QuantLib_CoxIngersollRoss (3) - Linux Manuals

QuantLib_CoxIngersollRoss: Cox-Ingersoll-Ross model class.

NAME

QuantLib::CoxIngersollRoss - Cox-Ingersoll-Ross model class.

SYNOPSIS

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

Inherits QuantLib::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

Detailed Description

Cox-Ingersoll-Ross model class.

This class implements the Cox-Ingersoll-Ross model defined by [ dr_t = k( heta - 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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