Extended CIR Model


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

TYPE INCLUSION RELATIONSHIPS

Model Short Rate

Extended 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 Extended CIR Model

ExtCIRmdl

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This type 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.