CoxIngersollRoss::Dynamics Class Reference

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

Inheritance diagram for CoxIngersollRoss::Dynamics:

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

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

.

Public Member Functions

 Dynamics (Real theta, Real k, Real sigma, Real x0)
virtual Real variable (Time, Rate r) const
 Compute state variable from short rate.
virtual Real shortRate (Time, Real y) const
 Compute short rate from state variable.