QuantLib 0.3.6
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Reference manual
CoxIngersollRoss Class Reference
#include <ql/ShortRateModels/OneFactorModels/coxingersollross.hpp>
Inheritance diagram for CoxIngersollRoss:
Detailed Description
Cox-Ingersoll-Ross model class.This class implements the Cox-Ingersoll-Ross model defined by
![\[ dr_t = k(\theta - r_t)dt + \sqrt{r_t}\sigma dW_t . \]](form_220.png)
- Bug:
- This class was not tested enough to guarantee its functionality.
Public Member Functions | |
| CoxIngersollRoss (Rate r0=0.05, double theta=0.1, double k=0.1, double sigma=0.1) | |
| virtual double | discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const |
| virtual Handle< ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics | |
| virtual Handle< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
Protected Member Functions | |
| double | A (Time t, Time T) const |
| double | B (Time t, Time T) const |
| double | theta () const |
| double | k () const |
| double | sigma () const |
| double | x0 () const |
