QuantLib_ExtendedCoxIngersollRoss_Dynamics (3) - Linux Man Pages

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

NAME

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

SYNOPSIS


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

Inherits QuantLib::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 = meter 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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