QuantLib_HullWhite_FittingParameter (3) Linux Manual Page

QuantLib::HullWhite::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/hullwhite.hpp>

Inherits QuantLib::TermStructureFittingParameter.

Public Member Functions

FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma)

Detailed Description

Analytical term-structure fitting parameter $ lytically defined by [ c{1}{2}[ac{igma(1-e^{-at})}{a}]^2, ] where $ f(t) $ is the instantaneous forward rate at $ t $.

Author

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