CIR Model


CIR Model is a direct subtype of Model[Short Rate]
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with functions CIR Model Functions, keys CIR Model keys and example object CIRmdl

TYPE INCLUSION RELATIONSHIPS

Model Short Rate

CIR Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Sigma

Theta

k

r0

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TYPICAL OBJECTS OF TYPE CIR Model

CIRmdl

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This type represents a short rate that follows a single-factor stochastic process r according to the SDE:
dr = k(θ - r)dt + sqrt(r)σdw
where w is a Wiener process and k, θ, σ are constants.
The name stems from the initials of Cox–Ingersoll–Ross
QuantLib warning: This class was not tested enough to guarantee its functionality.