ExtendedCoxIngersollRoss::Dynamics Class Reference

#include <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, 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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