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QuantLib_HullWhite_FittingParameter
Langue: en
Version: 168777 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::HullWhite::FittingParameter - Analytical term-structure fitting parameter $ te/onefactormodels/hullwhite.hpp>Inherits QuantLib::TermStructureFittingParameter.
Public Member Functions
FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma)
Detailed Description
Analytical term-structure fitting parameter $ lytically defined by a}^2, ] where $ f(t) $ is the instantaneous forward rate at $ t $.
Author
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