Extended Cox-Ingersoll-Ross model class. More...

#include <extendedcoxingersollross.hpp>

Inheritance diagram for ExtendedCoxIngersollRoss:

Collaboration diagram for ExtendedCoxIngersollRoss:

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

class	FittingParameter
	Analytical term-structure fitting parameter \( \varphi(t) \). More...

Public Member Functions
	ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05, bool withFellerConstraint=true)

ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...

ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics More...

Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override

Public Member Functions inherited from CoxIngersollRoss
	CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true)

Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const override

ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics More...

ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...

Public Member Functions inherited from OneFactorAffineModel
	OneFactorAffineModel (Size nArguments)

Real	discountBond (Time now, Time maturity, Array factors) const override

Real	discountBond (Time now, Time maturity, Rate rate) const

DiscountFactor	discount (Time t) const override
	Implied discount curve. More...

Public Member Functions inherited from OneFactorModel
	OneFactorModel (Size nArguments)

	~OneFactorModel () override=default

virtual ext::shared_ptr< ShortRateDynamics >	dynamics () const =0
	returns the short-rate dynamics More...

ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...

Public Member Functions inherited from ShortRateModel
	ShortRateModel (Size nArguments)

virtual ext::shared_ptr< Lattice >	tree (const TimeGrid &) const =0

Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)

void	update () override

virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...

Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)

const ext::shared_ptr< Constraint > &	constraint () const

EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...

const Array &	problemValues () const
	Returns the problem values. More...

Array	params () const
	Returns array of arguments on which calibration is done. More...

virtual void	setParams (const Array &params)

Integer	functionEvaluation () const

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from AffineModel
virtual DiscountFactor	discount (Time t) const =0
	Implied discount curve. More...

virtual Real	discountBond (Time now, Time maturity, Array factors) const =0

virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0

virtual Real	discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const

Public Member Functions inherited from TermStructureConsistentModel
	TermStructureConsistentModel (Handle< YieldTermStructure > termStructure)

const Handle< YieldTermStructure > &	termStructure () const

Protected Member Functions
void	generateArguments () override

Real	A (Time t, Time T) const override

Protected Member Functions inherited from CoxIngersollRoss
Real	A (Time t, Time T) const override

Real	B (Time t, Time T) const override

Real	theta () const

Real	k () const

Real	sigma () const

Real	x0 () const

virtual Real	A (Time t, Time T) const =0

virtual Real	B (Time t, Time T) const =0

virtual void	generateArguments ()

Private Attributes
Parameter	phi_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_

ext::shared_ptr< Constraint >	constraint_

EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None

Array	problemValues_

Integer	functionEvaluation_

Detailed Description

Extended Cox-Ingersoll-Ross model class.

This class implements the extended Cox-Ingersoll-Ross model defined by

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

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

Bug:: this class was not tested enough to guarantee its functionality.

Definition at line 47 of file extendedcoxingersollross.hpp.

Constructor & Destructor Documentation

◆ ExtendedCoxIngersollRoss()

ExtendedCoxIngersollRoss	(	const Handle< YieldTermStructure > &	termStructure,
		Real	theta = `0.1`,
		Real	k = `0.1`,
		Real	sigma = `0.1`,
		Real	x0 = `0.05`,
		bool	withFellerConstraint = `true`
	)