extendedcoxingersollross.hpp

Langue: en

Autres versions - même langue

Version: 380192 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

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

Extended Cox-Ingersoll-Ross model.

SYNOPSIS


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

Classes


class ExtendedCoxIngersollRoss
Extended Cox-Ingersoll-Ross model class.
class ExtendedCoxIngersollRoss::Dynamics
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
class ExtendedCoxIngersollRoss::FittingParameter
Analytical term-structure fitting parameter $ iled Description"

Detailed Description

Extended Cox-Ingersoll-Ross model.

Author

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