QuantLib_ExtendedCoxIngersollRoss (3) Linux Manual Page
QuantLib::ExtendedCoxIngersollRoss – Extended Cox-Ingersoll-Ross model class.
Synopsis
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>Inherits QuantLib::CoxIngersollRoss, and QuantLib::TermStructureConsistentModel.
Classes
class DynamicsShort-rate dynamics in the extended Cox-Ingersoll-Ross model.
class FittingParameter
Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)"
Public Member Functions
ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05) boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.
boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
Protected Member Functions
void generateArguments ()Real A (Time t, Time T) const
Detailed Description
Extended Cox-Ingersoll-Ross model class.This class implements the extended Cox-Ingersoll-Ross model defined by [ dr_t = ( heta(t) – lpha r_t)dt + qrt{r_t}igma dW_t . ]
Bug
- this class was not tested enough to guarantee its functionality.