CoxIngersollRoss Class Reference

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

#include <coxingersollross.hpp>

Inheritance diagram for CoxIngersollRoss:

Collaboration diagram for CoxIngersollRoss:

Classes
class	Dynamics
	Dynamics of the short-rate under the Cox-Ingersoll-Ross model More...

Public Member Functions
	CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true)
Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override
ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics More...
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...
Public Member Functions inherited from OneFactorAffineModel
	OneFactorAffineModel (Size nArguments)
Real	discountBond (Time now, Time maturity, Array factors) const override
Real	discountBond (Time now, Time maturity, Rate rate) const
DiscountFactor	discount (Time t) const override
	Implied discount curve. More...
Public Member Functions inherited from OneFactorModel
	OneFactorModel (Size nArguments)
	~OneFactorModel () override=default
virtual ext::shared_ptr< ShortRateDynamics >	dynamics () const =0
	returns the short-rate dynamics More...
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...
Public Member Functions inherited from ShortRateModel
	ShortRateModel (Size nArguments)
virtual ext::shared_ptr< Lattice >	tree (const TimeGrid &) const =0
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
void	update () override
virtual void	calibrate (const std::vector< ext::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< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from AffineModel
virtual DiscountFactor	discount (Time t) const =0
	Implied discount curve. More...
virtual Real	discountBond (Time now, Time maturity, Array factors) const =0
virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0
virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const

Protected Member Functions
Real	A (Time t, Time T) const override
Real	B (Time t, Time T) const override
Real	theta () const
Real	k () const
Real	sigma () const
Real	x0 () const
virtual Real	A (Time t, Time T) const =0
virtual Real	B (Time t, Time T) const =0
Protected Member Functions inherited from CalibratedModel
virtual void	generateArguments ()

Private Attributes
Parameter &	theta_
Parameter &	k_
Parameter &	sigma_
Parameter &	r0_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Detailed Description

Cox-Ingersoll-Ross model class.

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

\[ dr(t) = k(\theta - r(t))dt + \sigma \sqrt{r(t)} dW(t) \]

Bug:

this class was not tested enough to guarantee its functionality.

Definition at line 44 of file coxingersollross.hpp.

Constructor & Destructor Documentation

CoxIngersollRoss()

CoxIngersollRoss	(	Rate	r0 = 0.05,
		Real	theta = 0.1,
		Real	k = 0.1,
		Real	sigma = 0.1,
		bool	withFellerConstraint = true
	)

Definition at line 43 of file coxingersollross.cpp.

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Member Function Documentation

discountBondOption()

Real discountBondOption ( Option::Type  type, Real  strike, Time  maturity, Time  bondMaturity  ) const

overridevirtual

Implements AffineModel.

Reimplemented in ExtendedCoxIngersollRoss.

Definition at line 83 of file coxingersollross.cpp.

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dynamics()

ext::shared_ptr< OneFactorModel::ShortRateDynamics > dynamics ( ) const

overridevirtual

returns the short-rate dynamics

Implements OneFactorModel.

Reimplemented in ExtendedCoxIngersollRoss.

Definition at line 59 of file coxingersollross.cpp.

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tree()

ext::shared_ptr< Lattice > tree ( const TimeGrid &  grid ) const

overridevirtual

Return by default a trinomial recombining tree.

Reimplemented from OneFactorModel.

Reimplemented in ExtendedCoxIngersollRoss.

Definition at line 126 of file coxingersollross.cpp.

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A()

Real A ( Time  t, Time  T  ) const

overrideprotectedvirtual

Implements OneFactorAffineModel.

Reimplemented in ExtendedCoxIngersollRoss.

Definition at line 64 of file coxingersollross.cpp.

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B()

Real B ( Time  t, Time  T  ) const

overrideprotectedvirtual

Implements OneFactorAffineModel.

Definition at line 74 of file coxingersollross.cpp.

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theta()

Real theta ( ) const

protected

Definition at line 67 of file coxingersollross.hpp.

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k()

Real k ( ) const

protected

Definition at line 68 of file coxingersollross.hpp.

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sigma()

Real sigma ( ) const

protected

Definition at line 69 of file coxingersollross.hpp.

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x0()

Real x0 ( ) const

protected

Definition at line 70 of file coxingersollross.hpp.

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Member Data Documentation

theta_

Parameter& theta_

private

Definition at line 75 of file coxingersollross.hpp.

k_

Parameter& k_

private

Definition at line 76 of file coxingersollross.hpp.

sigma_

Parameter& sigma_

private

Definition at line 77 of file coxingersollross.hpp.

r0_

Parameter& r0_

private

Definition at line 78 of file coxingersollross.hpp.