org.jquantlib.model.shortrate.onefactormodels

Class CoxIngersollRoss

java.lang.Object

org.jquantlib.model.CalibratedModel

org.jquantlib.model.shortrate.ShortRateModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorAffineModel

org.jquantlib.model.shortrate.onefactormodels.CoxIngersollRoss

All Implemented Interfaces:

AffineModel, Observable, Observer

Direct Known Subclasses:

ExtendedCoxIngersollRoss

public class CoxIngersollRoss
extends OneFactorAffineModel

Cox-Ingersoll-Ross model class.

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

Constructor Summary

Constructors

Constructor and Description
CoxIngersollRoss()
CoxIngersollRoss(double r0, double theta, double k, double sigma)

Method Summary

Modifier and Type	Method and Description
double	discountBondOption(Option.Type type, double strike, double t, double s)
org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics	dynamics() Returns the short-rate dynamics
Lattice	tree(TimeGrid grid) Return by default a trinomial recombining tree.

Methods inherited from class org.jquantlib.model.shortrate.onefactormodels.OneFactorAffineModel

discount, discountBond, discountBond

Methods inherited from class org.jquantlib.model.CalibratedModel

addObserver, calibrate, constraint, countObservers, deleteObserver, deleteObservers, endCriteria, getObservers, notifyObservers, notifyObservers, params, setParams, update, value

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Constructor Detail

CoxIngersollRoss

public CoxIngersollRoss()

CoxIngersollRoss

public CoxIngersollRoss(double r0,
                        double theta,
                        double k,
                        double sigma)

Method Detail

dynamics

public org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics dynamics()

Description copied from class: OneFactorModel

Returns the short-rate dynamics

Specified by:

dynamics in class OneFactorModel

discountBondOption

public double discountBondOption(Option.Type type,
                                 double strike,
                                 double t,
                                 double s)

tree

public Lattice tree(TimeGrid grid)

Description copied from class: OneFactorModel

Return by default a trinomial recombining tree.

Overrides:

tree in class OneFactorModel