QuantLib_CoxIngersollRoss man page

CoxIngersollRoss — Cox-Ingersoll-Ross model class.

Synopsis

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

Inherits OneFactorAffineModel.

Inherited by ExtendedCoxIngersollRoss.

Classes

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)

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 . ]

Bug

this class was not tested enough to guarantee its functionality.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib