HullWhite::FittingParameter Class Reference

#include <hullwhite.hpp>

Inheritance diagram for HullWhite::FittingParameter:

Detailed Description

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

$\varphi(t)$ is analytically defined by

$\varphi(t) = f(t) + \frac{1}{2}[\frac{\sigma(1-e^{-at})}{a}]^2,$

where $ f(t) $ is the instantaneous forward rate at $ t $ .

Public Member Functions

FittingParameter (const RelinkableHandle< TermStructure > &termStructure, double a, double sigma)

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