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<div class="title">G2::FittingParameter Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::G2::FittingParameter" --><!-- doxytag: inherits="QuantLib::TermStructureFittingParameter" -->
<p>Analytical term-structure fitting parameter <img class="formulaInl" alt="$ \varphi(t) $" src="form_294.png"/>.
<a href="class_quant_lib_1_1_g2_1_1_fitting_parameter.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/twofactormodels/g2.hpp></code></p>
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Inheritance diagram for G2::FittingParameter:</div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_term_structure_fitting_parameter.html" title="Deterministic time-dependent parameter used for yield-curve fitting." alt="" coords="5,6,203,37"/></map>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a879c8351d2feb055d671090550ab2a9f"></a><!-- doxytag: member="QuantLib::G2::FittingParameter::FittingParameter" ref="a879c8351d2feb055d671090550ab2a9f" args="(const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho)" -->
 </td><td class="memItemRight" valign="bottom"><b>FittingParameter</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> eta, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> rho)</td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Analytical term-structure fitting parameter <img class="formulaInl" alt="$ \varphi(t) $" src="form_294.png"/>. </p>
<p><img class="formulaInl" alt="$ \varphi(t) $" src="form_294.png"/> is analytically defined by </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ \varphi(t) = f(t) + \frac{1}{2}(\frac{\sigma(1-e^{-at})}{a})^2 + \frac{1}{2}(\frac{\eta(1-e^{-bt})}{b})^2 + \rho\frac{\sigma(1-e^{-at})}{a}\frac{\eta(1-e^{-bt})}{b}, \]" src="form_319.png"/>
</p>
<p> where <img class="formulaInl" alt="$ f(t) $" src="form_302.png"/> is the instantaneous forward rate at <img class="formulaInl" alt="$ t $" src="form_147.png"/>. </p>
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