QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Classes | Public Member Functions | Protected Member Functions | List of all members
CoxIngersollRoss Class Reference

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

#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>

+ Inheritance diagram for CoxIngersollRoss:

Classes

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

Public Member Functions

 CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true)
 
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
 
virtual ext::shared_ptr< ShortRateDynamicsdynamics () const
 returns the short-rate dynamics
 
ext::shared_ptr< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.
 
- Public Member Functions inherited from OneFactorAffineModel
 OneFactorAffineModel (Size nArguments)
 
virtual Real discountBond (Time now, Time maturity, Array factors) const
 
Real discountBond (Time now, Time maturity, Rate rate) const
 
DiscountFactor discount (Time t) const
 Implied discount curve.
 
- Public Member Functions inherited from OneFactorModel
 OneFactorModel (Size nArguments)
 
- Public Member Functions inherited from ShortRateModel
 ShortRateModel (Size nArguments)
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
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...
 
virtual QL_DEPRECATED void calibrate (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, 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 >())
 
Real value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
 
QL_DEPRECATED Real value (const Array &params, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &)
 
const ext::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result.
 
const ArrayproblemValues () const
 Returns the problem values.
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
Integer functionEvaluation () const
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const 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 deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from AffineModel
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const
 

Protected Member Functions

Real A (Time t, Time T) const
 
Real B (Time t, Time T) const
 
Real theta () const
 
Real k () const
 
Real sigma () const
 
Real x0 () const
 
- Protected Member Functions inherited from CalibratedModel
virtual void generateArguments ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
ext::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 
Array problemValues_
 
Integer functionEvaluation_
 

Detailed Description

Cox-Ingersoll-Ross model class.

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

\[ dr_t = k(\theta - r_t)dt + \sqrt{r_t}\sigma dW_t . \]

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