- QuantLib
- ExtendedCoxIngersollRoss
 
Extended Cox-Ingersoll-Ross model class. More...
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>

| Classes | |
| class | Dynamics | 
| Short-rate dynamics in the extended Cox-Ingersoll-Ross model.  More... | |
| class | FittingParameter | 
| Analytical term-structure fitting parameter  .  More... | |
| Public Member Functions | |
| ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05) | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const | 
| Return by default a trinomial recombining tree. | |
| boost::shared_ptr < ShortRateDynamics > | dynamics () const | 
| returns the short-rate dynamics | |
| Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const | 
| Protected Member Functions | |
| void | generateArguments () | 
| Real | A (Time t, Time T) const | 
Extended Cox-Ingersoll-Ross model class.
This class implements the extended Cox-Ingersoll-Ross model defined by
![\[ dr_t = (\theta(t) - \alpha r_t)dt + \sqrt{r_t}\sigma dW_t . \]](form_299.png)