Cox-Ingersoll-Ross model class. More...
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>
Classes | |
class | Dynamics |
Dynamics of the short-rate under the Cox-Ingersoll-Ross model More... | |
Public Member Functions | |
CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1) | |
virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
virtual boost::shared_ptr < ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
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OneFactorAffineModel (Size nArguments) | |
virtual Real | discountBond (Time now, Time maturity, Array factors) const |
Real | discountBond (Time now, Time maturity, Rate rate) const |
DiscountFactor | discount (Time t) const |
Implied discount curve. | |
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OneFactorModel (Size nArguments) | |
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ShortRateModel (Size nArguments) | |
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CalibratedModel (Size nArguments) | |
void | update () |
void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) |
Calibrate to a set of market instruments (caps/swaptions) | |
Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
const boost::shared_ptr < Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () |
returns end criteria result | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
virtual void | setParams (const Array ¶ms) |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
Real | A (Time t, Time T) const |
Real | B (Time t, Time T) const |
Real | theta () const |
Real | k () const |
Real | sigma () const |
Real | x0 () const |
Additional Inherited Members | |
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std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Cox-Ingersoll-Ross model class.
This class implements the Cox-Ingersoll-Ross model defined by