- QuantLib
- CoxIngersollRoss
- Dynamics
 
Dynamics of the short-rate under the Cox-Ingersoll-Ross model More...
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>

| Public Member Functions | |
| Dynamics (Real theta, Real k, Real sigma, Real x0) | |
| virtual Real | variable (Time, Rate r) const | 
| Compute state variable from short rate. | |
| virtual Real | shortRate (Time, Real y) const | 
| Compute short rate from state variable. | |
Dynamics of the short-rate under the Cox-Ingersoll-Ross model
The state variable  will here be the square-root of the short-rate. It satisfies the following stochastic equation
 will here be the square-root of the short-rate. It satisfies the following stochastic equation 
![\[ dy_t=\left[ (\frac{k\theta }{2}+\frac{\sigma ^2}{8})\frac{1}{y_t}- \frac{k}{2}y_t \right] d_t+ \frac{\sigma }{2}dW_{t} \]](form_298.png) 
.