QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Analytical term-structure fitting parameter \( \varphi(t) \). More...
#include <extendedcoxingersollross.hpp>
Classes | |
class | Impl |
Public Member Functions | |
FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) | |
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_ |
Analytical term-structure fitting parameter \( \varphi(t) \).
\( \varphi(t) \) is analytically defined by
\[ \varphi(t) = f(t) - \frac{2k\theta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} - \frac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, \]
where \( f(t) \) is the instantaneous forward rate at \( t \) and \( h = \sqrt{k^2 + 2\sigma^2} \).
Definition at line 113 of file extendedcoxingersollross.hpp.
FittingParameter | ( | const Handle< YieldTermStructure > & | termStructure, |
Real | theta, | ||
Real | k, | ||
Real | sigma, | ||
Real | x0 | ||
) |
Definition at line 139 of file extendedcoxingersollross.hpp.