- QuantLib
- G2
- FittingParameter
Analytical term-structure fitting parameter .
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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
where is the instantaneous forward rate at
.