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< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
| boost::shared_ptr< ShortRateDynamics > | dynamics () 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 ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
| const boost::shared_ptr< Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () const |
| Returns end criteria result. | |
| const Array & | problemValues () const |
| Returns the problem values. | |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< 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 &) | |
| Observable & | operator= (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 | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
Extended Cox-Ingersoll-Ross model class.
This class implements the extended Cox-Ingersoll-Ross model defined by
\[ dr_t = (\theta(t) - \alpha r_t)dt + \sqrt{r_t}\sigma dW_t . \]