ExtendedCoxIngersollRoss::FittingParameter Class Reference
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter:

Detailed Description
Analytical term-structure fitting parameter
is analytically defined by
where is the instantaneous forward rate at
and
.
Public Member Functions | |
FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) |