G2::FittingParameter Class Reference

#include <ql/ShortRateModels/TwoFactorModels/g2.hpp>

Inheritance diagram for G2::FittingParameter:

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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 $.


Public Member Functions

 FittingParameter (const RelinkableHandle< TermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho)


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