ExtendedCoxIngersollRoss Class Reference

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

Inheritance diagram for ExtendedCoxIngersollRoss:

Inheritance graph
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List of all members.

Detailed Description

Extended Cox-Ingersoll-Ross model class.

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

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

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


Public Member Functions

 ExtendedCoxIngersollRoss (const RelinkableHandle< TermStructure > &termStructure, double theta=0.1, double k=0.1, double sigma=0.1, double x0=0.05)
Handle< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.

Handle< ShortRateDynamics > dynamics () const
 returns the short-rate dynamics

double discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const

Protected Member Functions

void generateArguments ()
double A (Time t, Time T) const


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