ExtendedCoxIngersollRoss::FittingParameter Class Reference

#include <extendedcoxingersollross.hpp>

Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter:

[legend]List of all members.

Detailed Description

Analytical term-structure fitting parameter $\varphi(t)$ .

$\varphi(t)$ is analytically defined by

$\varphi(t) = f(t) - \frac{2k\theta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} - \frac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1},$

where $ f(t) $ is the instantaneous forward rate at $ t $ and $h = \sqrt{k^2 + 2\sigma^2}$ .

Public Member Functions

FittingParameter (const RelinkableHandle< TermStructure > &termStructure, double theta, double k, double sigma, double x0)

The documentation for this class was generated from the following file:

ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp

QuantLib 0.3.3

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ExtendedCoxIngersollRoss::FittingParameter Class Reference

Detailed Description

Public Member Functions