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:

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
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.