QuantLib_HullWhite_FittingParameter man page
HullWhite::FittingParameter — Analytical term-structure fitting parameter $ varphi(t) $.
Synopsis
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Inherits TermStructureFittingParameter.
Public Member Functions
FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma)
Additional Inherited Members
Detailed Description
Analytical term-structure fitting parameter $ varphi(t) $.
$ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}[ac{sigma(1-e^{-at})}{a}]^2, ] where $ f(t) $ is the instantaneous forward rate at $ t $.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Info
Wed Feb 7 2018 Version 1.10.1 QuantLib