Analytical term-structure fitting parameter \( \varphi(t) \). More...
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter:Public Member Functions | |
| FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) | |
Public Member Functions inherited from TermStructureFittingParameter | |
| TermStructureFittingParameter (const boost::shared_ptr< Parameter::Impl > &impl) | |
| TermStructureFittingParameter (const Handle< YieldTermStructure > &term) | |
Public Member Functions inherited from 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 boost::shared_ptr< Impl > & | implementation () const |
| const Constraint & | constraint () const |
Additional Inherited Members | |
Protected Member Functions inherited from Parameter | |
| Parameter (Size size, const boost::shared_ptr< Impl > &impl, const Constraint &constraint) | |
Protected Attributes inherited from Parameter | |
| boost::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 \( h = \sqrt{k^2 + 2\sigma^2} \).