#include <ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss:
[legend]List of all members.
Detailed Description
Extended Cox-Ingersoll-Ross model class.
This class implements the extended Cox-Ingersoll-Ross model defined by
- Bug:
- this class was not tested enough to guarantee its functionality.
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Public Member Functions |
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| ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05) |
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boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| | Return by default a trinomial recombining tree.
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boost::shared_ptr< ShortRateDynamics > | dynamics () const |
| | returns the short-rate dynamics
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Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
Protected Member Functions |
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void | generateArguments () |
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Real | A (Time t, Time T) const |
Classes |
| class | Dynamics |
| | Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
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| class | FittingParameter |
| | Analytical term-structure fitting parameter . More...
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