QuantLib_CoxIngersollRoss_Dynamics man page

CoxIngersollRoss::Dynamics — Dynamics of the short-rate under the Cox-Ingersoll-Ross model

Synopsis

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

Inherits OneFactorModel::ShortRateDynamics.

Inherited by ExtendedCoxIngersollRoss::Dynamics.

Public Member Functions

Dynamics (Real theta, Real k, Real sigma, Real x0)

virtual Real variable (Time, Rate r) const
Compute state variable from short rate.
virtual Real shortRate (Time, Real y) const
Compute short rate from state variable.

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[ (ac{k heta }{2}+ac{sigma ^2}{8})ac{1}{y_t}- ac{k}{2}y_t right] d_t+ ac{sigma }{2}dW_{t} ].

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib