QuantLib_ExtendedCoxIngersollRoss_FittingParameter

Langue: en

Autres versions - même langue

Version: 157170 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::ExtendedCoxIngersollRoss::FittingParameter - Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp>

Inherits QuantLib::TermStructureFittingParameter.

Public Member Functions


FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0)

Detailed Description

Analytical term-structure fitting parameter $ lytically defined by \ where $ f(t) $ is the instantaneous forward rate at $ t $ and $ h = qrt{k^2 + 2igma^2} $.

Author

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