Analytical term-structure fitting parameter \( \varphi(t) \). More...
#include <ql/models/shortrate/twofactormodels/g2.hpp>
Public Member Functions | |
FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho) | |
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TermStructureFittingParameter (const ext::shared_ptr< Parameter::Impl > &impl) | |
TermStructureFittingParameter (const Handle< YieldTermStructure > &term) | |
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const Array & | params () const |
void | setParam (Size i, Real x) |
bool | testParams (const Array ¶ms) const |
Size | size () const |
Real | operator() (Time t) const |
const ext::shared_ptr< Impl > & | implementation () const |
const Constraint & | constraint () const |
Additional Inherited Members | |
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Parameter (Size size, const ext::shared_ptr< Impl > &impl, const Constraint &constraint) | |
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ext::shared_ptr< Impl > | impl_ |
Array | params_ |
Constraint | constraint_ |
Analytical term-structure fitting parameter \( \varphi(t) \).
\( \varphi(t) \) is analytically defined by
\[ \varphi(t) = f(t) + \frac{1}{2}(\frac{\sigma(1-e^{-at})}{a})^2 + \frac{1}{2}(\frac{\eta(1-e^{-bt})}{b})^2 + \rho\frac{\sigma(1-e^{-at})}{a}\frac{\eta(1-e^{-bt})}{b}, \]
where \( f(t) \) is the instantaneous forward rate at \( t \).