Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
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. | |
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Dynamics (Real theta, Real k, Real sigma, Real x0) | |
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ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) | |
const boost::shared_ptr < StochasticProcess1D > & | process () |
Returns the risk-neutral dynamics of the state variable. | |
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
The short-rate is here
where is the deterministic time-dependent parameter used for term-structure fitting and
is the state variable, the square-root of a standard CIR process.