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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross.html">CoxIngersollRoss</a></div>
<h1>CoxIngersollRoss Class Reference<br>
<small>
[<a class="el" href="group__shortrate.html">Short-rate modelling framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::CoxIngersollRoss" --><!-- doxytag: inherits="QuantLib::OneFactorAffineModel" --><code>#include <ql/ShortRateModels/OneFactorModels/coxingersollross.hpp></code>
<p>
Inheritance diagram for CoxIngersollRoss:<p><center><img src="class_quant_lib_1_1_cox_ingersoll_ross__inherit__graph.png" border="0" usemap="#_cox_ingersoll_ross__inherit__map" alt="Inheritance graph"></center>
<map name="_cox_ingersoll_ross__inherit__map">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_cox_ingersoll_ross-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Cox-Ingersoll-Ross model class.
<p>
This class implements the Cox-Ingersoll-Ross model defined by <p class="formulaDsp">
<img class="formulaDsp" alt="\[ dr_t = k(\theta - r_t)dt + \sqrt{r_t}\sigma dW_t . \]" src="form_206.png">
<p>
<p>
<dl compact><dt><b><a class="el" href="bug.html#_bug000007">Bug:</a></b></dt><dd>this class was not tested enough to guarantee its functionality.</dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86cde1731e3090e18ffb1b0a4e7f7552"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::CoxIngersollRoss" ref="86cde1731e3090e18ffb1b0a4e7f7552" args="(Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1)" -->
</td><td class="memItemRight" valign="bottom"><b>CoxIngersollRoss</b> (<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c92e4a748c8ff38b33f1460ee56dceb"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::discountBondOption" ref="7c92e4a748c8ff38b33f1460ee56dceb" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
virtual Real </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, Real strike, Time maturity, Time bondMaturity) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28c796f4ada7dda841d0cfef5d58e41f"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::dynamics" ref="28c796f4ada7dda841d0cfef5d58e41f" args="() const" -->
virtual boost::shared_ptr<<br>
ShortRateDynamics > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross.html#28c796f4ada7dda841d0cfef5d58e41f">dynamics</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the short-rate dynamics <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="140a7c576c87942d7f5a10db36affe8c"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::tree" ref="140a7c576c87942d7f5a10db36affe8c" args="(const TimeGrid &grid) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_numerical_method.html">NumericalMethod</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross.html#140a7c576c87942d7f5a10db36affe8c">tree</a> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &grid) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Return by default a trinomial recombining tree. <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cc348b40097f738841cc2b04eccb9ee3"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::A" ref="cc348b40097f738841cc2b04eccb9ee3" args="(Time t, Time T) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>A</b> (Time t, Time T) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f180314a3071f54e4512a3f665cb1c9c"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::B" ref="f180314a3071f54e4512a3f665cb1c9c" args="(Time t, Time T) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>B</b> (Time t, Time T) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="211532127d83c15b17647a043e9efd36"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::theta" ref="211532127d83c15b17647a043e9efd36" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>theta</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8acb7edfaba81c3c90d003645a1bb486"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::k" ref="8acb7edfaba81c3c90d003645a1bb486" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>k</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3bf7456c7feee4fc5c40c1ea775619de"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::sigma" ref="3bf7456c7feee4fc5c40c1ea775619de" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e7a72a4c8dd1f131143d89a535765d42"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::x0" ref="e7a72a4c8dd1f131143d89a535765d42" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>x0</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross_1_1_dynamics.html">Dynamics</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Dynamics of the short-rate under the Cox-Ingersoll-Ross model <a href="class_quant_lib_1_1_cox_ingersoll_ross_1_1_dynamics.html#_details">More...</a><br></td></tr>
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