QuantLib_ExtendedCoxIngersollRoss_Dynamics man page

ExtendedCoxIngersollRoss::Dynamics — Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

Synopsis

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

Inherits CoxIngersollRoss::Dynamics.

Public Member Functions

Dynamics (const Parameter &phi, Real theta, Real k, Real sigma, Real x0)

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

Detailed Description

Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

The short-rate is here [ r_t = varphi(t) + y_t^2 ] where $ varphi(t) $ is the deterministic time-dependent parameter used for term-structure fitting and $ y_t $ is the state variable, the square-root of a standard CIR process.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib