G2::FittingParameter Class Reference
#include <ql/models/shortrate/twofactormodels/g2.hpp>
Inheritance diagram for G2::FittingParameter:
Detailed Description
Analytical term-structure fitting parameter
.
is analytically defined by
![\[ \varphi(t) = f(t) + \frac{1}{2}(\frac{\sigma(1-e^{-at})}{a})^2 + \frac{1}{2}(\frac{\eta(1-e^{-bt})}{b})^2 + \rho\frac{\sigma(1-e^{-at})}{a}\frac{\eta(1-e^{-bt})}{b}, \]](form_246.png)
where 
is the instantaneous forward rate at 
.
Public Member Functions | |
| FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho) | |