ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp File Reference


Detailed Description

Extended Cox-Ingersoll-Ross model.

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

Include dependency graph for extendedcoxingersollross.hpp:


Namespaces

namespace  QuantLib

Classes

class  ExtendedCoxIngersollRoss
 Extended Cox-Ingersoll-Ross model class. More...
class  ExtendedCoxIngersollRoss::Dynamics
 Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
class  ExtendedCoxIngersollRoss::FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...