Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...

#include <extendedcoxingersollross.hpp>

Inheritance diagram for ExtendedCoxIngersollRoss::Dynamics:

Collaboration diagram for ExtendedCoxIngersollRoss::Dynamics:

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

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

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

Public Member Functions inherited from CoxIngersollRoss::Dynamics
	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...

Private Attributes
Parameter	phi_

Detailed Description

Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

The short-rate is here

\[ r(t) = \varphi(t) + y(t) \]

where \( \varphi(t) \) is the deterministic time-dependent parameter used for term-structure fitting and \( y_t \) is a standard CIR process with dynamics

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

Definition at line 90 of file extendedcoxingersollross.hpp.