org.jquantlib.model.shortrate.onefactormodels

Class ExtendedCoxIngersollRoss

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

org.jquantlib.model.shortrate.onefactormodels.ExtendedCoxIngersollRoss

All Implemented Interfaces:

AffineModel, Observable, Observer

public class ExtendedCoxIngersollRoss
extends CoxIngersollRoss

Extended Cox-Ingersoll-Ross model class.

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

Constructor Summary

Constructors

Constructor and Description
ExtendedCoxIngersollRoss(Handle<YieldTermStructure> termStructure, double theta, double k, double sigma, double x0)

Method Summary

Modifier and Type	Method and Description
double	A(double t, double s)
double	discountBondOption(Option.Type type, double strike, double t, double s)
org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics	dynamics() Returns the short-rate dynamics
void	generateArguments()
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

ExtendedCoxIngersollRoss

public ExtendedCoxIngersollRoss(Handle<YieldTermStructure> termStructure,
                                double theta,
                                double k,
                                double sigma,
                                double x0)

Method Detail

dynamics

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

Description copied from class: OneFactorModel

Returns the short-rate dynamics

Overrides:

dynamics in class CoxIngersollRoss

generateArguments

public void generateArguments()

A

public double A(double t,
                double s)

discountBondOption

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

Specified by:

discountBondOption in interface AffineModel

Overrides:

discountBondOption in class CoxIngersollRoss

tree

public Lattice tree(TimeGrid grid)

Description copied from class: OneFactorModel

Return by default a trinomial recombining tree.

Overrides:

tree in class CoxIngersollRoss