- QuantLib
- ExtendedCoxIngersollRoss
- Dynamics
 
Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>

| 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. | |
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
The short-rate is here
![\[ r_t = \varphi(t) + y_t^2 \]](form_300.png) 
 where  is the deterministic time-dependent parameter used for term-structure fitting and
 is the deterministic time-dependent parameter used for term-structure fitting and  is the state variable, the square-root of a standard CIR process.
 is the state variable, the square-root of a standard CIR process.