HullWhite::FittingParameter Class Reference
Analytical term-structure fitting parameter
.
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#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Inheritance diagram for HullWhite::FittingParameter:

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