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QuantLib_CoxIngersollRoss
Langue: en
Version: 155842 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::CoxIngersollRoss - Cox-Ingersoll-Ross model class.SYNOPSIS
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>
Inherits QuantLib::OneFactorAffineModel.
Inherited by ExtendedCoxIngersollRoss.
Classes
class Dynamics
Dynamics of the short-rate under the Cox-Ingersoll-Ross model
Public Member Functions
CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1)
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
virtual boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.
Protected Member Functions
Real A (Time t, Time T) const
Real B (Time t, Time T) const
Real theta () const
Real k () const
Real sigma () const
Real x0 () const
Detailed Description
Cox-Ingersoll-Ross model class.
This class implements the Cox-Ingersoll-Ross model defined by \
Bug
- this class was not tested enough to guarantee its functionality.
Author
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