QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...
#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp>
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_ |
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.
Definition at line 93 of file extendedcoxingersollross.hpp.
Compute state variable from short rate.
Reimplemented from CoxIngersollRoss::Dynamics.
Definition at line 96 of file extendedcoxingersollross.hpp.
Compute short rate from state variable.
Reimplemented from CoxIngersollRoss::Dynamics.
Definition at line 97 of file extendedcoxingersollross.hpp.
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private |
Definition at line 100 of file extendedcoxingersollross.hpp.