QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
G2::FittingParameter Class Reference

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

#include <ql/models/shortrate/twofactormodels/g2.hpp>

+ Inheritance diagram for G2::FittingParameter:

Public Member Functions

 FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho)
 
- 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 Arrayparams () const
 
void setParam (Size i, Real x)
 
bool testParams (const Array &params) const
 
Size size () const
 
Real operator() (Time t) const
 
const boost::shared_ptr< Impl > & implementation () const
 
const Constraintconstraint () 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< Implimpl_
 
Array params_
 
Constraint constraint_
 

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 \( t \).