ExtendedCoxIngersollRoss Class Reference

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

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

Inheritance 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
ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics
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)
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
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	B (Time t, Time T) const override
Real	theta () const
Real	k () const
Real	sigma () const
Real	x0 () const

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.

Member Function Documentation

tree()

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

overridevirtual

Reimplemented from CoxIngersollRoss.

dynamics()

ext::shared_ptr< OneFactorModel::ShortRateDynamics > dynamics ( ) const

overridevirtual

returns the short-rate dynamics

Reimplemented from CoxIngersollRoss.

discountBondOption()

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

overridevirtual

Reimplemented from CoxIngersollRoss.

generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

A()

Real A ( Time t, Time T ) const

overrideprotectedvirtual

Reimplemented from CoxIngersollRoss.