Rechercher une page de manuel
QuantLib_G2_FittingParameter
Langue: en
Version: 384186 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre