ExtendedCoxIngersollRoss::FittingParameter Class Reference
Analytical term-structure fitting parameter .
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#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter:

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