Extended Cox-Ingersoll-Ross model. More...
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>
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 ![]() |
Extended Cox-Ingersoll-Ross model.