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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross.html">CoxIngersollRoss</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> </div>
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<div class="title">CoxIngersollRoss Class Reference<div class="ingroups"><a class="el" href="group__shortrate.html">Short-rate modelling framework</a></div></div> </div>
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<!-- doxytag: class="QuantLib::CoxIngersollRoss" --><!-- doxytag: inherits="QuantLib::OneFactorAffineModel" -->
<p>Cox-Ingersoll-Ross model class.
<a href="class_quant_lib_1_1_cox_ingersoll_ross.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp></code></p>
<div class="dynheader">
Inheritance diagram for CoxIngersollRoss:</div>
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<div class="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"/></div>
<map name="_cox_ingersoll_ross_inherit__map" id="_cox_ingersoll_ross_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_extended_cox_ingersoll_ross.html" title="Extended Cox-Ingersoll-Ross model class." alt="" coords="5,166,184,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_one_factor_affine_model.html" title="Single-factor affine base class." alt="" coords="20,6,169,37"/></map>
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<p><a href="class_quant_lib_1_1_cox_ingersoll_ross-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" 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>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a86cde1731e3090e18ffb1b0a4e7f7552"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::CoxIngersollRoss" ref="a86cde1731e3090e18ffb1b0a4e7f7552" 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#gaede435af51236692b1107d7639581d39">Rate</a> r0=0.05, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> theta=0.1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> k=0.1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma=0.1)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7c92e4a748c8ff38b33f1460ee56dceb"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::discountBondOption" ref="a7c92e4a748c8ff38b33f1460ee56dceb" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> bondMaturity) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a625405160d212c8860ac39c19c9e91cd"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::dynamics" ref="a625405160d212c8860ac39c19c9e91cd" args="() const " -->
virtual boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics.html">ShortRateDynamics</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross.html#a625405160d212c8860ac39c19c9e91cd">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" align="right" valign="top"><a class="anchor" id="a14130554fc69efb397b13bff53cc5eeb"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::tree" ref="a14130554fc69efb397b13bff53cc5eeb" args="(const TimeGrid &grid) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross.html#a14130554fc69efb397b13bff53cc5eeb">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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a01dd11c13189fcd655784ccec798c410"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::A" ref="a01dd11c13189fcd655784ccec798c410" args="(Time t, Time T) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>A</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a18613e934dfda1a1db8f8f4d8b00eaae"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::B" ref="a18613e934dfda1a1db8f8f4d8b00eaae" args="(Time t, Time T) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>B</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a00901daf5bbc66f00e4772cbe0c98f"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::theta" ref="a7a00901daf5bbc66f00e4772cbe0c98f" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a540ac47c1a7ea680aad82d564afa4e50"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::k" ref="a540ac47c1a7ea680aad82d564afa4e50" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>k</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a78bca11664a7d403bde6a9842f72ae61"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::sigma" ref="a78bca11664a7d403bde6a9842f72ae61" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a89d2f497b5fd0d0a0dce2ec82c86e778"></a><!-- doxytag: member="QuantLib::CoxIngersollRoss::x0" ref="a89d2f497b5fd0d0a0dce2ec82c86e778" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>x0</b> () const </td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Cox-Ingersoll-Ross model class. </p>
<p>This class implements the Cox-Ingersoll-Ross model defined by </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ dr_t = k(\theta - r_t)dt + \sqrt{r_t}\sigma dW_t . \]" src="form_296.png"/>
</p>
<dl class="bug"><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>
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