CoxIngersollRoss Class Reference

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

Inheritance diagram for CoxIngersollRoss:

Inheritance graph
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List of all members.

Detailed Description

Cox-Ingersoll-Ross model class.

This class implements the Cox-Ingersoll-Ross model defined by

\[ dr_t = k(\theta - r_t)dt + \sqrt{r_t}\sigma dW_t . \]

Bug:
This class was not tested enough to guarantee its functionality.


Public Member Functions

 CoxIngersollRoss (Rate r0=0.05, double theta=0.1, double k=0.1, double sigma=0.1)
virtual double discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const
virtual Handle< ShortRateDynamics > dynamics () const
 returns the short-rate dynamics

virtual Handle< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.


Protected Member Functions

double A (Time t, Time T) const
double B (Time t, Time T) const
double theta () const
double k () const
double sigma () const
double x0 () const


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