ExtendedCoxIngersollRoss Class Reference
[Short-rate modelling framework]
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss:

Detailed Description
Extended Cox-Ingersoll-Ross model class.This class implements the extended Cox-Ingersoll-Ross model defined by
- Bug:
- this class was not tested enough to guarantee its functionality.
Public Member Functions | |
ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05) | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
boost::shared_ptr< ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
Protected Member Functions | |
void | generateArguments () |
Real | A (Time t, Time T) const |
Classes | |
class | Dynamics |
Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More... | |
class | FittingParameter |
Analytical term-structure fitting parameter ![]() |