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fully annotated source code - version 1.34
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Classes | Public Member Functions | List of all members
HullWhite::FittingParameter Class Reference

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

#include <hullwhite.hpp>

+ Inheritance diagram for HullWhite::FittingParameter:
+ Collaboration diagram for HullWhite::FittingParameter:

Classes

class  Impl
 

Public Member Functions

 FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma)
 
- Public Member Functions inherited from TermStructureFittingParameter
 TermStructureFittingParameter (const ext::shared_ptr< Parameter::Impl > &impl)
 
 TermStructureFittingParameter (const Handle< YieldTermStructure > &term)
 
- Public Member Functions inherited from Parameter
 Parameter ()
 
const Arrayparams () const
 
void setParam (Size i, Real x)
 
bool testParams (const Array &params) const
 
Size size () const
 
Real operator() (Time t) const
 
const ext::shared_ptr< Impl > & implementation () const
 
const Constraintconstraint () const
 

Additional Inherited Members

- Protected Member Functions inherited from Parameter
 Parameter (Size size, ext::shared_ptr< Impl > impl, Constraint constraint)
 
- Protected Attributes inherited from Parameter
ext::shared_ptr< Implimpl_
 
Array params_
 
Constraint constraint_
 

Detailed Description

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 \( t \).

Definition at line 131 of file hullwhite.hpp.

Constructor & Destructor Documentation

◆ FittingParameter()

FittingParameter ( const Handle< YieldTermStructure > &  termStructure,
Real  a,
Real  sigma 
)

Definition at line 153 of file hullwhite.hpp.