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 Array &	params () 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

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_

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 $h = \sqrt{k^2 + 2\sigma^2}$ .