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Price European swaption using Linear Gaussian two-factor model

The following defines the swaption price for a two-factor additive Gaussian interest-rate
model, given the `ZeroCurve`

, `a`

, `b`

,
`sigma`

, `eta`

, and `rho`

parameters:

$$r(t)=x(t)+y(t)+\varphi (t)$$

$$dx(t)=-ax(t)dt+\sigma d{W}_{1}(t),\text{}x(0)=0$$

$$dy(t)=-by(t)dt+\eta d{W}_{2}(t),\text{}y(0)=0$$

where $$d{W}_{1}(t)d{W}_{2}(t)=\rho dt$$ is a two-dimensional Brownian motion with correlation *ρ*
and *ϕ* is a function chosen to match the initial zero curve.

[1] Brigo, D. and F. Mercurio. *Interest Rate Models - Theory and
Practice.* Springer Finance, 2006.