HullWhite::FittingParameter Class Reference

#include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp>

Inheritance diagram for HullWhite::FittingParameter:

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Detailed Description

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

$ \varphi(t) $ is analytically defined by

\[ \varphi(t) = f(t) + \frac{1}{2}[\frac{\sigma(1-e^{-at})}{a}]^2, \]

where $ f(t) $ is the instantaneous forward rate at $ t $.


Public Member Functions

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


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