ExtendedCoxIngersollRoss::Dynamics Class Reference

Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...

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

Inheritance diagram for ExtendedCoxIngersollRoss::Dynamics:

Public Member Functions
	Dynamics (const Parameter &phi, Real theta, Real k, Real sigma, Real x0)
virtual Real	variable (Time t, Rate r) const
	Compute state variable from short rate.
virtual Real	shortRate (Time t, Real y) const
	Compute short rate from state variable.
Public Member Functions inherited from CoxIngersollRoss::Dynamics
	Dynamics (Real theta, Real k, Real sigma, Real x0)
Public Member Functions inherited from OneFactorModel::ShortRateDynamics
	ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process)
const boost::shared_ptr < StochasticProcess1D > &	process ()
	Returns the risk-neutral dynamics of the state variable.

Detailed Description

Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

The short-rate is here

where is the deterministic time-dependent parameter used for term-structure fitting and is the state variable, the square-root of a standard CIR process.