FittingParameter (3) - Linux Manuals

FittingParameter: Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp>

NAME

QuantLib::ExtendedCoxIngersollRoss::FittingParameter - Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp>

Inherits QuantLib::TermStructureFittingParameter.

Public Member Functions

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

Detailed Description

Analytical term-structure fitting parameter $ lytically defined by [ c{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 = qrt{k^2 + 2igma^2} $.

Author

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