QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
Cox-Ingersoll-Ross model.
Definition in file coxingersollross.hpp.