QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
ExtendedCoxIngersollRoss::Dynamics Class Reference

Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...

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

+ Inheritance diagram for ExtendedCoxIngersollRoss::Dynamics:

Public Member Functions

 Dynamics (const Parameter &phi, Real theta, Real k, Real sigma, Real x0)
 
virtual Real variable (Time t, Rate r) const
 Compute state variable from short rate.
 
virtual Real shortRate (Time t, Real y) const
 Compute short rate from state variable.
 
- Public Member Functions inherited from CoxIngersollRoss::Dynamics
 Dynamics (Real theta, Real k, Real sigma, Real x0)
 
- Public Member Functions inherited from OneFactorModel::ShortRateDynamics
 ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process)
 
const boost::shared_ptr
< StochasticProcess1D > & 
process ()
 Returns the risk-neutral dynamics of the state variable.
 

Detailed Description

Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

The short-rate is here

\[ r_t = \varphi(t) + y_t^2 \]

where \( \varphi(t) \) is the deterministic time-dependent parameter used for term-structure fitting and \( y_t \) is the state variable, the square-root of a standard CIR process.