CoxIngersollRoss::Dynamics Class Reference

#include <coxingersollross.hpp>

Inheritance diagram for CoxIngersollRoss::Dynamics:

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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

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

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Public Member Functions

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


The documentation for this class was generated from the following file:

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