Deriscope

The Excel Derivatives Periscope

Products

CIR_Model

CIR Model is a Type that 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.