G2::FittingParameter Class Reference
#include <ql/ShortRateModels/TwoFactorModels/g2.hpp>
Inheritance diagram for G2::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, Real b, Real eta, Real rho) | |