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 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.