ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp File Reference


Detailed Description

Extended Cox-Ingersoll-Ross model.

#include <ql/qldefines.hpp>
#include <ql/ShortRateModels/OneFactorModels/coxingersollross.hpp>

Include dependency graph for extendedcoxingersollross.hpp:


Namespaces

namespace  QuantLib

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...

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