Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss::Dynamics: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. | |
Public Member Functions inherited from CoxIngersollRoss::Dynamics | |
| Dynamics (Real theta, Real k, Real sigma, Real x0) | |
Public Member Functions inherited from OneFactorModel::ShortRateDynamics | |
| ShortRateDynamics (const ext::shared_ptr< StochasticProcess1D > &process) | |
| const ext::shared_ptr< StochasticProcess1D > & | process () |
| Returns the risk-neutral dynamics of the state variable. | |
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
The short-rate is here
\[ r_t = \varphi(t) + y_t^2 \]
where \( \varphi(t) \) is the deterministic time-dependent parameter used for term-structure fitting and \( y_t \) is the state variable, the square-root of a standard CIR process.