QuantLib_ExtendedCoxIngersollRoss_FittingParameter

ExtendedCoxIngersollRoss::FittingParameter — Analytical term-structure fitting parameter $ varphi(t) $.

Synopsis

#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>

Inherits TermStructureFittingParameter.

Public Member Functions

FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0)

Additional Inherited Members

Detailed Description

Analytical term-structure fitting parameter $ varphi(t) $.

$ varphi(t) $ is analytically defined by [ varphi(t) = f(t) - ac{2k heta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} - ac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, ] where $ f(t) $ is the instantaneous forward rate at $ t $ and $ h = sqrt{k^2 + 2sigma^2} $.

Author

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Referenced By

FittingParameter(3) is an alias of QuantLib_ExtendedCoxIngersollRoss_FittingParameter(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib