QuantLib_HullWhite_FittingParameter

Langue: en

Autres versions - même langue

Version: 168777 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::HullWhite::FittingParameter - Analytical term-structure fitting parameter $ te/onefactormodels/hullwhite.hpp>

Inherits QuantLib::TermStructureFittingParameter.

Public Member Functions


FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma)

Detailed Description

Analytical term-structure fitting parameter $ lytically defined by a}^2, ] where $ f(t) $ is the instantaneous forward rate at $ t $.

Author

Generated automatically by Doxygen for QuantLib from the source code.