ExtendedCoxIngersollRoss::FittingParameter Class Reference

#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>

Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter:

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Detailed Description

Analytical term-structure fitting parameter $ \varphi(t) $.

$ \varphi(t) $ is analytically defined by

\[ \varphi(t) = f(t) - \frac{2k\theta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} - \frac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, \]

where $ f(t) $ is the instantaneous forward rate at $ t $ and $ h = \sqrt{k^2 + 2\sigma^2} $.


Public Member Functions

 FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0)