extendedcoxingersollross.hpp File Reference

Extended Cox-Ingersoll-Ross model. More...

Include dependency graph for extendedcoxingersollross.hpp:

Classes

class  ExtendedCoxIngersollRoss
 Extended Cox-Ingersoll-Ross model class. More...
 
class  ExtendedCoxIngersollRoss::Dynamics
 Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
 
class  ExtendedCoxIngersollRoss::FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Extended Cox-Ingersoll-Ross model.