Analytical term-structure fitting parameter $ \varphi(t) $.
$ \varphi(t) $ is analytically defined by
$$
\varphi(t) = f(t) +
\frac{1}{2}(\frac{\sigma(1-e^{-at})}{a})^2 +
\frac{1}{2}(\frac{\eta(1-e^{-bt})}{b})^2 +
\rho\frac{\sigma(1-e^{-at})}{a}\frac{\eta(1-e^{-bt})}{b},
$$
where $ f(t) $ is the instantaneous forward rate at $ t $.
Analytical term-structure fitting parameter $ \varphi(t) $. $ \varphi(t) $ is analytically defined by $$ \varphi(t) = f(t) + \frac{1}{2}(\frac{\sigma(1-e^{-at})}{a})^2 + \frac{1}{2}(\frac{\eta(1-e^{-bt})}{b})^2 + \rho\frac{\sigma(1-e^{-at})}{a}\frac{\eta(1-e^{-bt})}{b}, $$ where $ f(t) $ is the instantaneous forward rate at $ t $.