HullWhite::FittingParameter Class Reference
#include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp>
Inheritance diagram for HullWhite::FittingParameter:

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