Analytical term-structure fitting parameter \( \varphi(t) \). More...
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Public Member Functions | |
FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma) | |
![]() | |
TermStructureFittingParameter (const boost::shared_ptr< Parameter::Impl > &impl) | |
TermStructureFittingParameter (const Handle< YieldTermStructure > &term) | |
![]() | |
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 boost::shared_ptr< Impl > & | implementation () const |
const Constraint & | constraint () const |
Additional Inherited Members | |
![]() | |
Parameter (Size size, const boost::shared_ptr< Impl > &impl, const Constraint &constraint) | |
![]() | |
boost::shared_ptr< Impl > | impl_ |
Array | params_ |
Constraint | constraint_ |
Analytical term-structure fitting parameter \( \varphi(t) \).
\( \varphi(t) \) is analytically defined by
\[ \varphi(t) = f(t) + \frac{1}{2}[\frac{\sigma(1-e^{-at})}{a}]^2, \]
where \( f(t) \) is the instantaneous forward rate at \( t \).