Deriscope ## The Excel Derivatives Periscope

##### Coverage

Extended_CIR_Model

*Extended CIR Model* is a child type of Model[Short Rate] that represents a short rate *r* given by:

r(t) = μ(t) + r΄(t)

where *r΄* follows a single-factor stochastic process according to the SDE:

*dr΄ = k(θ - r΄)dt + sqrt(r΄)σdw*

where *w* is a Wiener process and *k, θ, σ* are constants.

μ(t) is the deterministic time-dependent parameter used for term-structure fitting.

QuantLib warning: This class was not tested enough to guarantee its functionality.