QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
ExtendedCoxIngersollRoss::FittingParameter Class Reference

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 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

\[ \varphi(t) = f(t) - \frac{2k\theta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} - \frac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, \]

where \( f(t) \) is the instantaneous forward rate at \( t \) and \( h = \sqrt{k^2 + 2\sigma^2} \).