coxingersollross(3)
NAME
ql/models/shortrate/onefactormodels/coxingersollross.hpp – Cox-Ingersoll-Ross model.
SYNOPSIS
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/stochasticprocess.hpp>
Classes
class CoxIngersollRoss
Cox-Ingersoll-Ross model class.
class Dynamics
Dynamics of the short-rate under the Cox-Ingersoll-Ross model
Detailed Description
Cox-Ingersoll-Ross model.
Author
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