coxingersollross.hpp

Langue: en

Autres versions - même langue

Version: 383924 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/shortrate/onefactormodels/coxingersollross.hpp -

Cox-Ingersoll-Ross model.

SYNOPSIS


#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/stochasticprocess.hpp>

Classes


class CoxIngersollRoss
Cox-Ingersoll-Ross model class.
class CoxIngersollRoss::Dynamics
Dynamics of the short-rate under the Cox-Ingersoll-Ross model

Detailed Description

Cox-Ingersoll-Ross model.

Author

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