CoxIngersollRoss::Dynamics Class Reference

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

Inheritance diagram for CoxIngersollRoss::Dynamics:

Inheritance graph
[legend]
List of all members.

Detailed Description

Dynamics of the short-rate under the Cox-Ingersoll-Ross model

The state variable $ y_t $ will here be the square-root of the short-rate. It satisfies the following stochastic equation

\[ dy_t=\left[ (\frac{k\theta }{2}+\frac{\sigma ^2}{8})\frac{1}{y_t}- \frac{k}{2}y_t \right] d_t+ \frac{\sigma }{2}dW_{t} \]

.


Public Member Functions

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


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen