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:

List of all members.

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.

Detailed Description

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

The short-rate is here

\[ r_t = \varphi(t) + y_t^2 \]

where $ \varphi(t) $ is the deterministic time-dependent parameter used for term-structure fitting and $ y_t $ is the state variable, the square-root of a standard CIR process.