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)
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
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
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.
Public Member Functions inherited from OneFactorModel
	OneFactorModel (Size nArguments)
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree.
Public Member Functions inherited from ShortRateModel
	ShortRateModel (Size nArguments)
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)
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.
const Array &	problemValues () const
	Returns the problem values.
Array	params () 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 &)
Observer &	operator= (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 &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
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 override
Real	B (Time t, Time T) const override
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 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

Cox-Ingersoll-Ross model class.

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

\[ dr(t) = k(\theta - r(t))dt + \sigma \sqrt{r(t)} dW(t) \]

Bug

this class was not tested enough to guarantee its functionality.

Member Function Documentation

discountBondOption()

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

overridevirtual

Implements AffineModel.

dynamics()

ext::shared_ptr< ShortRateDynamics > dynamics ( ) const

overridevirtual

returns the short-rate dynamics

Implements OneFactorModel.

Reimplemented in ExtendedCoxIngersollRoss.

tree()

ext::shared_ptr< Lattice > tree ( const TimeGrid & grid ) const

overridevirtual

Implements ShortRateModel.

A()

Real A ( Time t, Time T ) const

overrideprotectedvirtual

Implements OneFactorAffineModel.

B()

Real B ( Time t, Time T ) const

overrideprotectedvirtual

Implements OneFactorAffineModel.