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QuantLib_ExtendedCoxIngersollRoss
Langue: en
Version: 380395 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ExtendedCoxIngersollRoss -Extended Cox-Ingersoll-Ross model class.
SYNOPSIS
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
Inherits QuantLib::CoxIngersollRoss, and QuantLib::TermStructureConsistentModel.
Classes
class Dynamics
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
class FittingParameter
Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)"
Public Member Functions
ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
boost::shared_ptr< ShortRateDynamics > dynamics () const
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
Protected Member Functions
void generateArguments ()
Real A (Time t, Time T) const
Detailed Description
Extended Cox-Ingersoll-Ross model class.
This class implements the extended Cox-Ingersoll-Ross model defined by [ dr_t = ( heta(t) - lpha r_t)dt + qrt{r_t}igma dW_t . ]
Bug
- this class was not tested enough to guarantee its functionality.
Author
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