- QuantLib
- ExtendedCoxIngersollRoss
- FittingParameter
 
Analytical term-structure fitting parameter  .  
 More...
.  
 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
 is analytically defined by 
![\[ \varphi(t) = f(t) - \frac{2k\theta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} - \frac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, \]](form_301.png) 
 where  is the instantaneous forward rate at
 is the instantaneous forward rate at  and
 and  .
.