#include <ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss:
[legend]List of all members.
Detailed Description
Extended Cox-Ingersoll-Ross model class.
This class implements the extended Cox-Ingersoll-Ross model defined by
- Bug:
- this class was not tested enough to guarantee its functionality.
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Public Member Functions |
| ExtendedCoxIngersollRoss (const RelinkableHandle< TermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05) |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree.
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boost::shared_ptr< ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics
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Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
Protected Member Functions |
void | generateArguments () |
Real | A (Time t, Time T) const |
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