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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