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QuantLib_HullWhite_FittingParameter
Langue: en
Version: 382011 (fedora - 01/12/10)
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 [ c{1}{2}[ac{igma(1-e^{-at})}{a}]^2, ] where $ f(t) $ is the instantaneous forward rate at $ t $.
Author
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