ExtendedCoxIngersollRoss (3) Linux Manual Page

ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp – Extended Cox-Ingersoll-Ross model.

Synopsis

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

Classes

class ExtendedCoxIngersollRoss
Extended Cox-Ingersoll-Ross model class.
class Dynamics
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
class FittingParameter
Analytical term-structure fitting parameter $ iled Description"

Detailed Description

Extended Cox-Ingersoll-Ross model.

Author

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