ where $ x_t $ and $ y_t $ are defined by $$ dx_t = -a x_t dt + \sigma dW^1_t, x_0 = 0 $$ $$ dy_t = -b y_t dt + \sigma dW^2_t, y_0 = 0 $$ and $ dW^1_t dW^2_t = \rho dt $.
bug This class was not tested enough to guarantee its functionality.