Analytical term-structure fitting parameter \( \varphi(t) \). More...
#include <g2.hpp>
Inheritance diagram for G2::FittingParameter:
Collaboration diagram for G2::FittingParameter:
Classes | |
| class | Impl |
Public Member Functions | |
| FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho) | |
| 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 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 | |
| Protected Member Functions inherited from Parameter | |
| Parameter (Size size, ext::shared_ptr< Impl > impl, Constraint constraint) | |
| Protected Attributes inherited from Parameter | |
| ext::shared_ptr< Impl > | impl_ |
| Array | params_ |
| Constraint | constraint_ |
Detailed Description
Analytical term-structure fitting parameter \( \varphi(t) \).
\( \varphi(t) \) is analytically defined by
\[ \varphi(t) = f(t) + \frac{1}{2}(\frac{\sigma(1-e^{-at})}{a})^2 + \frac{1}{2}(\frac{\eta(1-e^{-bt})}{b})^2 + \rho\frac{\sigma(1-e^{-at})}{a}\frac{\eta(1-e^{-bt})}{b}, \]
where \( f(t) \) is the instantaneous forward rate at \( t \).
Constructor & Destructor Documentation
◆ FittingParameter()
| FittingParameter | ( | const Handle< YieldTermStructure > & | termStructure, |
| Real | a, | ||
| Real | sigma, | ||
| Real | b, | ||
| Real | eta, | ||
| Real | rho | ||
| ) |