CoxIngersollRoss::Dynamics Class Reference

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

List of all members.


Detailed Description

Dynamics of the short-rate under the Cox-Ingersoll-Ross model

The state variable $ y_t $ will here be the square-root of the short-rate. It satisfies the following stochastic equation

\[ dy_t=\left[ (\frac{k\theta }{2}+\frac{\sigma ^2}{8})\frac{1}{y_t}- \frac{k}{2}y_t \right] d_t+ \frac{\sigma }{2}dW_{t} \]

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Public Member Functions

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