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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_extended_cox_ingersoll_ross.html">ExtendedCoxIngersollRoss</a></div>
<h1>ExtendedCoxIngersollRoss Class Reference<br>
<small>
[<a class="el" href="group__shortrate.html">Short-rate modelling framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::ExtendedCoxIngersollRoss" --><!-- doxytag: inherits="QuantLib::CoxIngersollRoss,QuantLib::TermStructureConsistentModel" --><code>#include <ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp></code>
<p>
Inheritance diagram for ExtendedCoxIngersollRoss:<p><center><img src="class_quant_lib_1_1_extended_cox_ingersoll_ross__inherit__graph.png" border="0" usemap="#_extended_cox_ingersoll_ross__inherit__map" alt="Inheritance graph"></center>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_extended_cox_ingersoll_ross-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Extended Cox-Ingersoll-Ross model class.
<p>
This class implements the extended Cox-Ingersoll-Ross model defined by <p class="formulaDsp">
<img class="formulaDsp" alt="\[ dr_t = (\theta(t) - \alpha r_t)dt + \sqrt{r_t}\sigma dW_t . \]" src="form_209.png">
<p>
<p>
<dl compact><dt><b><a class="el" href="bug.html#_bug000008">Bug:</a></b></dt><dd>this class was not tested enough to guarantee its functionality.</dd></dl>
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<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="88667693f84f2d60e897a566c9fc1e7f"></a><!-- doxytag: member="QuantLib::ExtendedCoxIngersollRoss::ExtendedCoxIngersollRoss" ref="88667693f84f2d60e897a566c9fc1e7f" args="(const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)" -->
</td><td class="memItemRight" valign="bottom"><b>ExtendedCoxIngersollRoss</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="140a7c576c87942d7f5a10db36affe8c"></a><!-- doxytag: member="QuantLib::ExtendedCoxIngersollRoss::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_extended_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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fc90527e32f5e84d191b5984cba8df45"></a><!-- doxytag: member="QuantLib::ExtendedCoxIngersollRoss::dynamics" ref="fc90527e32f5e84d191b5984cba8df45" args="() const" -->
boost::shared_ptr< ShortRateDynamics > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extended_cox_ingersoll_ross.html#fc90527e32f5e84d191b5984cba8df45">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="0b47448ed1ba48ac5138854aed3f1d49"></a><!-- doxytag: member="QuantLib::ExtendedCoxIngersollRoss::discountBondOption" ref="0b47448ed1ba48ac5138854aed3f1d49" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
Real </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, Real strike, Time maturity, Time bondMaturity) const </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="4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a><!-- doxytag: member="QuantLib::ExtendedCoxIngersollRoss::generateArguments" ref="4d8a7e8e132cf1dd8d1d9eac02f2bfae" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cc348b40097f738841cc2b04eccb9ee3"></a><!-- doxytag: member="QuantLib::ExtendedCoxIngersollRoss::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 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_extended_cox_ingersoll_ross_1_1_dynamics.html">Dynamics</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Short-rate dynamics in the extended Cox-Ingersoll-Ross model. <a href="class_quant_lib_1_1_extended_cox_ingersoll_ross_1_1_dynamics.html#_details">More...</a><br></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_extended_cox_ingersoll_ross_1_1_fitting_parameter.html">FittingParameter</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytical term-structure fitting parameter <img class="formulaInl" alt="$ \varphi(t) $" src="form_204.png">. <a href="class_quant_lib_1_1_extended_cox_ingersoll_ross_1_1_fitting_parameter.html#_details">More...</a><br></td></tr>
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