ExtendedCoxIngersollRoss (3) - Linux Manuals

ExtendedCoxIngersollRoss: Extended Cox-Ingersoll-Ross model class.

NAME

QuantLib::ExtendedCoxIngersollRoss - Extended Cox-Ingersoll-Ross model class.

SYNOPSIS

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

Inherits QuantLib::CoxIngersollRoss, and QuantLib::TermStructureConsistentModel.

Classes

class Dynamics
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
class FittingParameter
Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)"

Public Member Functions

ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)

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

Detailed Description

Extended Cox-Ingersoll-Ross model class.

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

Bug

this class was not tested enough to guarantee its functionality.

Author

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