CoxIngersollRoss::Dynamics Class Reference
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>
Inheritance diagram for CoxIngersollRoss::Dynamics:

Detailed Description
Dynamics of the short-rate under the Cox-Ingersoll-Ross model
The state variable will here be the square-root of the short-rate. It satisfies the following stochastic equation
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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. |