- QuantLib
- G2
- FittingParameter
 
Analytical term-structure fitting parameter  .  
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.  
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#include <ql/models/shortrate/twofactormodels/g2.hpp>

| Public Member Functions | |
| FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho) | |
Analytical term-structure fitting parameter  .
. 
 is analytically defined by
 is analytically defined by 
![\[ \varphi(t) = f(t) + \frac{1}{2}(\frac{\sigma(1-e^{-at})}{a})^2 + \frac{1}{2}(\frac{\eta(1-e^{-bt})}{b})^2 + \rho\frac{\sigma(1-e^{-at})}{a}\frac{\eta(1-e^{-bt})}{b}, \]](form_319.png) 
 where  is the instantaneous forward rate at
 is the instantaneous forward rate at  .
.