QuantLib_G2_FittingParameter

Langue: en

Autres versions - même langue

Version: 173022 (fedora - 06/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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

Author

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