ExtendedCoxIngersollRoss Class Reference
[Short-rate modelling framework]

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

Inheritance diagram for ExtendedCoxIngersollRoss:

Inheritance graph
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List of all members.

Detailed Description

Extended Cox-Ingersoll-Ross model class.

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

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

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< Latticetree (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 $ \varphi(t) $. More...