CoxIngersollRoss Class Reference
[Short-rate modelling framework]

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

Inheritance diagram for CoxIngersollRoss:

Inheritance graph
[legend]
List of all members.

Detailed Description

Cox-Ingersoll-Ross model class.

This class implements the Cox-Ingersoll-Ross model defined by

\[ dr_t = k(\theta - r_t)dt + \sqrt{r_t}\sigma dW_t . \]

Bug:
this class was not tested enough to guarantee its functionality.


Public Member Functions

 CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1)
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
virtual boost::shared_ptr<
ShortRateDynamics > 
dynamics () const
 returns the short-rate dynamics

virtual boost::shared_ptr<
Lattice
tree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.


Protected Member Functions

Real A (Time t, Time T) const
Real B (Time t, Time T) const
Real theta () const
Real k () const
Real sigma () const
Real x0 () const


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