QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
coxingersollross.hpp File Reference

Cox-Ingersoll-Ross model. More...

#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/processes/coxingersollrossprocess.hpp>

Go to the source code of this file.

Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

Cox-Ingersoll-Ross model.

Definition in file coxingersollross.hpp.