QuantLib_ExtendedCoxIngersollRoss man page

ExtendedCoxIngersollRoss — Extended Cox-Ingersoll-Ross model class.  

Synopsis

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

Inherits CoxIngersollRoss, and TermStructureConsistentModel.

Classes

class Dynamics
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
class FittingParameter
Analytical term-structure fitting parameter $ varphi(t) $.

Public Member Functions

ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05, bool withFellerConstraint=true)
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.
boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const

Protected Member Functions

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

Additional Inherited Members

Detailed Description

Extended Cox-Ingersoll-Ross model class.

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

Bug

this class was not tested enough to guarantee its functionality.

Author

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Referenced By

The man page ExtendedCoxIngersollRoss(3) is an alias of QuantLib_ExtendedCoxIngersollRoss(3).

Wed Aug 2 2017 Version 1.10 QuantLib