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QuantLib_CoxIngersollRoss_Dynamics
Langue: en
Version: 376410 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CoxIngersollRoss::Dynamics -Dynamics of the short-rate under the Cox-Ingersoll-Ross model
SYNOPSIS
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>
Inherits QuantLib::OneFactorModel::ShortRateDynamics.
Inherited by ExtendedCoxIngersollRoss::Dynamics.
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.
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=
ta }{2}+ac{igma ^2}{8})ac{1}{y_t}- ac{k}{2}y_t ight] d_t+ ac{igma }{2}dW_{t} ].
Author
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