ExtendedCoxIngersollRoss::Dynamics Class Reference

#include <ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp>

Inheritance diagram for ExtendedCoxIngersollRoss::Dynamics:

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Detailed Description

Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

The short-rate is here

\[ r_t = \varphi(t) + y_t^2 \]

where $ \varphi(t) $ is the deterministic time-dependent parameter used for term-structure fitting and $ y_t $ is the state variable, the square-root of a standard CIR process.


Public Member Functions

 Dynamics (const Parameter &phi, Real theta, Real k, Real sigma, Real x0)
virtual Real variable (Time t, Rate r) const
virtual Real shortRate (Time t, Real y) const


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