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

#include <coxingersollross.hpp>

Inheritance diagram for CoxIngersollRoss::Dynamics:

Collaboration diagram for CoxIngersollRoss::Dynamics:

Public Member Functions
	Dynamics (Real theta, Real k, Real sigma, Real x0)

Real	variable (Time, Rate r) const override
	Compute state variable from short rate. More...

Real	shortRate (Time, Real y) const override
	Compute short rate from state variable. More...

Public Member Functions inherited from OneFactorModel::ShortRateDynamics
	ShortRateDynamics (ext::shared_ptr< StochasticProcess1D > process)

virtual	~ShortRateDynamics ()=default

virtual Real	variable (Time t, Rate r) const =0
	Compute state variable from short rate. More...

virtual Rate	shortRate (Time t, Real variable) const =0
	Compute short rate from state variable. More...

const ext::shared_ptr< StochasticProcess1D > &	process ()
	Returns the risk-neutral dynamics of the state variable. More...

Detailed Description

Dynamics of the short-rate under the Cox-Ingersoll-Ross model

The short-rate is simulated directly using the Quadratic Exponential discretization scheme as described in Leif Andersen, Efficient Simulation of the Heston Stochastic Volatility Model.

Definition at line 86 of file coxingersollross.hpp.

Constructor & Destructor Documentation

◆ Dynamics()

Dynamics	(	Real	theta,
		Real	k,
		Real	sigma,
		Real	x0
	)

Definition at line 89 of file coxingersollross.hpp.

Member Function Documentation

◆ variable()

Real variable	(	Time	t,
		Rate	r
	)		const

overridevirtual

Compute state variable from short rate.

Implements OneFactorModel::ShortRateDynamics.

Reimplemented in ExtendedCoxIngersollRoss::Dynamics.

Definition at line 96 of file coxingersollross.hpp.

◆ shortRate()

Real shortRate	(	Time	t,
		Real	variable
	)		const