QuantLib_CoxIngersollRoss man page

CoxIngersollRoss — Cox-Ingersoll-Ross model class.  


#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>

Inherits OneFactorAffineModel.

Inherited by ExtendedCoxIngersollRoss.


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

Public Member Functions

CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true)
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
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

Additional Inherited Members

Detailed Description

Cox-Ingersoll-Ross model class.

This class implements the Cox-Ingersoll-Ross model defined by [ dr_t = k( heta - r_t)dt + sqrt{r_t}sigma dW_t . ]


this class was not tested enough to guarantee its functionality.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages A(3), B(3), CoxIngersollRoss(3), sigma(3) and x0(3) are aliases of QuantLib_CoxIngersollRoss(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib