- QuantLib
- ExtendedCoxIngersollRoss
- FittingParameter
Analytical term-structure fitting parameter
.
More...
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>

Public Member Functions | |
| FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) | |
Analytical term-structure fitting parameter
.
is analytically defined by
where
is the instantaneous forward rate at
and
.