- QuantLib
- CoxIngersollRoss
 
Cox-Ingersoll-Ross model class. More...
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>

| Classes | |
| class | Dynamics | 
| Dynamics of the short-rate under the Cox-Ingersoll-Ross model  More... | |
| 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 | 
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_296.png)