QuantLib_G2_FittingParameter (3) Linux Manual Page

QuantLib::G2::FittingParameter – Analytical term-structure fitting parameter $ te/twofactormodels/g2.hpp>

Inherits QuantLib::TermStructureFittingParameter.

Public Member Functions

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

Detailed Description

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

Author

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