ExtendedCoxIngersollRoss::Dynamics Class Reference

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

List of all members.


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.


Public Member Functions

 Dynamics (const Parameter &phi, Real theta, Real k, Real sigma, Real x0)
virtual Real variable (Time t, Rate r) const
virtual Real shortRate (Time t, Real y) const