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

Detailed Description
Cox-Ingersoll-Ross model class.This class implements the Cox-Ingersoll-Ross model defined by
- Bug:
- this class was not tested enough to guarantee its functionality.
Public Member Functions | |
CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1) | |
virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
virtual boost::shared_ptr< ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
Protected Member Functions | |
Real | A (Time t, Time T) const |
Real | B (Time t, Time T) const |
Real | theta () const |
Real | k () const |
Real | sigma () const |
Real | x0 () const |
Classes | |
class | Dynamics |
Dynamics of the short-rate under the Cox-Ingersoll-Ross model More... |