ExtendedCoxIngersollRoss::FittingParameter Class Reference

### A free/open-source library for quantitative finance

Public Member Functions
ExtendedCoxIngersollRoss::FittingParameter Class Reference

Analytical term-structure fitting parameter . More...

`#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>`

Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter:
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## Public Member Functions
| FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0)

## Detailed Description

Analytical term-structure fitting parameter .

is analytically defined by

where is the instantaneous forward rate at and .