QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Classes | Public Member Functions | Protected Member Functions | List of all members
ExtendedCoxIngersollRoss Class Reference

Extended Cox-Ingersoll-Ross model class. More...

#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>

+ Inheritance diagram for ExtendedCoxIngersollRoss:

Classes

class  Dynamics
 Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
 
class  FittingParameter
 Analytical term-structure fitting parameter \( \varphi(t) \). 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< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.
 
boost::shared_ptr< ShortRateDynamicsdynamics () const
 returns the short-rate dynamics
 
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
 
- Public Member Functions inherited from CoxIngersollRoss
 CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1)
 
- Public Member Functions inherited from OneFactorAffineModel
 OneFactorAffineModel (Size nArguments)
 
virtual Real discountBond (Time now, Time maturity, Array factors) const
 
Real discountBond (Time now, Time maturity, Rate rate) const
 
DiscountFactor discount (Time t) const
 Implied discount curve.
 
- Public Member Functions inherited from OneFactorModel
 OneFactorModel (Size nArguments)
 
- Public Member Functions inherited from ShortRateModel
 ShortRateModel (Size nArguments)
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
virtual void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 Calibrate to a set of market instruments (usually caps/swaptions) More...
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result.
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from AffineModel
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const
 
- Public Member Functions inherited from TermStructureConsistentModel
 TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure)
 
const Handle< YieldTermStructure > & termStructure () const
 

Protected Member Functions

void generateArguments ()
 
Real A (Time t, Time T) const
 
- Protected Member Functions inherited from CoxIngersollRoss
Real B (Time t, Time T) const
 
Real theta () const
 
Real k () const
 
Real sigma () const
 
Real x0 () const
 

Additional Inherited Members

- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
boost::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 

Detailed Description

Extended Cox-Ingersoll-Ross model class.

This class implements the extended Cox-Ingersoll-Ross model defined by

\[ dr_t = (\theta(t) - \alpha r_t)dt + \sqrt{r_t}\sigma dW_t . \]

Bug:
this class was not tested enough to guarantee its functionality.