coxingersollross (3) - Linux Manuals

coxingersollross: Cox-Ingersoll-Ross model.

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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